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

United Nova Technology   / Index Rebalance

<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

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>STAR 50 Index is a tech-focused, blue-chip index in Mainland China which tracks the top 50 largest and most liquid names in the STAR market of the Shanghai Stock Exchange.</li>
<li>In my last insight (<a href="https://www.smartkarma.com/insights/quiddity-leaderboard-star-50-jun-24-3-adds-dels-possible-but-should-be-monitored-closely" target="_blank" rel="noopener">link</a>), I discussed how the rankings had to be monitored closely before finalizing the index change expectations for the June 2024 index rebal event.</li>
<li>Now that the reference period is complete, I have discussed my final expectations for the June 2024 review. The official index changes will be announced later this month.</li>
</ul>


STAR 50 Index is a tech-focused, blue-chip index in Mainland China which tracks the top 50 largest and most liquid names in the STAR market of the Shanghai Stock Exchange.
In my last insight (link), I discussed how the rankings had to be monitored closely before finalizing the index change expectations for the June 2024 index rebal event.
Now that the reference period is complete, I have discussed my final expectations for the June 2024 review. The official index changes will be announced later this month.


Quiddity Leaderboard STAR 50 Jun 24: SHORTs Down 12% Vs Peers in 1 Month; Final Ranks & New Trade

<ul>
<li>The review period for the June rebalance ended 30 April. We expect the changes to be announced 31 May with the implementation taking place after the close on 14 June.</li>
<li>We forecast 9 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>The outright inclusions have outperformed the outright deletions by 9% over the last month and by 20% over the last 3 months.</li>
</ul>


The review period for the June rebalance ended 30 April. We expect the changes to be announced 31 May with the implementation taking place after the close on 14 June.
We forecast 9 changes for the index, including migrations between the STAR 100 Index and the SSE STAR50 (STAR50 INDEX).
The outright inclusions have outperformed the outright deletions by 9% over the last month and by 20% over the last 3 months.


STAR100 Index Rebalance Preview: Potential Adds Continue to Push Higher

<ul>
<li>With the review period complete, we forecast 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> in June. All changes are migrations from/to the STAR 100 Index.</li>
<li>One way turnover is estimated at 3.4% resulting in a one-way trade of CNY 4.5bn (US$630m). There is a lot to trade from passive trackers, especially on the inclusions.</li>
<li>The potential adds have outperformed the potential deletions by ~18% over the last month with <a href="https://www.smartkarma.com/entities/hangzhou-ezviz-network-co-ltd" target="_blank" data-smartkarma-citation="entities:41299:1" rel="noopener">Hangzhou EZVIZ Network (688475 CH)</a> and <a href="https://www.smartkarma.com/entities/apt-medical-inc" target="_blank" data-smartkarma-citation="entities:40838:1" rel="noopener">APT Medical (688617 CH)</a> moving higher.</li>
</ul>


With the review period complete, we forecast 3 changes for the SSE STAR50 (STAR50 INDEX) in June. All changes are migrations from/to the STAR 100 Index.
One way turnover is estimated at 3.4% resulting in a one-way trade of CNY 4.5bn (US$630m). There is a lot to trade from passive trackers, especially on the inclusions.
The potential adds have outperformed the potential deletions by ~18% over the last month with Hangzhou EZVIZ Network (688475 CH) and APT Medical (688617 CH) moving higher.


STAR50 Index Rebalance Preview: Adds Steamroll Deletes

<ul>
<li>With the review period now complete, we forecast 50 changes (the maximum permitted) for the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI Smallcap 500 Index - Shang (SH000905 INDEX)</a> at the close on 14 June.</li>
<li>We estimate a one-way turnover of 9.3% at the rebalance resulting in a one-way trade of CNY10.88bn (US$1.5bn). The Industrials and Information Technology sectors gain at the expense of Materials.</li>
<li>The potential adds have outperformed the potential deletes by 8% over the last 3 months. There could be further outperformance over the next few weeks.</li>
</ul>


With the review period now complete, we forecast 50 changes (the maximum permitted) for the CSI Smallcap 500 Index - Shang (SH000905 INDEX) at the close on 14 June.
We estimate a one-way turnover of 9.3% at the rebalance resulting in a one-way trade of CNY10.88bn (US$1.5bn). The Industrials and Information Technology sectors gain at the expense of Materials.
The potential adds have outperformed the potential deletes by 8% over the last 3 months. There could be further outperformance over the next few weeks.


CSI500 Index Rebalance Preview: Potential Adds Rally and Outperform the Potential Deletes

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/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

Quiddity Leaderboard STAR 50 Jun 24: SHORTs Down 12% Vs Peers in 1 Month; Final Ranks & New Trade

I see 3 expected ADDs/DELs for the June 2024 review and I believe the expected ADDs will outperform the expected DELs over the next few weeks.

Janaghan Jeyakumar, CFA

STAR100 Index Rebalance Preview: Potential Adds Continue to Push Higher

There could be 9 changes for the STAR100 Index in June of which 3 are migrations with the STAR50. The outright adds have outperformed the outright...

Brian Freitas

STAR50 Index Rebalance Preview: Adds Steamroll Deletes

There could be 3 changes for the STAR50 Index in June. The impact on the potential adds varies from 8-14x ADV. The potential adds have outperformed...

Brian Freitas

CSI500 Index Rebalance Preview: Potential Adds Rally and Outperform the Potential Deletes

There could be 50 changes for the CSI500 Index in June. The potential adds have outperformed the potential deletes by 8% over the last 3 months and...

Brian Freitas

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