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>The review period for the March rebalance ends 31 January. We expect the changes to be announced 23 February with the implementation taking place after the close on 8 March.</li>
<li>We expect the index committee to continue using a 6-month minimum listing history resulting in four changes to the index.</li>
<li>One way turnover is estimated at 3.3% resulting in a one-way trade of CNY 4,717m. The impact on the deletions will be much larger than that on the inclusions.</li>
</ul>


The review period for the March rebalance ends 31 January. We expect the changes to be announced 23 February with the implementation taking place after the close on 8 March.
We expect the index committee to continue using a 6-month minimum listing history resulting in four changes to the index.
One way turnover is estimated at 3.3% resulting in a one-way trade of CNY 4,717m. The impact on the deletions will be much larger than that on the inclusions.


STAR50 Index Rebalance Preview: Four High Impact Changes in March

Asia Pac ECM and Index Rebal, Shenton Research

Ke Yan, CFA, FRM

Asia Pac ECM and Index Rebal

Asia Pac IPO & Placement Research, China Biotech

DZT Research

DZT Research is an independent Asia Pacific equity specialist. Our quantitative research covers index rebalancing flows, alongside exchange data analytics accross Asia Pacific. On the equity capital markets side, we focus on Asia Pacific ECM, especially biotech and TMT. Our lead analyst is frequently cited by international media.

Quantitative Analysis

<ul>
<li>We analyse the changes of A-H premium on 146 stocks over the last week. The average A-H premium was 127.1% as of Dec 1st.</li>
<li>The average A-H premium changed by 4.7ppt week on week, led by consumer staples, utilities, communication services.</li>
<li>We highlight weekly changes in A-H premium for CMB, Ping An Insurance, Beigene, Ganfeng Lithium.</li>
</ul>


We analyse the changes of A-H premium on 146 stocks over the last week. The average A-H premium was 127.1% as of Dec 1st.
The average A-H premium changed by 4.7ppt week on week, led by consumer staples, utilities, communication services.
We highlight weekly changes in A-H premium for CMB, Ping An Insurance, Beigene, Ganfeng Lithium.


A-H Premium Weekly (Dec 1st): CMB, Ping An Insurance, Beigene, Ganfeng Lithium

Sichuan Biokin Pharmaceutical / Index Rebalance

Sichuan Biokin Pharmaceutical (688506 CH)

<ul>
<li>As expected, the index committee has used a 6-month minimum listing history and that results in one change 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 STAR50 (STAR50 INDEX)</a> in December.</li>
<li>
<a href="https://www.smartkarma.com/entities/sichuan-biokin-pharmaceutical-co-ltd" target="_blank" data-smartkarma-citation="entities:40027:1" rel="noopener">Sichuan Biokin Pharmaceutical (688506 CH)</a> will replace <a href="https://www.smartkarma.com/entities/ninebot-ltd" target="_blank" data-smartkarma-citation="entities:32180:1" rel="noopener">Ninebot (689009 CH)</a> in the index at the close on 8 December.</li>
<li>One way turnover is estimated at 2.18% and will result in a one-way trade of CNY 3,065m. <a href="https://www.smartkarma.com/entities/sichuan-biokin-pharmaceutical-co-ltd" target="_blank" data-smartkarma-citation="entities:40027:1" rel="noopener">Sichuan Biokin Pharmaceutical (688506 CH)</a> has moved up and there will be pre-positioning.</li>
</ul>


As expected, the index committee has used a 6-month minimum listing history and that results in one change to the SSE STAR50 (STAR50 INDEX) in December.

Sichuan Biokin Pharmaceutical (688506 CH) will replace Ninebot (689009 CH) in the index at the close on 8 December.
One way turnover is estimated at 2.18% and will result in a one-way trade of CNY 3,065m. Sichuan Biokin Pharmaceutical (688506 CH) has moved up and there will be pre-positioning.


STAR50 Index Rebalance: Big Impact Expected; Inclusion Up 40% in One Month

<ul>
<li>With the review period complete, we expect one change for 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> in December if the index committee continues to use a 6-month minimum listing history.</li>
<li>With net inflows to mainland China ETFs over the last few months, passive trackers will need to trade between 9-25 days of ADV on the potential add and delete.</li>
<li>
<a href="https://www.smartkarma.com/entities/semiconductor-manufacturing-in" target="_blank" data-smartkarma-citation="entities:31062:1" rel="noopener">SMIC (688981 CH)</a> will be capped and there will be reverse funding flows on the index constituents. One-way turnover is estimated at 1.8% resulting in a one-way trade of CNY2,580m.</li>
</ul>


With the review period complete, we expect one change for the STAR50 INDEX in December if the index committee continues to use a 6-month minimum listing history.
With net inflows to mainland China ETFs over the last few months, passive trackers will need to trade between 9-25 days of ADV on the potential add and delete.

SMIC (688981 CH) will be capped and there will be reverse funding flows on the index constituents. One-way turnover is estimated at 1.8% resulting in a one-way trade of CNY2,580m.


STAR50 Index Rebalance Preview: Big Impact Expected on the Changes

HK/China Healthcare Analyst (ex-Fosun Pharma)

Xinyao (Criss) Wang

Equity Bottom-Up

<ul>
<li>In 23Q3, CanSino’s revenue returned to positive growth and net loss narrowed as MCV4 sales exceeded expectations. Such strong growth momentum is expected to continue in 2024.</li>
<li>As negative impact of COVID-19 assets impairment on revenue/asset sides would basically come to an end this year,2024 performance would reflect growth on the basis of this year's low base.</li>
<li>The potential resurgence of pandemic/influenza virus and PCV13i NDA submission could be catalysts. Performance turning point could appear in 2025.The cooperation with Gates Foundation would open up the internationalization prospect.</li>
</ul>


In 23Q3, CanSino’s revenue returned to positive growth and net loss narrowed as MCV4 sales exceeded expectations. Such strong growth momentum is expected to continue in 2024.
As negative impact of COVID-19 assets impairment on revenue/asset sides would basically come to an end this year,2024 performance would reflect growth on the basis of this year's low base.
The potential resurgence of pandemic/influenza virus and PCV13i NDA submission could be catalysts. Performance turning point could appear in 2025.The cooperation with Gates Foundation would open up the internationalization prospect.


CanSino Biologics (6185.HK/688185.CH) 23Q3 - Some Positive Business Progress Worth the Attention

China

CanSino Biologics Inc. develops and manufactures biological vaccine products. The Company discovers quadrivalence meningococcal conjugate, pneumococcal polysaccharide, and adenovirus vector-based tuberculosis vaccines for human use. CanSino Biologics serves customers worldwide.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

CanSino Biologics (688185 CH)

STAR50 Index Rebalance Preview: Four High Impact Changes in March

There could be 4 changes for the STAR50 Index in March. Passive trackers will need to trade between 1.2-9.7x ADV on the adds/dels. There will be...

Brian Freitas

A-H Premium Weekly (Dec 1st): CMB, Ping An Insurance, Beigene, Ganfeng Lithium

We analyzed A-H premium changes in the past week and highlight A-H premium changes for CMB, Ping An Insurance, Beigene, Ganfeng Lithium.

Ke Yan, CFA, FRM

STAR50 Index Rebalance: Big Impact Expected; Inclusion Up 40% in One Month

There is 1 change for the index resulting in 1-way turnover of 2.18% and 1-way trade of CNY3.07bn. The add is up 40% over the last month and there...

Brian Freitas

STAR50 Index Rebalance Preview: Big Impact Expected on the Changes

There could be 1 index change in Dec. The ETF inflows over the last few months results in passives needing to trade 9-25x ADV on the add/delete....

Brian Freitas

CanSino Biologics (6185.HK/688185.CH) 23Q3 - Some Positive Business Progress Worth the Attention

CanSino’s performance/valuation is at low point, but MCV4's sales exceeded expectation.On 2023 low base, growth in 2024 is worth looking forward...

Xinyao (Criss) Wang

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)