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

Index Rebalance

<ul>
<li>The review period for the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY</a> family of indices, <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a>, <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50</a>, the KRX New Deal Index and a global index ends on 31 January.</li>
<li>The January rebalance of the IDX30 and LQ45 indices will be implemented at the close of trading on 31 January.</li>
<li>There have been huge inflows into the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> ETFs for another week. This will increase the impact on the index changes at the next rebalance.</li>
</ul>


The review period for the NIFTY family of indices, Nikkei 225, STAR50, the KRX New Deal Index and a global index ends on 31 January.
The January rebalance of the IDX30 and LQ45 indices will be implemented at the close of trading on 31 January.
There have been huge inflows into the CSI 300 Index ETFs for another week. This will increase the impact on the index changes at the next rebalance.


Index Rebalance & ETF Flow Recap: CSI300, CSI500, SSE50, ChiNext, KOSPI200, Renesas, IDX30/LQ45

<ul>
<li>Completing three-quarters of the review period, 6 stocks are in inclusion zone and 9 in deletion zone. However, there can be a maximum of 5 changes at a review.</li>
<li>We estimate a one-way turnover of 6.8% at the June rebalance leading to a one-way trade of CNY 7.35bn (US$1.02bn). Index arb balances could increase the impact on the stocks.</li>
<li>The potential adds have outperformed the potential deletes and the <a href="https://www.smartkarma.com/entities/shanghai-stock-exchange-sse-50-a-share-index" target="_blank" data-smartkarma-citation="entities:31073:1" rel="noopener">SSE50 Index (SSE50 INDEX)</a> over the last few months and could continue to do so as positioning builds up.</li>
</ul>


Completing three-quarters of the review period, 6 stocks are in inclusion zone and 9 in deletion zone. However, there can be a maximum of 5 changes at a review.
We estimate a one-way turnover of 6.8% at the June rebalance leading to a one-way trade of CNY 7.35bn (US$1.02bn). Index arb balances could increase the impact on the stocks.
The potential adds have outperformed the potential deletes and the SSE50 Index (SSE50 INDEX) over the last few months and could continue to do so as positioning builds up.


SSE50 Index Rebalance Preview: Financials Staging a Comeback as Expected Trade Tops US$2bn

Asia Pac ECM and Index Rebal, Shenton Research

Ke Yan, CFA, FRM

Asia Pac ECM and Index Rebal

Asia Pac IPO & Placement Research, China Biotech

DZT Research

DZT Research is an independent Asia Pacific equity specialist. Our quantitative research covers index rebalancing flows, alongside exchange data analytics accross Asia Pacific. On the equity capital markets side, we focus on Asia Pacific ECM, especially biotech and TMT. Our lead analyst is frequently cited by international media.

Quantitative Analysis

<ul>
<li>We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of December 29th.</li>
<li>We estimate the weekly inflows to be US$2,840.5 million, led by information technology, materials, industrials sectors, and offset by communication services.</li>
<li>We highlight flows for Longi Green, Wuliangye, Chongqing Changan Automobile.</li>
</ul>


We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of December 29th.
We estimate the weekly inflows to be US$2,840.5 million, led by information technology, materials, industrials sectors, and offset by communication services.
We highlight flows for Longi Green, Wuliangye, Chongqing Changan Automobile.


Northbound Flows (Dec 29th): Longi Green, Wuliangye, Changan Automobile

Hygon Information Technology C / Index Rebalance

Hygon Information Technology C (688041 CH)

<ul>
<li>With the review period complete, we see 9 stocks in inclusion zone and 10 in deletion zone. However, there can be a maximum of 5 changes at a review.</li>
<li>We estimate a one-way turnover of 4.7% at the December rebalance leading to a one-way trade of CNY 3.86bn. Index arb balances could increase the impact on the stocks.</li>
<li>Apart from being added to the <a href="https://www.smartkarma.com/entities/shanghai-stock-exchange-sse-50-a-share-index" target="_blank" data-smartkarma-citation="entities:31073:1" rel="noopener">SSE50 Index</a>, <a href="https://www.smartkarma.com/entities/hygon-information-technology-c" target="_blank" data-smartkarma-citation="entities:36366:1" rel="noopener">Hygon Information Technology (688041 CH)</a> could also be added to other local/global indices over the next few weeks and months.</li>
</ul>


With the review period complete, we see 9 stocks in inclusion zone and 10 in deletion zone. However, there can be a maximum of 5 changes at a review.
We estimate a one-way turnover of 4.7% at the December rebalance leading to a one-way trade of CNY 3.86bn. Index arb balances could increase the impact on the stocks.
Apart from being added to the SSE50 Index, Hygon Information Technology (688041 CH) could also be added to other local/global indices over the next few weeks and months.


SSE50 Index Rebalance Preview: Five Potential Changes; Hygon Stands Out

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

Foxconn Industrial Internet / Event-Driven

<ul>
<li>This is the somewhat-brand-spanking-new Quiddity Mainland Connect NORTHBOUND Monitor. We work off the same presentation as the A/H Premium Monitor and HK Connect SOUTHBOUND Monitor.</li>
<li>The same five names continue at the top of the gross flows list - Kweichow Moutai, Contemporary Amperex, Wuliangye Yibin, Foxconn Industrial, and BYD. Nets are dropping.</li>
<li>Overall net NORTHBOUND selling this week was small at RMB 445mm. <a href="https://www.smartkarma.com/entities/foxconn-industrial-internet-co-ltd" target="_blank" data-smartkarma-citation="entities:27163:1" rel="noopener">Foxconn Industrial Internet (601138 CH)</a> was net bought every day despite the investigation news the previous weekend.</li>
</ul>


This is the somewhat-brand-spanking-new Quiddity Mainland Connect NORTHBOUND Monitor. We work off the same presentation as the A/H Premium Monitor and HK Connect SOUTHBOUND Monitor.
The same five names continue at the top of the gross flows list - Kweichow Moutai, Contemporary Amperex, Wuliangye Yibin, Foxconn Industrial, and BYD. Nets are dropping.
Overall net NORTHBOUND selling this week was small at RMB 445mm. Foxconn Industrial Internet (601138 CH) was net bought every day despite the investigation news the previous weekend.


Mainland Connect NORTHBOUND Flows (To 27Oct23): Net Selling Small, Foxconn & Tianqi Bought

China

360 Security Technology Inc. offers technology services. The Company mainly researches and develops internet security technology and products. 360 Security Technology provides services in China.

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360 Security Technology Inc. (601360 CH)

Index Rebalance & ETF Flow Recap: CSI300, CSI500, SSE50, ChiNext, KOSPI200, Renesas, IDX30/LQ45

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

SSE50 Index Rebalance Preview: Financials Staging a Comeback as Expected Trade Tops US$2bn

There could be 5 changes in June as one-way turnover nears 7% and round-trip trade hits US$2bn. 4 of the 5 adds are financials and the potential...

Brian Freitas

Northbound Flows (Dec 29th): Longi Green, Wuliangye, Changan Automobile

We analyzed northbound Shanghai/Shenzhen connect flows in the past week and highlight flows for Longi Green, Wuliangye, Chongqing Changan Automobile.

Ke Yan, CFA, FRM

SSE50 Index Rebalance Preview: Five Potential Changes; Hygon Stands Out

There should be 5 index changes in Dec. Hygon has been outperforming with inflows from multiple passive inflows expected in the next month. Adds...

Brian Freitas

Mainland Connect NORTHBOUND Flows (To 27Oct23): Net Selling Small, Foxconn & Tianqi Bought

NORTHBOUND flows this past week were still a net sell, but small. There hasn't been a net buy week since early August. Foxconn saw buying every...

Travis Lundy

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