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>There are only 3 trading days left in the review period for the September rebalance of the <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">SSE STAR50 (STAR50 INDEX)</a>. </li>
<li>We see two potential changes that could result in a one-way turnover of 3.6% and in a one-way trade of CNY 4.7bn (US$644m).</li>
<li>Cumulative excess volume has started to pick up in the stocks over the last few weeks and that could be an indicator of further gains for a long/short trade.</li>
</ul>


There are only 3 trading days left in the review period for the September rebalance of the SSE STAR50 (STAR50 INDEX). 
We see two potential changes that could result in a one-way turnover of 3.6% and in a one-way trade of CNY 4.7bn (US$644m).
Cumulative excess volume has started to pick up in the stocks over the last few weeks and that could be an indicator of further gains for a long/short trade.


STAR50 Index Rebalance Preview: Positioning Indicates Further Gains for a Long/Short Trade

<ul>
<li>The review period for the September rebalance ends 30 July. We expect the changes to be announced 30 August with the implementation taking place after the close on 13 September.</li>
<li>We forecast 6 changes for the index, including migrations between the STAR 100 Index and the <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">SSE STAR50 (STAR50 INDEX)</a>.</li>
<li>Excluding the migrations, the potential adds have outperformed the potential deletes since the start of the calendar year and there could be further outperformance over the next few weeks.</li>
</ul>


The review period for the September rebalance ends 30 July. We expect the changes to be announced 30 August with the implementation taking place after the close on 13 September.
We forecast 6 changes for the index, including migrations between the STAR 100 Index and the SSE STAR50 (STAR50 INDEX).
Excluding the migrations, the potential adds have outperformed the potential deletes since the start of the calendar year and there could be further outperformance over the next few weeks.


STAR100 Index Rebalance Preview: Outright Adds Outperforming Outright Deletes

<ul>
<li>The review period for the September rebalance ends 31 July. We expect the changes to be announced 30 August with the implementation taking place after the close on 13 September.</li>
<li>We expect the index committee to continue using a 6-month minimum listing history resulting in two changes to the index.</li>
<li>One-Way turnover is estimated at 3.5% resulting in a one-way trade of CNY 4.5bn (US$618m). Passive trackers will need to trade 4-8x ADV on the index changes.</li>
</ul>


The review period for the September rebalance ends 31 July. We expect the changes to be announced 30 August with the implementation taking place after the close on 13 September.
We expect the index committee to continue using a 6-month minimum listing history resulting in two changes to the index.
One-Way turnover is estimated at 3.5% resulting in a one-way trade of CNY 4.5bn (US$618m). Passive trackers will need to trade 4-8x ADV on the index changes.


STAR50 Index Rebalance Preview: Two Changes & Over US$1.2bn to Trade

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

United Nova Technology   / Index Rebalance

<ul>
<li>The June 2024 index review results for the STAR 50 and STAR 100 indices were announced after market close on Friday 31st May 2024.</li>
<li>There will be 3 changes for the STAR 50 index and 9 changes for the STAR 100 index.</li>
<li>We expect one-way flows of approximately US$750mn and US$314mn for the STAR 50 and STAR 100 index rebal events in June 2024.</li>
</ul>


The June 2024 index review results for the STAR 50 and STAR 100 indices were announced after market close on Friday 31st May 2024.
There will be 3 changes for the STAR 50 index and 9 changes for the STAR 100 index.
We expect one-way flows of approximately US$750mn and US$314mn for the STAR 50 and STAR 100 index rebal events in June 2024.


Quiddity STAR 50/100 Jun 24 Rebalance: US$1bn+ One-Way Flow; Some Surprises; New Trade

<ul>
<li>There are 3 changes for the <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">SSE STAR50 (STAR50 INDEX)</a> and 9 changes for the STAR100 Index. Implementation will take place at the close on 14 June.</li>
<li>
<a href="https://www.smartkarma.com/entities/united-nova-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:40389:1" rel="noopener">United Nova Technology (688469 CH)</a> and <a href="https://www.smartkarma.com/entities/biwin-storage-technology-co-lt" target="_blank" data-smartkarma-citation="entities:40391:1" rel="noopener">Biwin Storage Technology (688525 CH)</a> were not added at the March rebalance since they were consistently loss-making. But they have been added this time.</li>
<li>
<a href="https://www.smartkarma.com/entities/united-nova-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:40389:1" rel="noopener">United Nova Technology (688469 CH)</a> had been trading poorly and then the stock dropped further after non-inclusion in March. That could change now with inclusion confirmed.</li>
</ul>


There are 3 changes for the SSE STAR50 (STAR50 INDEX) and 9 changes for the STAR100 Index. Implementation will take place at the close on 14 June.

United Nova Technology (688469 CH) and Biwin Storage Technology (688525 CH) were not added at the March rebalance since they were consistently loss-making. But they have been added this time.

United Nova Technology (688469 CH) had been trading poorly and then the stock dropped further after non-inclusion in March. That could change now with inclusion confirmed.


STAR50/STAR100 Index Rebalance: Index Committee Flip-Flops on Profitability

China

APT Medical Inc. engages in development, production and sales of electrophysiology and vascular interventional medical devices. The Company provides coronary artery access and electrophysiological medical devices, peripheral blood vessels and nerve intervention medical devices, and more. APT Medical markets its products worldwide.

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APT Medical (688617 CH)

STAR50 Index Rebalance Preview: Positioning Indicates Further Gains for a Long/Short Trade

There could be 2 changes in September. A long adds/short deletes trade has been flat over the last 3 months. Recent changes in cumulative excess...

Brian Freitas

STAR100 Index Rebalance Preview: Outright Adds Outperforming Outright Deletes

There could be 6 changes for the STAR100 Index in September of which 2 are migrations with the STAR50. The outright adds have outperformed the...

Brian Freitas

STAR50 Index Rebalance Preview: Two Changes & Over US$1.2bn to Trade

With 90% of the review period complete, there should be 2 changes for the STAR50 in Sep. One-way turnover is 3.5% and the round-trip trade is over...

Brian Freitas

Quiddity STAR 50/100 Jun 24 Rebalance: US$1bn+ One-Way Flow; Some Surprises; New Trade

There are 9 inflow names and 10 outflow names in the June 2024 STAR 50/100 index rebal event. The inflow names could outperform the outflow names...

Janaghan Jeyakumar, CFA

STAR50/STAR100 Index Rebalance: Index Committee Flip-Flops on Profitability

There are 3 changes for the STAR50 index and 9 for the STAR100. Some stocks will have same way flows from other index trackers. United Nova Tech is...

Brian Freitas

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