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

Xiamen Amoytop Biotech Co Ltd / Index Rebalance

Xiamen Amoytop Biotech Co Ltd (688278 CH)

<ul>
<li>There are 3 constituent 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">STAR50 INDEX</a> and 6 changes for the STAR100 Index at the March rebalance that will be implemented at the close on 14 March.</li>
<li>The last-minute methodology change could lead to under/over positioning on some names and those stocks could move the most over the next few days.</li>
<li>Performance has been mixed in the 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> but the outright adds have continued to outperform the outright deletes for the STAR100 Index.</li>
</ul>


There are 3 constituent changes for the STAR50 INDEX and 6 changes for the STAR100 Index at the March rebalance that will be implemented at the close on 14 March.
The last-minute methodology change could lead to under/over positioning on some names and those stocks could move the most over the next few days.
Performance has been mixed in the changes to the STAR50 INDEX but the outright adds have continued to outperform the outright deletes for the STAR100 Index.


STAR50/STAR100 Index Rebalance: Methodology Changes & Some Surprises

Shanghai Allist Pharmaceuticals / Index Rebalance

Shanghai Allist Pharmaceuticals (688578 CH)

<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> and 8 changes for the STAR100 Index. There are a few migrations between the indices.</li>
<li>We estimate turnover of 3.8% 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 9.9% for the STAR100 Index. The estimated net round-trip trade is CNY 13bn (US$1.8bn).</li>
<li>The forecast adds 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> have underperformed the forecast deletes. For the STAR100 Index outright changes, the forecast adds have outperformed the forecast deletes by a lot.</li>
</ul>


With the review period complete, we forecast 3 changes for the SSE STAR50 (STAR50 INDEX) and 8 changes for the STAR100 Index. There are a few migrations between the indices.
We estimate turnover of 3.8% for the SSE STAR50 (STAR50 INDEX) and 9.9% for the STAR100 Index. The estimated net round-trip trade is CNY 13bn (US$1.8bn).
The forecast adds to the STAR50 INDEX have underperformed the forecast deletes. For the STAR100 Index outright changes, the forecast adds have outperformed the forecast deletes by a lot.


STAR50/STAR100 Index Rebalance Preview: One Is Meh; The Other Is👍

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>STAR 100 index tracks the next 100 names (51st-150th ranks) and it represents the mid-cap segment of the STAR market.</li>
<li>In this insight, we take a look at the potential ADDs/DELs for the STAR 50 and STAR 100 indices for the March 2025 index rebal event.</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.
STAR 100 index tracks the next 100 names (51st-150th ranks) and it represents the mid-cap segment of the STAR market.
In this insight, we take a look at the potential ADDs/DELs for the STAR 50 and STAR 100 indices for the March 2025 index rebal event.


Quiddity Leaderboard STAR 50/100 Mar 25: LONGs Up ~12% Vs SHORTs in a Month; More to Come

<ul>
<li>95% of the way through the review period, there could be 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 8 changes for the STAR100 Index.</li>
<li>We estimate turnover of 4.1% 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">STAR50 INDEX</a> and 9.3% for the STAR100 Index. The net round-trip trade is CNY 14.1bn (US$1.9bn).</li>
<li>The forecast adds 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> have outperformed the forecast deletes with steady outperformance over the last 3 months; the performance for the STAR100 Index is a lot better.</li>
</ul>


95% of the way through the review period, there could be 3 changes for the SSE STAR50 (STAR50 INDEX) and 8 changes for the STAR100 Index.
We estimate turnover of 4.1% for the STAR50 INDEX and 9.3% for the STAR100 Index. The net round-trip trade is CNY 14.1bn (US$1.9bn).
The forecast adds to the STAR50 INDEX have outperformed the forecast deletes with steady outperformance over the last 3 months; the performance for the STAR100 Index is a lot better.


STAR50/STAR100 Index Rebalance Preview: Migrations & Outright Changes Lead to Outperformance

<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>STAR 100 index tracks the next 100 names (51st-150th ranks) and it represents the mid-cap segment of the STAR market.</li>
<li>In this insight, we look at the potential ADDs/DELs for the STAR50/STAR100 indices for the March 2025 index rebal event and suggest a high impact trade idea.</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.
STAR 100 index tracks the next 100 names (51st-150th ranks) and it represents the mid-cap segment of the STAR market.
In this insight, we look at the potential ADDs/DELs for the STAR50/STAR100 indices for the March 2025 index rebal event and suggest a high impact trade idea.


Quiddity Leaderboard STAR 50/100 Mar25: Multiple Changes, Large Flows; High-Impact Trade Idea

China

ASR Microelectronics Co., Ltd. manufactures and distributes semiconductor products. The Company produces baseband communication chips, mobile intelligent terminal chips, low power consumption chips, high integration chips, global navigation and positioning chips, and other products. ASR Microelectronics also provides aemiconductor internet protocol authorization services.

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ASR Microelectronics (688220 CH)

STAR50/STAR100 Index Rebalance: Methodology Changes & Some Surprises

There are 3/6 changes for the STAR50/100 indices. Methodology changes result in a few surprises. The STAR50 adds/deletes have performed in line,...

Brian Freitas

STAR50/STAR100 Index Rebalance Preview: One Is Meh; The Other Is👍

Over the last 3 weeks, the outright adds to the STAR50 and STAR100 indices have underperformed the outright deletes by 6.36% in both cases....

Brian Freitas

Quiddity Leaderboard STAR 50/100 Mar 25: LONGs Up ~12% Vs SHORTs in a Month; More to Come

The STAR50/100 March 2025 index review results will be announced in a few days. Our final expectations for index changes can be found in this...

Janaghan Jeyakumar, CFA

STAR50/STAR100 Index Rebalance Preview: Migrations & Outright Changes Lead to Outperformance

There could be 16 changes across the STAR50/100 in March with passives trading nearly US$2bn round-trip. The forecast adds have outperformed the...

Brian Freitas

Quiddity Leaderboard STAR 50/100 Mar25: Multiple Changes, Large Flows; High-Impact Trade Idea

We believe the STAR 50 expected ADDs could continue to outperform the STAR 50 expected DELs over the next few weeks. All of these names have 3.5x...

Janaghan Jeyakumar, CFA

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