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 could be one change for the CNI Semiconductor Chips Index with <a href="https://www.smartkarma.com/entities/hwatsing-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:36700:1" rel="noopener">Hwatsing Technology (688120 CH)</a> replacing <a href="https://www.smartkarma.com/entities/starpower-semiconductor-ltd" target="_blank" data-smartkarma-citation="entities:30089:1" rel="noopener">StarPower Semiconductor (603290 CH)</a> in December. The change is right at the cusp.</li>
<li>Passive trackers are estimated to buy 0.8x ADV in <a href="https://www.smartkarma.com/entities/hwatsing-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:36700:1" rel="noopener">Hwatsing Technology</a> and sell 0.4x ADV in <a href="https://www.smartkarma.com/entities/starpower-semiconductor-ltd" target="_blank" data-smartkarma-citation="entities:30089:1" rel="noopener">StarPower Semiconductor</a>. There will be selling in <a href="https://www.smartkarma.com/entities/semiconductor-manufacturing-in" target="_blank" data-smartkarma-citation="entities:31062:1" rel="noopener">Semiconductor Manufacturing International Corporation (SMIC)</a> due to capping.</li>
<li>Both stocks have been moving higher over the last few weeks, but the potential inclusion has been outperforming the potential deletion pretty handily.</li>
</ul>


There could be one change for the CNI Semiconductor Chips Index with Hwatsing Technology (688120 CH) replacing StarPower Semiconductor (603290 CH) in December. The change is right at the cusp.
Passive trackers are estimated to buy 0.8x ADV in Hwatsing Technology and sell 0.4x ADV in StarPower Semiconductor. There will be selling in Semiconductor Manufacturing International Corporation (SMIC) due to capping.
Both stocks have been moving higher over the last few weeks, but the potential inclusion has been outperforming the potential deletion pretty handily.


CNI Semiconductor Chips Index Rebalance Preview: Potential Inclusion Outperforming

<ul>
<li>The review period for the December rebalance of the CSI All Share Semiconductor Index ended 31 October.  The changes should be announced on 29 November and implemented on 13 December.</li>
<li>We forecast 12 adds and 6 deletes for the index with a one-way turnover of 2.5% and a one-way trade of CNY 642m (US$90m).</li>
<li>The forecast adds to the index have outperformed the forecast deletes over the last few months with a move higher in the short-term too.</li>
</ul>


The review period for the December rebalance of the CSI All Share Semiconductor Index ended 31 October.  The changes should be announced on 29 November and implemented on 13 December.
We forecast 12 adds and 6 deletes for the index with a one-way turnover of 2.5% and a one-way trade of CNY 642m (US$90m).
The forecast adds to the index have outperformed the forecast deletes over the last few months with a move higher in the short-term too.


CSI All Share Semiconductor Index Rebalance Preview: 18 Changes as Adds Outperform

Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>SSE 50 and SSE 180, respectively, aim to represent the performance of the 50 and 180 largest and most liquid A-share stocks listed on the Shanghai Stock Exchange.</li>
<li>The reference period is for the December 2024 index rebal event is now complete. In this insight, we have presented our final list of expected ADDs and DELs.</li>
<li><em>While our SSE 50 expected ADDs/DELs list remains unchanged, there have been multiple last-minute changes to our SSE 180 expected ADDs/DELs list.</em></li>
</ul>


SSE 50 and SSE 180, respectively, aim to represent the performance of the 50 and 180 largest and most liquid A-share stocks listed on the Shanghai Stock Exchange.
The reference period is for the December 2024 index rebal event is now complete. In this insight, we have presented our final list of expected ADDs and DELs.
While our SSE 50 expected ADDs/DELs list remains unchanged, there have been multiple last-minute changes to our SSE 180 expected ADDs/DELs list.


Quiddity Leaderboard SSE50/180 Dec 24: Multiple Changes to Expectations; ~US$2.3bn Collective Flows

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

<ul>
<li>Our outlook remains bullish on global equities (MSCI ACWI) with ACWI-US and the S&amp;P 500 holding above their respective bases at $117 and 5650-5670.</li>
<li>As long as these base supports hold, we would use any election-related pullback as an opportunity to add exposure.</li>
<li>Following the election, we see a high probability of significant upside going into year-end.</li>
</ul>


Our outlook remains bullish on global equities (MSCI ACWI) with ACWI-US and the S&amp;P 500 holding above their respective bases at $117 and 5650-5670.
As long as these base supports hold, we would use any election-related pullback as an opportunity to add exposure.
Following the election, we see a high probability of significant upside going into year-end.


Bullish Outlook Intact on MSCI ACWI & SPX; Buys in Services, Technology, Discretionary, Gold Miners

<ul>
<li>Global equities (MSCI ACWI -- ACWI-US) and the U.S. (S&amp;P 500) remain topside their respective bases at $117 and 5650-5670.</li>
<li>As discussed last week (October 17, 2024 Int'l Compass), we upgraded our outlook on global equities (MSCI ACWI) to bullish, saying to use any pre-election pullback as opportunity to buy.</li>
<li>The pullback appears to be underway, and we are buyers as long as ACWI-US and S&amp;P 500 remain above their aforementioned bases</li>
</ul>


Global equities (MSCI ACWI -- ACWI-US) and the U.S. (S&amp;P 500) remain topside their respective bases at $117 and 5650-5670.
As discussed last week (October 17, 2024 Int'l Compass), we upgraded our outlook on global equities (MSCI ACWI) to bullish, saying to use any pre-election pullback as opportunity to buy.
The pullback appears to be underway, and we are buyers as long as ACWI-US and S&amp;P 500 remain above their aforementioned bases


Buying Global Technology; SPX and MSCI ACWI Above Base Supports; Sea, TSMC, SAP, Luxshare, & More

China

Cambricon Technologies Corporation Limited develops and distributes software products. The Company produces terminal intelligent processors, cloud intelligent chips, accelerator cards, intelligent computing cluster systems, and other products. Cambricon Technologies also produces computer peripheral products.

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Cambricon Technologies Lt (688256 CH)

CNI Semiconductor Chips Index Rebalance Preview: Potential Inclusion Outperforming

Hwatsing Tech could replace StarPower Semiconductor in the index. Passive trackers will need to buy 0.8x ADV in Hwatsing and sell 0.4x ADV in...

Brian Freitas

Quiddity Leaderboard SSE50/180 Dec 24: Multiple Changes to Expectations; ~US$2.3bn Collective Flows

We estimate SSE 50 one-way flow to be US$1.98bn and SSE 180 one-way flow to be US$286mn during the December 2024 index rebal event.

Janaghan Jeyakumar, CFA

Bullish Outlook Intact on MSCI ACWI & SPX; Buys in Services, Technology, Discretionary, Gold Miners

Bullish Outlook Intact on MSCI $ACWI and $SPX as they hold above their respective bases at $117 and 5650-5670; Buys in Services, Technology,...

Vermilion Research

Buying Global Technology; SPX and MSCI ACWI Above Base Supports; Sea, TSMC, SAP, Luxshare, & More

Buying Global Technology; $SPX and MSCI $ACWI Remain Above Base Supports at 5650-5670 and $117; Buying Taiwan Semiconductor $TSM $SE $SAP $GRAB...

Vermilion Research

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CNI Semiconductor Chips Index Rebalance Preview: Potential Inclusion Outperforming

Hwatsing Tech could replace StarPower Semiconductor in the index. Passive trackers will need to buy 0.8x ADV in Hwatsing and sell 0.4x ADV in...

Brian Freitas

CSI All Share Semiconductor Index Rebalance Preview: 18 Changes as Adds Outperform

There could be 12 adds, 6 deletes in Dec. Impact is not very large, but 12 stocks will have flows from other index trackers too. The forecast adds...

Brian Freitas

Quiddity Leaderboard SSE50/180 Dec 24: Multiple Changes to Expectations; ~US$2.3bn Collective Flows

We estimate SSE 50 one-way flow to be US$1.98bn and SSE 180 one-way flow to be US$286mn during the December 2024 index rebal event.

Janaghan Jeyakumar, CFA

Bullish Outlook Intact on MSCI ACWI & SPX; Buys in Services, Technology, Discretionary, Gold Miners

Bullish Outlook Intact on MSCI $ACWI and $SPX as they hold above their respective bases at $117 and 5650-5670; Buys in Services, Technology,...

Vermilion Research

Buying Global Technology; SPX and MSCI ACWI Above Base Supports; Sea, TSMC, SAP, Luxshare, & More

Buying Global Technology; $SPX and MSCI $ACWI Remain Above Base Supports at 5650-5670 and $117; Buying Taiwan Semiconductor $TSM $SE $SAP $GRAB...

Vermilion Research