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

Anker Innovations Technology / Index Rebalance

<ul>
<li>There could be 1 constituent change (maybe 2) for the STAR&amp;CHINEXT 50 Index in June. The announcement of the potential change will be made after market close on Friday.</li>
<li>
<a href="https://www.smartkarma.com/entities/anker-innovations-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:36238:1" rel="noopener">Anker Innovations Technology</a> could replace <a href="https://www.smartkarma.com/entities/suzhou-maxwell-technologies-co" target="_blank" data-smartkarma-citation="entities:29819:1" rel="noopener">Suzhou Maxwell Technologies</a> in the index. If AVIC Chengdu Aircraft is added to the index, <a href="https://www.smartkarma.com/entities/wuxi-lead-intelligent-equipmen" target="_blank" data-smartkarma-citation="entities:27971:1" rel="noopener">Wuxi Lead Intelligent Equipment</a> could be deleted.</li>
<li>
<a href="https://www.smartkarma.com/entities/anker-innovations-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:36238:1" rel="noopener">Anker Innovations Technology</a> could have opposite flow and <a href="https://www.smartkarma.com/entities/suzhou-maxwell-technologies-co" target="_blank" data-smartkarma-citation="entities:29819:1" rel="noopener">Suzhou Maxwell Technologies</a> could have same way flow from passive trackers of other indices on the same day.</li>
</ul>


There could be 1 constituent change (maybe 2) for the STAR&amp;CHINEXT 50 Index in June. The announcement of the potential change will be made after market close on Friday.

Anker Innovations Technology could replace Suzhou Maxwell Technologies in the index. If AVIC Chengdu Aircraft is added to the index, Wuxi Lead Intelligent Equipment could be deleted.

Anker Innovations Technology could have opposite flow and Suzhou Maxwell Technologies could have same way flow from passive trackers of other indices on the same day.


STAR&CHINEXT 50 Index Rebalance Preview: One Set of Change; Maybe Two

<ul>
<li>There could be 1 change each for the STAR Chip Index and CNI Semiconductor Chips Index, and 3 changes for the CES China Semiconductor Chips Index in June.</li>
<li>There are a few stocks that will have same-way flow from passive trackers of 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>, STAR 100 Index, <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500 Index</a>, CSI 1000 Index and CSI A500 Index. </li>
<li>The round-trip trade across the indices is CNY 2.9bn (US$400m) and will add to the impact across the other China indices that rebalance on the same day.</li>
</ul>


There could be 1 change each for the STAR Chip Index and CNI Semiconductor Chips Index, and 3 changes for the CES China Semiconductor Chips Index in June.
There are a few stocks that will have same-way flow from passive trackers of the STAR50 INDEX, STAR 100 Index, CSI 500 Index, CSI 1000 Index and CSI A500 Index. 
The round-trip trade across the indices is CNY 2.9bn (US$400m) and will add to the impact across the other China indices that rebalance on the same day.


STAR Chip/ CES Chips/ CNI Chips Index Rebalance Preview: Multiple Stocks with Overlapping Flow

Nationz Technologies Inc A / Index Rebalance

<ul>
<li>The review period for the June rebalance of the CSI All Share Semiconductor Index ended 30 April. The changes should be announced on 30 May and implemented on 13 June.</li>
<li>We forecast 4 adds and 9 deletes for the index with a one-way turnover of 2.7% and a round-trip trade of CNY 1.2bn (US$167m).</li>
<li>Some stocks have overlaps with changes to the CES China Semiconductor Chips Index and the CNI Semiconductor Chips Index and there will be increased passive flow for those stocks.</li>
</ul>


The review period for the June rebalance of the CSI All Share Semiconductor Index ended 30 April. The changes should be announced on 30 May and implemented on 13 June.
We forecast 4 adds and 9 deletes for the index with a one-way turnover of 2.7% and a round-trip trade of CNY 1.2bn (US$167m).
Some stocks have overlaps with changes to the CES China Semiconductor Chips Index and the CNI Semiconductor Chips Index and there will be increased passive flow for those stocks.


CSI All Share Semiconductor Index Rebalance Preview: 13 Potential Changes in June

<ul>
<li>The review period for the June rebalance of the CSI All Share Semiconductor Index ends 30 April. The changes should be announced on 30 May and implemented on 13 June.</li>
<li>We forecast 4/5 adds and 8 deletes for the index with a one-way turnover of 2.4% and a round-trip trade of CNY 990m (US$136m).</li>
<li>There are many forecast adds and deletes that will have same side flows from trackers of the CES China Semiconductor Chips Index and the CNI Semiconductor Chips Index.</li>
</ul>


The review period for the June rebalance of the CSI All Share Semiconductor Index ends 30 April. The changes should be announced on 30 May and implemented on 13 June.
We forecast 4/5 adds and 8 deletes for the index with a one-way turnover of 2.4% and a round-trip trade of CNY 990m (US$136m).
There are many forecast adds and deletes that will have same side flows from trackers of the CES China Semiconductor Chips Index and the CNI Semiconductor Chips Index.


CSI All Share Semiconductor Index Rebalance Preview: Multiple Index Flows for Some Stocks

<ul>
<li>There could be one change for the CNI Semiconductor Chips Index with <a href="https://www.smartkarma.com/entities/nexchip-semiconductor-corp" target="_blank" data-smartkarma-citation="entities:40390:1" rel="noopener">Nexchip Semiconductor (688249 CH)</a> replacing <a href="https://www.smartkarma.com/entities/amlogic-shanghai-co-ltd" target="_blank" data-smartkarma-citation="entities:30340:1" rel="noopener">Amlogic Shanghai (688099 CH)</a> in June.</li>
<li>Passive trackers are estimated to buy 1.4x ADV in <a href="https://www.smartkarma.com/entities/nexchip-semiconductor-corp" target="_blank" data-smartkarma-citation="entities:40390:1" rel="noopener">Nexchip Semiconductor</a> and sell 0.8x ADV in <a href="https://www.smartkarma.com/entities/amlogic-shanghai-co-ltd" target="_blank" data-smartkarma-citation="entities:30340:1" rel="noopener">Amlogic Shanghai</a>. There will be buying 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>The forecast add and delete have performed in line since the start of the year but there has been a move higher in the last few weeks.</li>
</ul>


There could be one change for the CNI Semiconductor Chips Index with Nexchip Semiconductor (688249 CH) replacing Amlogic Shanghai (688099 CH) in June.
Passive trackers are estimated to buy 1.4x ADV in Nexchip Semiconductor and sell 0.8x ADV in Amlogic Shanghai. There will be buying in Semiconductor Manufacturing International Corporation (SMIC) due to capping.
The forecast add and delete have performed in line since the start of the year but there has been a move higher in the last few weeks.


CNI Semiconductor Chips Index Rebalance Preview: One Change in June

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)

STAR&CHINEXT 50 Index Rebalance Preview: One Set of Change; Maybe Two

There should be 1 index change in June. Possibly 2. Anker Innovations is a potential CSI300 delete while Suzhou Maxwell is a global index deletion...

Brian Freitas

STAR Chip/ CES Chips/ CNI Chips Index Rebalance Preview: Multiple Stocks with Overlapping Flow

There will be multiple changes across the indices with many stocks having same-way flow from passive trackers of other indices. Announcement on...

Brian Freitas

CNI Semiconductor Chips Index Rebalance Preview: One Change in June

Nexchip Semi could replace Amlogic Shanghai in the index. Passive trackers will need to buy 1.4x ADV in the add and sell 0.8x ADV in the delete....

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

STAR&CHINEXT 50 Index Rebalance Preview: One Set of Change; Maybe Two

There should be 1 index change in June. Possibly 2. Anker Innovations is a potential CSI300 delete while Suzhou Maxwell is a global index deletion...

Brian Freitas

STAR Chip/ CES Chips/ CNI Chips Index Rebalance Preview: Multiple Stocks with Overlapping Flow

There will be multiple changes across the indices with many stocks having same-way flow from passive trackers of other indices. Announcement on...

Brian Freitas

CSI All Share Semiconductor Index Rebalance Preview: 13 Potential Changes in June

There could be 4 adds/9 deletes in June. Estimated turnover is 2.7% and round-trip trade is CNY 1.2bn. There are multiple stocks with same-way flow...

Brian Freitas

CSI All Share Semiconductor Index Rebalance Preview: Multiple Index Flows for Some Stocks

There could be 12-13 changes for the index in June. Some stocks will have same way flows from multiple index trackers and those stocks could...

Brian Freitas

CNI Semiconductor Chips Index Rebalance Preview: One Change in June

Nexchip Semi could replace Amlogic Shanghai in the index. Passive trackers will need to buy 1.4x ADV in the add and sell 0.8x ADV in the delete....

Brian Freitas