Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Event-Driven

<ul>
<li>Short notional in Hong Kong is HK$335bn and has been falling over the last 12 months due to a drop in the market.</li>
<li>In terms of short notional to marketcap, the Materials, Consumer Staples, Health Care, Utilities, Real Estate sectors are most shorted while the least shorted are Information Technology, Communication Services, Energy.</li>
<li>The largest shorts have been built on <a href="https://www.smartkarma.com/entities/byd-co-ltd-h" target="_blank" data-smartkarma-citation="entities:20962:1" rel="noopener">BYD (1211)</a>, <a href="https://www.smartkarma.com/entities/xpeng-inc-4cc65854-d10c-4d20-bf7e-ca0e016715ff" target="_blank" data-smartkarma-citation="entities:33772:1" rel="noopener">XPeng (9868)</a>, <a href="https://www.smartkarma.com/entities/industrial-and-commercial-bank-of-china-limited" target="_blank" data-smartkarma-citation="entities:1119:1" rel="noopener">ICBC (1398)</a>, <a href="https://www.smartkarma.com/entities/xiaomi-corp" target="_blank" data-smartkarma-citation="entities:24409:1" rel="noopener">Xiaomi (1810)</a>, <a href="https://www.smartkarma.com/entities/link-reit" target="_blank" data-smartkarma-citation="entities:872:1" rel="noopener">Link REIT (823)</a>, <a href="https://www.smartkarma.com/entities/jd-com-inc" target="_blank" data-smartkarma-citation="entities:29043:1" rel="noopener">JD.com (9618)</a>, <a href="https://www.smartkarma.com/entities/wharf-holdings-ltd" target="_blank" data-smartkarma-citation="entities:51:1" rel="noopener">Wharf Holdings (4)</a> and <a href="https://www.smartkarma.com/entities/new-world-development" target="_blank" data-smartkarma-citation="entities:7037:1" rel="noopener">New World Development (17)</a>. </li>
</ul>


Short notional in Hong Kong is HK$335bn and has been falling over the last 12 months due to a drop in the market.
In terms of short notional to marketcap, the Materials, Consumer Staples, Health Care, Utilities, Real Estate sectors are most shorted while the least shorted are Information Technology, Communication Services, Energy.
The largest shorts have been built on BYD (1211), XPeng (9868), ICBC (1398), Xiaomi (1810), Link REIT (823), JD.com (9618), Wharf Holdings (4) and New World Development (17). 


Hong Kong: Where Could Shorts Be Covered?

Asia Pac IPO & Placement Research, China biotech, Aequitas Research

Ke Yan, CFA, FRM

Asia Pac IPO & Placement Research, China biotech

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Quantitative Analysis

<ul>
<li>We analyse the changes of A-H premium on 146 stocks over the last week. The average A-H premium was 129.2% as of Jan 19th.</li>
<li>The average A-H premium changed by 7.1ppt week-on-week, led by financials, materials, health care and offset by information technology.</li>
<li>We highlight weekly changes in A-H premium for Haier Smart H, ICBC, China Vanke, ZTE, China Rail Gr, China Com Cons, SMIC, China Longyuan.</li>
</ul>


We analyse the changes of A-H premium on 146 stocks over the last week. The average A-H premium was 129.2% as of Jan 19th.
The average A-H premium changed by 7.1ppt week-on-week, led by financials, materials, health care and offset by information technology.
We highlight weekly changes in A-H premium for Haier Smart H, ICBC, China Vanke, ZTE, China Rail Gr, China Com Cons, SMIC, China Longyuan.


A-H Premium Weekly (Jan 19th): Haier Smart, ICBC, China Vanke, ZTE, CR Group, CCCC

<ul>
<li>We analyzed the latest HK SFC report for aggregate short position as of Jan 12th.</li>
<li>Top short increases and decreases were tabulated for one week and four week period. </li>
<li>We highlight Hong Kong short weekly changes in Citic Sec.</li>
</ul>


We analyzed the latest HK SFC report for aggregate short position as of Jan 12th.
Top short increases and decreases were tabulated for one week and four week period. 
We highlight Hong Kong short weekly changes in Citic Sec.


Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

<ul>
<li>The Quiddity Mainland Connect NORTHBOUND Monitor. Like the A/H Premium Monitor and HK Connect SOUTHBOUND Monitor. Lots of Flows/Position Tables and Charts with which to play.</li>
<li>Last week saw NORTHBOUND net SELL RMB 2.4bn of A-shares on decent average activity. </li>
<li>Renewables and <a href="https://www.smartkarma.com/entities/kweichow-moutai-co-ltd-a" target="_blank" data-smartkarma-citation="entities:1553:1" rel="noopener">Kweichow Moutai (600519 CH)</a> were the big net sells on the week.</li>
</ul>


The Quiddity Mainland Connect NORTHBOUND Monitor. Like the A/H Premium Monitor and HK Connect SOUTHBOUND Monitor. Lots of Flows/Position Tables and Charts with which to play.
Last week saw NORTHBOUND net SELL RMB 2.4bn of A-shares on decent average activity. 
Renewables and Kweichow Moutai (600519 CH) were the big net sells on the week.


Mainland Connect NORTHBOUND Flows (To 12 Jan 2024): Renewable Energy-Related Names Sold

<ul>
<li>We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of January 12th.</li>
<li>We estimate the weekly outflows to be US$374.5 million, led by financials, consumer staples, and offset by consumer discretionary, information technology, industrials.</li>
<li>We highlight northbound connect flows for Moutai and Longi Green.</li>
</ul>


We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of January 12th.
We estimate the weekly outflows to be US$374.5 million, led by financials, consumer staples, and offset by consumer discretionary, information technology, industrials.
We highlight northbound connect flows for Moutai and Longi Green.


Northbound Flows (Jan 12th): Moutai, Longi Green

China

WuXi AppTec Co., Ltd. manufactures medical products. The Company produces biological agents, antibodies, biological diagnostic reagents, and other products. WuXi AppTec also provides biological analysis, technical study, and other services.

Price Gauge
52-week Range	0.00 - 0.00
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WuXi AppTec (603259 CH)

Hong Kong: Where Could Shorts Be Covered?

HK Short notional HK$335bn and has been falling over the last year due to a drop in the market. There are stocks where shorts have risen over the...

Brian Freitas

A-H Premium Weekly (Jan 19th): Haier Smart, ICBC, China Vanke, ZTE, CR Group, CCCC

We analyzed A-H premium changes in the past week and highlight A-H premium changes for Haier Smart H, ICBC, China Vanke, ZTE, China Rail Gr, China...

Ke Yan, CFA, FRM

HK Short Interest Weekly: Citic Sec

We analyzed the latest HK SFC report for aggregate short position as of Jan 12th and highlight short interest changes in Citic Sec.

Ke Yan, CFA, FRM

Northbound Flows (Jan 12th): Moutai, Longi Green

We analyzed northbound Shanghai/Shenzhen connect flows in the past week and highlight northbound connect flows for Moutai, Longi Green.

Ke Yan, CFA, FRM

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Hong Kong: Where Could Shorts Be Covered?

HK Short notional HK$335bn and has been falling over the last year due to a drop in the market. There are stocks where shorts have risen over the...

Brian Freitas

A-H Premium Weekly (Jan 19th): Haier Smart, ICBC, China Vanke, ZTE, CR Group, CCCC

We analyzed A-H premium changes in the past week and highlight A-H premium changes for Haier Smart H, ICBC, China Vanke, ZTE, China Rail Gr, China...

Ke Yan, CFA, FRM

HK Short Interest Weekly: Citic Sec

We analyzed the latest HK SFC report for aggregate short position as of Jan 12th and highlight short interest changes in Citic Sec.

Ke Yan, CFA, FRM

Mainland Connect NORTHBOUND Flows (To 12 Jan 2024): Renewable Energy-Related Names Sold

NORTHBOUND saw net selling. Again. This past week it was Kweichow Moutai tops and then a host of renewables names following.

Travis Lundy

Northbound Flows (Jan 12th): Moutai, Longi Green

We analyzed northbound Shanghai/Shenzhen connect flows in the past week and highlight northbound connect flows for Moutai, Longi Green.

Ke Yan, CFA, FRM