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>
<a href="https://www.smartkarma.com/entities/midea-group-co-ltd" target="_blank" data-smartkarma-citation="entities:43993:1" rel="noopener">Midea Group (300 HK)</a> and <a href="https://www.smartkarma.com/entities/zto-express-cayman-inc" target="_blank" data-smartkarma-citation="entities:33488:1" rel="noopener">ZTO Express Cayman (2057 HK)</a> will be added to the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng Index (HSI INDEX)</a> in June to take us up to 85 index constituents.</li>
<li>Estimated one-way turnover is 2.9% and the estimated round-trip trade is HK$11.3bn (US$1.44bn) with over 1x ADV to trade in the adds and in one stock with a FAF increase.</li>
<li>There could be a short-term drop in the AH premium for <a href="https://www.smartkarma.com/entities/midea-group-co-ltd" target="_blank" data-smartkarma-citation="entities:43993:1" rel="noopener">Midea Group</a> while this inclusion ensures <a href="https://www.smartkarma.com/entities/zto-express-cayman-inc" target="_blank" data-smartkarma-citation="entities:33488:1" rel="noopener">ZTO Express Cayman</a> is a member of all major indices where eligible.</li>
</ul>



Midea Group (300 HK) and ZTO Express Cayman (2057 HK) will be added to the Hang Seng Index (HSI INDEX) in June to take us up to 85 index constituents.
Estimated one-way turnover is 2.9% and the estimated round-trip trade is HK$11.3bn (US$1.44bn) with over 1x ADV to trade in the adds and in one stock with a FAF increase.
There could be a short-term drop in the AH premium for Midea Group while this inclusion ensures ZTO Express Cayman is a member of all major indices where eligible.


Hang Seng Index (HSI) Rebalance: Midea (300 HK) & ZTO Express (2057 HK) Added; Inching Towards a 100

<ul>
<li>As expected, <a href="https://www.smartkarma.com/entities/byd-co-ltd-h" target="_blank" data-smartkarma-citation="entities:20962:1" rel="noopener">BYD (1211 HK)</a> will be added to the <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">Hang Seng TECH Index (HSTECH INDEX)</a> in June following the launch of God's Eye, its Advanced Driver-Assistance System (ADAS).</li>
<li>
<a href="https://www.smartkarma.com/entities/byd-co-ltd-h" target="_blank" data-smartkarma-citation="entities:20962:1" rel="noopener">BYD (1211 HK)</a>'s inclusion results in <a href="https://www.smartkarma.com/entities/china-literature-ltd" target="_blank" data-smartkarma-citation="entities:24388:1" rel="noopener">China Literature (772 HK)</a> being deleted from the index. <a href="https://www.smartkarma.com/entities/china-literature-ltd" target="_blank" data-smartkarma-citation="entities:24388:1" rel="noopener">China Literature</a> stock should drop over the near-term.</li>
<li>Estimated one-way turnover at the rebalance is 13% resulting in a round-trip trade of HK$46.5bn (US$5.95bn). There are 16 stocks that have at least 1x ADV to trade from passives.</li>
</ul>


As expected, BYD (1211 HK) will be added to the Hang Seng TECH Index (HSTECH INDEX) in June following the launch of God's Eye, its Advanced Driver-Assistance System (ADAS).

BYD (1211 HK)'s inclusion results in China Literature (772 HK) being deleted from the index. China Literature stock should drop over the near-term.
Estimated one-way turnover at the rebalance is 13% resulting in a round-trip trade of HK$46.5bn (US$5.95bn). There are 16 stocks that have at least 1x ADV to trade from passives.


HSTECH Index Rebalance: BYD (1211 HK) To Replace China Literature (772 HK) As Trade Hits US$6bn

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

<ul>
<li>In this insight, we present the flows to buy and sell for each of the top 6 Hang Seng Index Family indices based on estimated tracking AUM.</li>
<li>The indices: Hang Seng Index (HSI), HS Tech Index (HSTECH), HS China Enterprise Index (HSCEI), HS HK Biotech (HSHKBIO), HS Internet &amp; Infotech (HSIII), and HS Healthcare Index (HSHCI).</li>
<li>By Quiddity calculations based on the 16 May close, there is one-way flow across these six indices of HK$34,556,596,089.99 (approximately), to trade on 6 June. </li>
</ul>


In this insight, we present the flows to buy and sell for each of the top 6 Hang Seng Index Family indices based on estimated tracking AUM.
The indices: Hang Seng Index (HSI), HS Tech Index (HSTECH), HS China Enterprise Index (HSCEI), HS HK Biotech (HSHKBIO), HS Internet &amp; Infotech (HSIII), and HS Healthcare Index (HSHCI).
By Quiddity calculations based on the 16 May close, there is one-way flow across these six indices of HK$34,556,596,089.99 (approximately), to trade on 6 June. 


[Quiddity Index] Six Hang Seng Index Family Indices: Flows for June 6 Rebal

<ul>
<li>We had <a href="https://www.smartkarma.com/entities/pop-mart-international-group-l" target="_blank" data-smartkarma-citation="entities:29016:1" rel="noopener">Pop Mart International (9992 HK)</a> at the cusp of index inclusion. An increase in <a href="https://www.smartkarma.com/entities/postal-savings-bank-of-china-c-2a9047eb-af5e-4621-85c4-3cac677a1d13" target="_blank" data-smartkarma-citation="entities:22848:1" rel="noopener">Postal Savings Bank of China (1658 HK)</a>'s FAF led to <a href="https://www.smartkarma.com/entities/pop-mart-international-group-l" target="_blank" data-smartkarma-citation="entities:29016:1" rel="noopener">Pop Mart</a> missing out.</li>
<li>Estimated one-way turnover at the rebalance is 3.18% leading to a round-trip trade of HK$3.8bn (US$489m).</li>
<li>There are large inflows for <a href="https://www.smartkarma.com/entities/netease-inc" target="_blank" data-smartkarma-citation="entities:29030:1" rel="noopener">NetEase (9999 HK)</a>, <a href="https://www.smartkarma.com/entities/trip-com-group-ltd-23a341d0-4f63-4175-a8c5-ee990906cacd" target="_blank" data-smartkarma-citation="entities:36424:1" rel="noopener">Trip.com Group (9961 HK)</a> and <a href="https://www.smartkarma.com/entities/baidu-inc-a55ca720-5968-48f0-8194-ac94390d065c" target="_blank" data-smartkarma-citation="entities:32212:1" rel="noopener">Baidu (9888 HK)</a> due to a FAF methodology change for Secondary Listings.</li>
</ul>


We had Pop Mart International (9992 HK) at the cusp of index inclusion. An increase in Postal Savings Bank of China (1658 HK)'s FAF led to Pop Mart missing out.
Estimated one-way turnover at the rebalance is 3.18% leading to a round-trip trade of HK$3.8bn (US$489m).
There are large inflows for NetEase (9999 HK), Trip.com Group (9961 HK) and Baidu (9888 HK) due to a FAF methodology change for Secondary Listings.


HSCEI Index Rebalance: Why Did Pop Mart (9992 HK) Miss?

<ul>
<li>There are no constituent changes for the Hang Seng Internet &amp; IT Index (HSIII) in June but there will be float and capping changes.</li>
<li>Estimated one-way turnover is 5.95% and that leads to a round-trip trade of HK$3.2bn (US$410m). There are a few stocks with over 0.5x ADV to trade from passive trackers.</li>
<li>The inflows to <a href="https://www.smartkarma.com/entities/netease-inc" target="_blank" data-smartkarma-citation="entities:29030:1" rel="noopener">NetEase (9999 HK)</a> and <a href="https://www.smartkarma.com/entities/baidu-inc-a55ca720-5968-48f0-8194-ac94390d065c" target="_blank" data-smartkarma-citation="entities:32212:1" rel="noopener">Baidu (9888 HK)</a> and the outflows from <a href="https://www.smartkarma.com/entities/kuaishou-technology" target="_blank" data-smartkarma-citation="entities:29725:1" rel="noopener">Kuaishou Technology (1024 HK)</a> and <a href="https://www.smartkarma.com/entities/bilibili-inc-83a27302-cd7d-4e6a-a1de-bcf93eb022c3" target="_blank" data-smartkarma-citation="entities:32215:1" rel="noopener">Bilibili (9626 HK)</a> will add to the flows from other indices.</li>
</ul>


There are no constituent changes for the Hang Seng Internet &amp; IT Index (HSIII) in June but there will be float and capping changes.
Estimated one-way turnover is 5.95% and that leads to a round-trip trade of HK$3.2bn (US$410m). There are a few stocks with over 0.5x ADV to trade from passive trackers.
The inflows to NetEase (9999 HK) and Baidu (9888 HK) and the outflows from Kuaishou Technology (1024 HK) and Bilibili (9626 HK) will add to the flows from other indices.


Hang Seng Internet & IT Index (HSIII) Rebalance: Float & Capping Changes

China

Baidu, Inc. operates an Internet search engine. The Company offers algorithmic search, enterprise search, news, MP3, and image searches, voice assistance, online storage, and navigation services. Baidu serves clients globally.

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Baidu (9888 HK)

Hang Seng Index (HSI) Rebalance: Midea (300 HK) & ZTO Express (2057 HK) Added; Inching Towards a 100

Midea and ZTO Express will be added to the HSI after market close on 6 June. Estimated turnover is 2.9% and the estimated trade is HK$11.3bn. Watch...

Brian Freitas

HSTECH Index Rebalance: BYD (1211 HK) To Replace China Literature (772 HK) As Trade Hits US$6bn

In a change that was not widely forecast, BYD will replace China Literature in the index. That change plus large FAF changes set off a huge trade....

Brian Freitas

[Quiddity Index] Six Hang Seng Index Family Indices: Flows for June 6 Rebal

The Hang Seng rebalance saw 8 ADDs and 3 DELETEs among the top six tracked indices in the family. The flows among those six total US$4.4bn a side.

Travis Lundy

HSCEI Index Rebalance: Why Did Pop Mart (9992 HK) Miss?

Pop Mart misses inclusion due to a float increase for a different stock. Estimated turnover is 3.18% and trade is HK$3.8bn. NetEase, Trip.com,...

Brian Freitas

Hang Seng Internet & IT Index (HSIII) Rebalance: Float & Capping Changes

No constituent changes for the HSIII in June but there will be float and capping changes. Estimated one-way turnover is 5.95% leading to a round...

Brian Freitas

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