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>With only one change expected in September using a 12 month minimum listing history, we expect the index committee to continue using a 6 month minimum listing history.</li>
<li>That will see the maximum of 5 changes that are permitted at a single rebalance resulting in a one-way turnover just shy of 5%.</li>
<li>Over the last few rebalances, the adds have outperformed the deletes post the end of the review period. That's expected given passive trackers need to buy/sell a lot of stock.</li>
</ul>


With only one change expected in September using a 12 month minimum listing history, we expect the index committee to continue using a 6 month minimum listing history.
That will see the maximum of 5 changes that are permitted at a single rebalance resulting in a one-way turnover just shy of 5%.
Over the last few rebalances, the adds have outperformed the deletes post the end of the review period. That's expected given passive trackers need to buy/sell a lot of stock.


STAR50 Index Rebalance Preview (Sep): Change Is the Only Constant

<ul>
<li>The index committee has continued to use a 6 month minimum listing history leading to five changes to 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.</li>
<li>One way turnover is estimated at 8.56% and will result in a one-way trade of CNY 3,496m. Passive trackers will need to trade between 2-6 days ADV on the adds/deletes.</li>
<li>The inclusions have outperformed the deletions and the CSI500 Index since the end of the review period with all inclusions moving higher over the period.</li>
</ul>


The index committee has continued to use a 6 month minimum listing history leading to five changes to the SSE STAR50 (STAR50 INDEX) in June.
One way turnover is estimated at 8.56% and will result in a one-way trade of CNY 3,496m. Passive trackers will need to trade between 2-6 days ADV on the adds/deletes.
The inclusions have outperformed the deletions and the CSI500 Index since the end of the review period with all inclusions moving higher over the period.


STAR50 Index Rebalance: Dear Index Committee...

<ul>
<li>There could be 3 or 5 changes to 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">STAR50 INDEX</a> in June depending on the minimum listing history (6 months or 12 months) used by the index committee.</li>
<li>
<a href="https://www.smartkarma.com/entities/jinko-solar-co-ltd" target="_blank" data-smartkarma-citation="entities:35715:1" rel="noopener">Jinko Solar (688223 CH)</a> is a high probability inclusion while <a href="https://www.smartkarma.com/entities/shanghai-microport-endovascular-medtech-a" target="_blank" data-smartkarma-citation="entities:30310:1" rel="noopener">Shanghai Microport Endovascular MedTech (688016 CH)</a>, <a href="https://www.smartkarma.com/entities/arcsoft-corp-ltd" target="_blank" data-smartkarma-citation="entities:30335:1" rel="noopener">ArcSoft Corp Ltd (688088 CH)</a> and <a href="https://www.smartkarma.com/entities/dbapp-security-ltd" target="_blank" data-smartkarma-citation="entities:30316:1" rel="noopener">DBAPP Security Ltd (688023)</a> are high probability deletions.</li>
<li>Stocks performance over the last couple of months indicates the market is assigning a higher probability to the index committee using a 12 month minimum listing history.</li>
</ul>


There could be 3 or 5 changes to the STAR50 INDEX in June depending on the minimum listing history (6 months or 12 months) used by the index committee.

Jinko Solar (688223 CH) is a high probability inclusion while Shanghai Microport Endovascular MedTech (688016 CH), ArcSoft Corp Ltd (688088 CH) and DBAPP Security Ltd (688023) are high probability deletions.
Stocks performance over the last couple of months indicates the market is assigning a higher probability to the index committee using a 12 month minimum listing history.


STAR50 Index Rebalance Preview: 3 Changes or 5? It Depends...

<ul>
<li>There could be 3 or 5 changes to 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">STAR50 INDEX</a> in June depending on the minimum listing history (6 months or 12 months) used by the index committee.</li>
<li>
<a href="https://www.smartkarma.com/entities/jinko-solar-co-ltd" target="_blank" data-smartkarma-citation="entities:35715:1" rel="noopener">Jinko Solar (688223 CH)</a> is a high probability inclusion while <a href="https://www.smartkarma.com/entities/shanghai-microport-endovascular-medtech-a" target="_blank" data-smartkarma-citation="entities:30310:1" rel="noopener">Shanghai Microport Endovascular MedTech (688016 CH)</a>, <a href="https://www.smartkarma.com/entities/arcsoft-corp-ltd" target="_blank" data-smartkarma-citation="entities:30335:1" rel="noopener">ArcSoft Corp Ltd (688088 CH)</a> and <a href="https://www.smartkarma.com/entities/dbapp-security-ltd" target="_blank" data-smartkarma-citation="entities:30316:1" rel="noopener">DBAPP Security Ltd (688023)</a> are high probability deletions.</li>
<li>The March rebalance will be implemented at the close tomorrow. The adds have outperformed the deletes post announcement and there could be a reversal from next week.</li>
</ul>


There could be 3 or 5 changes to the STAR50 INDEX in June depending on the minimum listing history (6 months or 12 months) used by the index committee.

Jinko Solar (688223 CH) is a high probability inclusion while Shanghai Microport Endovascular MedTech (688016 CH), ArcSoft Corp Ltd (688088 CH) and DBAPP Security Ltd (688023) are high probability deletions.
The March rebalance will be implemented at the close tomorrow. The adds have outperformed the deletes post announcement and there could be a reversal from next week.


STAR50 Index Rebalance Preview (June): Back to the All Important Question

Head of Research, IPOs & Placements, Aequitas Research

Sumeet Singh

Head of Research, IPOs & Placements

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.

Equity Capital Markets

SenseTime Group  / Equity Capital Markets

<ul>
<li>
<a href="https://www.smartkarma.com/entities/sensetime-group" target="_blank" data-smartkarma-citation="entities:34319:1" rel="noopener">SenseTime Group (1475539D HK)</a>  is looking to raise about US$2bn in its upcoming Hong Kong IPO. </li>
<li>STG was the market leading computer vision software provider in China for various industries in FY2020. But we estimate that the company has been losing market share.</li>
<li>We think that it is the price to pay for STG’s blanket approach to growth; trying its hands in everything and anything.</li>
</ul>



SenseTime Group (1475539D HK)  is looking to raise about US$2bn in its upcoming Hong Kong IPO. 
STG was the market leading computer vision software provider in China for various industries in FY2020. But we estimate that the company has been losing market share.
We think that it is the price to pay for STG’s blanket approach to growth; trying its hands in everything and anything.


SenseTime Group (商汤集团) Pre-IPO - Peer Comparison & Industry - Paying the Price of Diversification

China

ArcSoft Corporation Limited provides computer vision artificial intelligence technology services. The Company offers computer vision artificial intelligence technologies for enabling advances camera applications among smart phones, smart cars, smart homes, smart retail, Internet video, and other fields. ArcSoft provides services worldwide.

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Arcsoft (688088 CH)

STAR50 Index Rebalance Preview (Sep): Change Is the Only Constant

We expect the index committee to continue using a 6 month minimum listing history and that will lead to 5 changes in September. Buying the adds and...

Brian Freitas

STAR50 Index Rebalance: Dear Index Committee...

There are 5 changes to the STAR50 Index in June as the index committee continues to use a 6 month minimum listing history. The adds have...

Brian Freitas

STAR50 Index Rebalance Preview: 3 Changes or 5? It Depends...

There could be 3/5 changes in June depending on whether the index committee uses a 12/6 month minimum listing history. The market is assigning a...

Brian Freitas

STAR50 Index Rebalance Preview (June): Back to the All Important Question

Depending on the minimum listing history used, there will be 3 or 5 changes. JinkoSolar is a high probability inclusion. The March rebalance will...

Brian Freitas

SenseTime Group (商汤集团) Pre-IPO - Peer Comparison & Industry - Paying the Price of Diversification

SenseTime Group (1475539D HK) is looking to raise about US$2bn in its upcoming Hong Kong IPO. We estimate that the company has been losing market...

Sumeet Singh

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