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 6 changes for the CES China Semiconductor Chips Index that will be implemented at the close on 9 June.</li>
<li>All the inclusions are also additions to the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shanghai" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500 Index</a> and the passive flows will come from multiple trackers.</li>
<li>The adds have outperformed the deletes over the last couple of weeks and there could be further outperformance over the next two weeks.</li>
</ul>


There are 6 changes for the CES China Semiconductor Chips Index that will be implemented at the close on 9 June.
All the inclusions are also additions to the CSI 500 Index and the passive flows will come from multiple trackers.
The adds have outperformed the deletes over the last couple of weeks and there could be further outperformance over the next two weeks.


CES China Semiconductor Chips Index Rebalance: Six Changes in June

Articles from Caixin Global, Caixin Global

Caixin Global

Articles from Caixin Global

Caixin is a media group dedicated to providing financial and business news through periodicals, online content, mobile apps, conferences, books and TV/video programs. Caixin aims to blaze a trail that helps traditional media prosper in the new media age through integrated multimedia platforms.

News from Caixin

Thematic (Sector/Industry)

<ul><li>New U.S. export restrictions on certain microchips used for machine learning could distrupt China’s development of autonomous driving technology and data centers, market insiders fear</li><li>The export restrictions on Nvidia’s A100 and forthcoming H100 graphics processing units (GPU) will affect Chinese carmakers’ research into autonomous driving</li><li>The Nvidia A100 is a GPU chip with 7-nanometer nodes while the H100 is a model with 4-nanometer nodes that is expected to hit the market this quarter</li></ul>

New U.S. export restrictions on certain microchips used for machine learning could distrupt China’s development of autonomous driving technology and data centers, market insiders fearThe export restrictions on Nvidia’s A100 and forthcoming H100 graphics processing units (GPU) will affect Chinese carmakers’ research into autonomous drivingThe Nvidia A100 is a GPU chip with 7-nanometer nodes while the H100 is a model with 4-nanometer nodes that is expected to hit the market this quarter

How New U.S. Chip Restrictions Could Hit China’s Smart Car and Cloud Firms

IPOs and Catalysts/Events, Global Equity Research Ltd

Arun George

IPOs and Catalysts/Events

Uncompromised, Independent, Conflict-Free Research

Global Equity Research Ltd

Global Equity Research was started in 2017 by a group of experienced research professionals. It was founded on a passionate belief in the importance and the need for uncompromised, independent, conflict-free research. We aim to provide differentiated and actionable primary and bottom up fundamental research.

Equity Capital Markets

SenseTime Group  / Equity Capital Markets

<ul>
<li>
<a href="https://www.smartkarma.com/entities/sensetime-group" target="_blank" data-smartkarma-citation="entities:34319:1" rel="noopener">SenseTime Group (1475539D HK)</a> is the largest AI software company in Asia as measured by revenue in 2020. It has launched an HKEx IPO to raise up to US$767 million.  </li>
<li>In <a href="https://www.smartkarma.com/insights/sensetime-ipo-initiation-big-brother" target="_blank" data-smartkarma-citation="insights:62104" rel="noopener">SenseTime IPO Initiation: Big Brother</a>, we stated that the negatives outweigh the positives and we would give the IPO a pass. </li>
<li>Our valuation analysis suggests that the IPO price is unattractive. We would give the IPO a pass. Pricing is expected on 10 December with a listing on 17 December.</li>
</ul>



SenseTime Group (1475539D HK) is the largest AI software company in Asia as measured by revenue in 2020. It has launched an HKEx IPO to raise up to US$767 million.  
In SenseTime IPO Initiation: Big Brother, we stated that the negatives outweigh the positives and we would give the IPO a pass. 
Our valuation analysis suggests that the IPO price is unattractive. We would give the IPO a pass. Pricing is expected on 10 December with a listing on 17 December.


Shanghai Junshi Biosciences  / Index Rebalance

Post market close on 26 February, the Shanghai Stock Exchange and China Securities Index Company <a href="http://www.csindex.com.cn/en/indices/notices-and-announcements-detail/1606" target="_blank" rel="noopener">announced</a> the changes 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 STAR 50 (STAR50 INDEX)</a>. The changes will be effective after the close of trading on 12 March.The inclusions are <a href="https://www.smartkarma.com/entities/shanghai-junshi-bioscience-a" target="_blank" data-smartkarma-citation="entities:31070:1" rel="noopener">Shanghai Junshi Bioscience (688180 CH)</a>, <a href="https://www.smartkarma.com/entities/cambricon-technologies-corp" target="_blank" data-smartkarma-citation="entities:31068:1" rel="noopener">Cambricon Technologies Corp (688256 CH)</a>, <a href="https://www.smartkarma.com/entities/qi-an-xin-technology-group-a" target="_blank" data-smartkarma-citation="entities:31069:1" rel="noopener">Qi An Xin Technology Group (688561 CH)</a>, <a href="https://www.smartkarma.com/entities/farasis-energy-gan-zhou-co-a" target="_blank" data-smartkarma-citation="entities:28385:1" rel="noopener">Farasis Energy Gan Zhou Co-A (688567 CH)</a> and <a href="https://www.smartkarma.com/entities/trina-solar-co-ltd" target="_blank" data-smartkarma-citation="entities:30404:1" rel="noopener">Trina Solar Co Ltd (688599 CH)</a>.The exclusions are <a href="https://www.smartkarma.com/entities/suzhou-tztek-technology-co-a" target="_blank" data-smartkarma-citation="entities:28232:1" rel="noopener">Suzhou Tztek Technology Co-A (688003 CH)</a>, <a href="https://www.smartkarma.com/entities/fujian-forecam-optics-co-ltd" target="_blank" data-smartkarma-citation="entities:30306:1" rel="noopener">Fujian Forecam Optics Co Ltd (688010 CH)</a>, <a href="https://www.smartkarma.com/entities/longyan-zhuoyue-new-energy-co" target="_blank" data-smartkarma-citation="entities:30364:1" rel="noopener">Longyan Zhuoyue New Energy Co (688196 CH)</a>, <a href="https://www.smartkarma.com/entities/tianjin-jiuri-new-material-a" target="_blank" data-smartkarma-citation="entities:30366:1" rel="noopener">Tianjin Jiuri New Material-A (688199 CH)</a> and <a href="https://www.smartkarma.com/entities/beijing-seeyon-internet-so-a" target="_blank" data-smartkarma-citation="entities:30393:1" rel="noopener">Beijing Seeyon Internet So-A (688369 CH)</a>.The launch of new ETFs on the index has kept the assets tracking the index steady even with the market dropping.All inclusions have at least 1 day of ADV to buy and the deletions have at least 2.4 days of ADV to sell. Estimated one-way turnover is 8.93% and there is quite a large impact as part of the funding trade.There is no excess volume on most of the stocks and similar to the December rebalance, the inclusions could outperform the exclusions from now till implementation date.

Post market close on 26 February, the Shanghai Stock Exchange and China Securities Index Company announced the changes to the SSE STAR 50 (STAR50 INDEX). The changes will be effective after the close of trading on 12 March.The inclusions are Shanghai Junshi Bioscience (688180 CH), Cambricon Technologies Corp (688256 CH), Qi An Xin Technology Group (688561 CH), Farasis Energy Gan Zhou Co-A (688567 CH) and Trina Solar Co Ltd (688599 CH).The exclusions are Suzhou Tztek Technology Co-A (688003 CH), Fujian Forecam Optics Co Ltd (688010 CH), Longyan Zhuoyue New Energy Co (688196 CH), Tianjin Jiuri New Material-A (688199 CH) and Beijing Seeyon Internet So-A (688369 CH).The launch of new ETFs on the index has kept the assets tracking the index steady even with the market dropping.All inclusions have at least 1 day of ADV to buy and the deletions have at least 2.4 days of ADV to sell. Estimated one-way turnover is 8.93% and there is quite a large impact as part of the funding trade.There is no excess volume on most of the stocks and similar to the December rebalance, the inclusions could outperform the exclusions from now till implementation date.

STAR Board - STAR50 Index Rebalance: Another BIG One

Cambricon Technologies  Lt / Index Rebalance

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> is made up of 50 stocks with the largest full market cap and good liquidity listed on the SSE Science and Technology Innovation Board (the STAR Market). The index is free float market cap weighted and the weight of each stock is capped at 10%. In addition, the total weight of the top 5 constituents should not exceed 40%.The data cut-off for the March review ends on 31 January. The results of the review will be announced towards the end of February and the review will be effective after the close of trading on 12 March.Having gone through over 97% of the review period, we see 13 stocks eligible for index inclusion and 16 stocks in the deletion zone. With only 5 changes permitted in a single review, that is what we will have to settle for. What that also means is that there will be more changes at the June review.For the March review, we see <a href="https://www.smartkarma.com/entities/cambricon-technologies-corp" target="_blank" data-smartkarma-citation="entities:31068:1" rel="noopener">Cambricon Technologies Corp (688256 CH)</a>, <a href="https://www.smartkarma.com/entities/qi-an-xin-technology-group-a" target="_blank" data-smartkarma-citation="entities:31069:1" rel="noopener">Qi An Xin Technology Group (688561 CH)</a>, <a href="https://www.smartkarma.com/entities/shanghai-junshi-bioscience-a" target="_blank" data-smartkarma-citation="entities:31070:1" rel="noopener">Shanghai Junshi Bioscience (688180 CH)</a>, <a href="https://www.smartkarma.com/entities/trina-solar-co-ltd" target="_blank" data-smartkarma-citation="entities:30404:1" rel="noopener">Trina Solar Co Ltd (688599 CH)</a> and <a href="https://www.smartkarma.com/entities/farasis-energy-gan-zhou-co-a" target="_blank" data-smartkarma-citation="entities:28385:1" rel="noopener">Farasis Energy Gan Zhou (688567 CH)</a> being included in the index.<div>
We expect <a href="https://www.smartkarma.com/entities/longyan-zhuoyue-new-energy-co" target="_blank" data-smartkarma-citation="entities:30364:1" rel="noopener">Longyan Zhuoyue New Energy Co (688196 CH)</a>, <a href="https://www.smartkarma.com/entities/suzhou-tztek-technology-co-a" target="_blank" data-smartkarma-citation="entities:28232:1" rel="noopener">Suzhou Tztek Technology Co-A (688003 CH)</a>, <a href="https://www.smartkarma.com/entities/beijing-seeyon-internet-so-a" target="_blank" data-smartkarma-citation="entities:30393:1" rel="noopener">Beijing Seeyon Internet So-A (688369 CH)</a>, <a href="https://www.smartkarma.com/entities/tianjin-jiuri-new-material-a" target="_blank" data-smartkarma-citation="entities:30366:1" rel="noopener">Tianjin Jiuri New Material-A (688199 CH)</a> and <a href="https://www.smartkarma.com/entities/fujian-forecam-optics-co-ltd" target="_blank" data-smartkarma-citation="entities:30306:1" rel="noopener">Fujian Forecam Optics Co Ltd (688010 CH)</a> to be deleted from the index to make way for the inclusions. One-way turnover is around 10%.
There has been a small outflow from 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> ETFs since our last Insight, but that will have minimal impact on the rebalance.
The expected adds and deletes are the same from our earlier <a href="https://www.smartkarma.com/insights/star50-index-rebalance-preview-march21-rising-aum-and-a-new-index-make-an-exciting-combination" target="_blank" rel="noopener">Insight</a>. Since then, a trade of buying the expected adds and selling the expected deletes has returned 24%. There could be further moves as we near the near the end of the review period, and then once the announcement is made.
</div>

The SSE STAR50 (STAR50 INDEX) is made up of 50 stocks with the largest full market cap and good liquidity listed on the SSE Science and Technology Innovation Board (the STAR Market). The index is free float market cap weighted and the weight of each stock is capped at 10%. In addition, the total weight of the top 5 constituents should not exceed 40%.The data cut-off for the March review ends on 31 January. The results of the review will be announced towards the end of February and the review will be effective after the close of trading on 12 March.Having gone through over 97% of the review period, we see 13 stocks eligible for index inclusion and 16 stocks in the deletion zone. With only 5 changes permitted in a single review, that is what we will have to settle for. What that also means is that there will be more changes at the June review.For the March review, we see Cambricon Technologies Corp (688256 CH), Qi An Xin Technology Group (688561 CH), Shanghai Junshi Bioscience (688180 CH), Trina Solar Co Ltd (688599 CH) and Farasis Energy Gan Zhou (688567 CH) being included in the index.
We expect Longyan Zhuoyue New Energy Co (688196 CH), Suzhou Tztek Technology Co-A (688003 CH), Beijing Seeyon Internet So-A (688369 CH), Tianjin Jiuri New Material-A (688199 CH) and Fujian Forecam Optics Co Ltd (688010 CH) to be deleted from the index to make way for the inclusions. One-way turnover is around 10%.
There has been a small outflow from the SSE STAR50 (STAR50 INDEX) ETFs since our last Insight, but that will have minimal impact on the rebalance.
The expected adds and deletes are the same from our earlier Insight. Since then, a trade of buying the expected adds and selling the expected deletes has returned 24%. There could be further moves as we near the near the end of the review period, and then once the announcement is made.


STAR Board - STAR50 Index Rebalance Preview: +Adds/-Deletes = +24%

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)

CES China Semiconductor Chips Index Rebalance: Six Changes in June

There are 6 index changes in June. All the adds are also inclusions for the CSI500 Index, so there will be passive inflows from multiple trackers....

Brian Freitas

How New U.S. Chip Restrictions Could Hit China’s Smart Car and Cloud Firms

New U.S. export restrictions on certain microchips used for machine learning could distrupt China’s development of autonomous driving technology...

Caixin Global

SenseTime IPO: Valuation Insights

Our valuation analysis suggests that the IPO price is unattractive. We would give the IPO a pass. Pricing is expected on 10 December with a listing...

Arun George

STAR Board - STAR50 Index Rebalance: Another BIG One

There are 5 changes to the STAR50 index as a part of the March review. Estimated one-way turnover is 8.93% and we expect the inclusions to...

Brian Freitas

STAR Board - STAR50 Index Rebalance Preview: +Adds/-Deletes = +24%

There will be 5 changes for the STAR50 index in the March review. The lack of pre-positioning and large AUM tracking the index (plus active traders...

Brian Freitas

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