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

Guotai Haitong Securities / Index Rebalance

<ul>
<li>There could be 23 changes for the CSI A500 Index at the December rebalance. Turnover is estimated at 2.9% and the round-trip trade is around US$1.6bn.</li>
<li>There is a fair amount of balance between sectors with Consumer Discretionary and Health Care expected to lose index spots to Industrials, Information Technology and Materials.</li>
<li>The forecast adds outperformed the forecast deletes from June-September but have given up gains since then. Position in stocks that will have same-way flows from passive trackers of other indices.</li>
</ul>


There could be 23 changes for the CSI A500 Index at the December rebalance. Turnover is estimated at 2.9% and the round-trip trade is around US$1.6bn.
There is a fair amount of balance between sectors with Consumer Discretionary and Health Care expected to lose index spots to Industrials, Information Technology and Materials.
The forecast adds outperformed the forecast deletes from June-September but have given up gains since then. Position in stocks that will have same-way flows from passive trackers of other indices.


CSI A500 Index Rebalance Preview: Bunch of Changes to Lead to US$1.6bn Trade

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Douglas Research Advisory

Event-Driven

<ul>
<li>The U.S. Department of Defense announced that it has added numerous Chinese companies including Tencent and CATL as companies that work with China's military.</li>
<li>This is likely to negatively impact Tencent and CATL's prices in the next several weeks but positively impact on some of the major Korean rechargeable battery and gaming stocks.</li>
<li>The higher probability scenario at this point is for Tencent and CATL to be officially included in the Chinese Military Industrial Complex list in the coming weeks. </li>
</ul>


The U.S. Department of Defense announced that it has added numerous Chinese companies including Tencent and CATL as companies that work with China's military.
This is likely to negatively impact Tencent and CATL's prices in the next several weeks but positively impact on some of the major Korean rechargeable battery and gaming stocks.
The higher probability scenario at this point is for Tencent and CATL to be officially included in the Chinese Military Industrial Complex list in the coming weeks. 


US Defense Dept Designates Tencent and CATL as Military Companies - Impact on Korean Competitors

Sichuan Biokin Pharmaceutical / Index Rebalance

Sichuan Biokin Pharmaceutical (688506 CH)

<ul>
<li>As expected, the index committee has used a 6-month minimum listing history and that results in one change 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 December.</li>
<li>
<a href="https://www.smartkarma.com/entities/sichuan-biokin-pharmaceutical-co-ltd" target="_blank" data-smartkarma-citation="entities:40027:1" rel="noopener">Sichuan Biokin Pharmaceutical (688506 CH)</a> will replace <a href="https://www.smartkarma.com/entities/ninebot-ltd" target="_blank" data-smartkarma-citation="entities:32180:1" rel="noopener">Ninebot (689009 CH)</a> in the index at the close on 8 December.</li>
<li>One way turnover is estimated at 2.18% and will result in a one-way trade of CNY 3,065m. <a href="https://www.smartkarma.com/entities/sichuan-biokin-pharmaceutical-co-ltd" target="_blank" data-smartkarma-citation="entities:40027:1" rel="noopener">Sichuan Biokin Pharmaceutical (688506 CH)</a> has moved up and there will be pre-positioning.</li>
</ul>


As expected, the index committee has used a 6-month minimum listing history and that results in one change to the SSE STAR50 (STAR50 INDEX) in December.

Sichuan Biokin Pharmaceutical (688506 CH) will replace Ninebot (689009 CH) in the index at the close on 8 December.
One way turnover is estimated at 2.18% and will result in a one-way trade of CNY 3,065m. Sichuan Biokin Pharmaceutical (688506 CH) has moved up and there will be pre-positioning.


STAR50 Index Rebalance: Big Impact Expected; Inclusion Up 40% in One Month

<ul>
<li>With the review period complete, we expect one change 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> in December if the index committee continues to use a 6-month minimum listing history.</li>
<li>With net inflows to mainland China ETFs over the last few months, passive trackers will need to trade between 9-25 days of ADV on the potential add and delete.</li>
<li>
<a href="https://www.smartkarma.com/entities/semiconductor-manufacturing-in" target="_blank" data-smartkarma-citation="entities:31062:1" rel="noopener">SMIC (688981 CH)</a> will be capped and there will be reverse funding flows on the index constituents. One-way turnover is estimated at 1.8% resulting in a one-way trade of CNY2,580m.</li>
</ul>


With the review period complete, we expect one change for the STAR50 INDEX in December if the index committee continues to use a 6-month minimum listing history.
With net inflows to mainland China ETFs over the last few months, passive trackers will need to trade between 9-25 days of ADV on the potential add and delete.

SMIC (688981 CH) will be capped and there will be reverse funding flows on the index constituents. One-way turnover is estimated at 1.8% resulting in a one-way trade of CNY2,580m.


STAR50 Index Rebalance Preview: Big Impact Expected on the Changes

<ul>
<li>The review period for the December rebalance ends 31 October. We expect the changes to be announced 24 November with the implementation taking place after the close on 8 December.</li>
<li>We expect the index committee to continue using a 6-month minimum listing history resulting in one change to the index.</li>
<li>One way turnover is estimated at 1.6% resulting in a one-way trade of CNY 2,259m. The impact on the deletion will be much larger than that on the inclusion.</li>
</ul>


The review period for the December rebalance ends 31 October. We expect the changes to be announced 24 November with the implementation taking place after the close on 8 December.
We expect the index committee to continue using a 6-month minimum listing history resulting in one change to the index.
One way turnover is estimated at 1.6% resulting in a one-way trade of CNY 2,259m. The impact on the deletion will be much larger than that on the inclusion.


STAR50 Index Rebalance Preview: Bigger Tracking AUM = Bigger Impact

China

Autel Intelligent Technology Corp., Ltd manufactures automobile equipment. The Company produces automotive diagnostic and analysis systems, automotive key tools, electrical testers, code readers and scanners, and other relates equipment. Autel Intelligent Technology markets its products worldwide.

Autel Intelligent Technology C (688208 CH)

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Autel Intelligent Technology C (688208 CH)

CSI A500 Index Rebalance Preview: Bunch of Changes to Lead to US$1.6bn Trade

There could be 23 changes for the CSI A500 Index at the Dec rebal. Estimated turnover is 2.9% and round-trip trade is US$1.6bn. Adds outperformed...

Brian Freitas

US Defense Dept Designates Tencent and CATL as Military Companies - Impact on Korean Competitors

The U.S. Department of Defense announced that it has added numerous Chinese companies including Tencent and CATL as companies that work with...

Douglas Kim

STAR50 Index Rebalance: Big Impact Expected; Inclusion Up 40% in One Month

There is 1 change for the index resulting in 1-way turnover of 2.18% and 1-way trade of CNY3.07bn. The add is up 40% over the last month and there...

Brian Freitas

STAR50 Index Rebalance Preview: Big Impact Expected on the Changes

There could be 1 index change in Dec. The ETF inflows over the last few months results in passives needing to trade 9-25x ADV on the add/delete....

Brian Freitas

STAR50 Index Rebalance Preview: Bigger Tracking AUM = Bigger Impact

There could be one change in December resulting in a one-way turnover of 1.6% and a one-way trade of CNY 2,259m. The impact of passive trading on...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)