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>There are 15 changes for the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a> at the upcoming rebalance that will be implemented at the close of trading on 9 December.</li>
<li>While most of the deletions are in line with forecasts, there are a few differences on the inclusions as the index committee has used its discretion to overlook some names.</li>
<li>The Industrials, Materials and Utilities sectors gain index spots at the expense of Health Care, Financials, Consumer Staples and Consumer Discretionary.</li>
</ul>


There are 15 changes for the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) at the upcoming rebalance that will be implemented at the close of trading on 9 December.
While most of the deletions are in line with forecasts, there are a few differences on the inclusions as the index committee has used its discretion to overlook some names.
The Industrials, Materials and Utilities sectors gain index spots at the expense of Health Care, Financials, Consumer Staples and Consumer Discretionary.


CSI300 Index Rebalance: The Surprises Could Outperform

HK/China Healthcare Analyst (ex-Fosun Pharma)

Xinyao (Criss) Wang

Equity Bottom-Up

China Resources Pharmaceutical / Equity Bottom-Up

<ul>
<li>The distribution business is stable, but it’s difficult to achieve high growth/profits due to industry trend. Therefore, the valuation of this business is hard to increase.</li>
<li>The performance of pharmaceutical manufacturing business is important, which largely determines the overall profit margin. But it actually depends on what the subsidiaries can contribute, who are facing different challenges.</li>
<li>China Resources Pharmaceutical may need to improve its vision of asset selection and its ability to judge and grasp the long-term trend of the industry. The current valuation isn’t attractive.</li>
</ul>


The distribution business is stable, but it’s difficult to achieve high growth/profits due to industry trend. Therefore, the valuation of this business is hard to increase.
The performance of pharmaceutical manufacturing business is important, which largely determines the overall profit margin. But it actually depends on what the subsidiaries can contribute, who are facing different challenges.
China Resources Pharmaceutical may need to improve its vision of asset selection and its ability to judge and grasp the long-term trend of the industry. The current valuation isn’t attractive.


China Resources Pharmaceutical (3320.HK) - Here Are the Concerns

China Zhenhua (Group) Science & Tech / Index Rebalance

<ul>
<li>Near the end of the review period, we see 16 potential changes to the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> at the December rebalance. There are other stocks very close to the cutoffs.</li>
<li>We estimate a one-way turnover of 3.04% at the December rebalance leading to a one-way trade of CNY 8.4bn.</li>
<li>The potential adds have outperformed the potential deletes, though the gap has narrowed in the last few weeks. We'd position for outperformance post the end of the review period.</li>
</ul>


Near the end of the review period, we see 16 potential changes to the CSI 300 Index at the December rebalance. There are other stocks very close to the cutoffs.
We estimate a one-way turnover of 3.04% at the December rebalance leading to a one-way trade of CNY 8.4bn.
The potential adds have outperformed the potential deletes, though the gap has narrowed in the last few weeks. We'd position for outperformance post the end of the review period.


CSI300 Index Rebalance Preview: Potential Changes and Close Names

<ul>
<li>Nearing the end of the review period for the December rebalance of the CSI500 Index, we forecast 50 changes (the maximum permitted) at the close on 9 December.</li>
<li>There is a big sector skew in the potential changes. We estimate a one-way turnover of 13.67% at the December rebalance leading to a one-way trade of CNY 7.53bn.</li>
<li>The potential adds have outperformed over the last 6 months but have given up some of the gains recently as market turned volatile. Expect outperformance as the review period ends.</li>
</ul>


Nearing the end of the review period for the December rebalance of the CSI500 Index, we forecast 50 changes (the maximum permitted) at the close on 9 December.
There is a big sector skew in the potential changes. We estimate a one-way turnover of 13.67% at the December rebalance leading to a one-way trade of CNY 7.53bn.
The potential adds have outperformed over the last 6 months but have given up some of the gains recently as market turned volatile. Expect outperformance as the review period ends.


CSI500 Index Rebalance Preview: Positioned for Outperformance

Xinjiang Daqo New Energy  Lt / Index Rebalance

<ul>
<li>Past the midway mark in the review period, we see 18 potential changes to the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a> at the December rebalance.</li>
<li>We estimate a one-way turnover of 3.32% at the December rebalance leading to a one-way trade of CNY 8.55bn.</li>
<li>The potential adds have outperformed the potential deletes and the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index</a> over the last few months, with the outperformance widening over the last few weeks.</li>
</ul>


Past the midway mark in the review period, we see 18 potential changes to the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) at the December rebalance.
We estimate a one-way turnover of 3.32% at the December rebalance leading to a one-way trade of CNY 8.55bn.
The potential adds have outperformed the potential deletes and the Shanghai Shenzhen CSI 300 Index over the last few months, with the outperformance widening over the last few weeks.


CSI300 Index Rebalance Preview: Outperformance Continues & Could Keep Going

China

Beijing Tiantan Biological Products Corporation Limited researches, develops, and commercializes biological products.  The Company provides treatment for hepatitis and offers a line of vaccine products including hepatitis vaccines and rubella vaccines.

Beijing Tiantan Biological Products (600161 CH)

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Beijing Tiantan Biological Products (600161 CH)

CSI300 Index Rebalance: The Surprises Could Outperform

There are 15 changes in December. Most of the deletions were forecast but there are surprises among the adds. One-way turnover is 2.4% and the one...

Brian Freitas

China Resources Pharmaceutical (3320.HK) - Here Are the Concerns

Pharmaceutical manufacturing business is the key to drive valuation,but the subsidiaries face challenge.CR Pharma should improve its vision of...

Xinyao (Criss) Wang

CSI300 Index Rebalance Preview: Potential Changes and Close Names

We forecast 16 changes for the CSI300 Index at the December rebal. There are a few other stocks that are very close to the cutoff thresholds. One...

Brian Freitas

CSI500 Index Rebalance Preview: Positioned for Outperformance

There could be 50 changes to the index in December. We estimate a one-way turnover of 13.67% at the December rebalance leading to a one-way trade...

Brian Freitas

CSI300 Index Rebalance Preview: Outperformance Continues & Could Keep Going

Midway through the review period, we see 18 potential changes to the CSI300 Index at the December rebalance. The adds have outperformed the deletes...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)