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>Over 96% of the way through the review period, we see 1 change using a 12 month minimum listing history, and 5 changes using a 6 month minimum listing history.</li>
<li>We expect the index committee to continue using the shorter minimum listing history since the potential adds have much larger market caps than the potential deletes.</li>
<li>The potential adds have outperformed the potential deletes over the last month and there could be more once the current consolidation is complete.</li>
</ul>


Over 96% of the way through the review period, we see 1 change using a 12 month minimum listing history, and 5 changes using a 6 month minimum listing history.
We expect the index committee to continue using the shorter minimum listing history since the potential adds have much larger market caps than the potential deletes.
The potential adds have outperformed the potential deletes over the last month and there could be more once the current consolidation is complete.


STAR50 Index Rebalance Preview (Sep): Adds Outperforming the Deletes

HK/China Healthcare Analyst (ex-Fosun Pharma)

Xinyao (Criss) Wang

Thematic (Sector/Industry)

<ul>
<li>There could be investment opportunities for influenza vaccines due to supply-demand mismatch this year, but there is no long-term logic in this industry.</li>
<li>The NRDL adjustment in 2022 has been officially launched. We need to point out a change in favor of the primary drugs (or original drugs).</li>
<li>CXO's prosperity may have problems in the next few years. The point is that it is difficult to predict how long this “low momentum” would last if it comes.</li>
</ul>


There could be investment opportunities for influenza vaccines due to supply-demand mismatch this year, but there is no long-term logic in this industry.
The NRDL adjustment in 2022 has been officially launched. We need to point out a change in favor of the primary drugs (or original drugs).
CXO's prosperity may have problems in the next few years. The point is that it is difficult to predict how long this “low momentum” would last if it comes.


China Healthcare Weekly (July.8)- CXO Outlook, 2022 NRDL Adjustment, Logic of Influenza Vaccine

<ul>
<li>With only one change expected in September using a 12 month minimum listing history, we expect the index committee to continue using a 6 month minimum listing history.</li>
<li>That will see the maximum of 5 changes that are permitted at a single rebalance resulting in a one-way turnover just shy of 5%.</li>
<li>Over the last few rebalances, the adds have outperformed the deletes post the end of the review period. That's expected given passive trackers need to buy/sell a lot of stock.</li>
</ul>


With only one change expected in September using a 12 month minimum listing history, we expect the index committee to continue using a 6 month minimum listing history.
That will see the maximum of 5 changes that are permitted at a single rebalance resulting in a one-way turnover just shy of 5%.
Over the last few rebalances, the adds have outperformed the deletes post the end of the review period. That's expected given passive trackers need to buy/sell a lot of stock.


STAR50 Index Rebalance Preview (Sep): Change Is the Only Constant

<ul>
<li>The index committee has continued to use a 6 month minimum listing history leading to five 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 STAR50 (STAR50 INDEX)</a> in June.</li>
<li>One way turnover is estimated at 8.56% and will result in a one-way trade of CNY 3,496m. Passive trackers will need to trade between 2-6 days ADV on the adds/deletes.</li>
<li>The inclusions have outperformed the deletions and the CSI500 Index since the end of the review period with all inclusions moving higher over the period.</li>
</ul>


The index committee has continued to use a 6 month minimum listing history leading to five changes to the SSE STAR50 (STAR50 INDEX) in June.
One way turnover is estimated at 8.56% and will result in a one-way trade of CNY 3,496m. Passive trackers will need to trade between 2-6 days ADV on the adds/deletes.
The inclusions have outperformed the deletions and the CSI500 Index since the end of the review period with all inclusions moving higher over the period.


STAR50 Index Rebalance: Dear Index Committee...

<ul>
<li>There could be 3 or 5 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">STAR50 INDEX</a> in June depending on the minimum listing history (6 months or 12 months) used by the index committee.</li>
<li>
<a href="https://www.smartkarma.com/entities/jinko-solar-co-ltd" target="_blank" data-smartkarma-citation="entities:35715:1" rel="noopener">Jinko Solar (688223 CH)</a> is a high probability inclusion while <a href="https://www.smartkarma.com/entities/shanghai-microport-endovascular-medtech-a" target="_blank" data-smartkarma-citation="entities:30310:1" rel="noopener">Shanghai Microport Endovascular MedTech (688016 CH)</a>, <a href="https://www.smartkarma.com/entities/arcsoft-corp-ltd" target="_blank" data-smartkarma-citation="entities:30335:1" rel="noopener">ArcSoft Corp Ltd (688088 CH)</a> and <a href="https://www.smartkarma.com/entities/dbapp-security-ltd" target="_blank" data-smartkarma-citation="entities:30316:1" rel="noopener">DBAPP Security Ltd (688023)</a> are high probability deletions.</li>
<li>Stocks performance over the last couple of months indicates the market is assigning a higher probability to the index committee using a 12 month minimum listing history.</li>
</ul>


There could be 3 or 5 changes to the STAR50 INDEX in June depending on the minimum listing history (6 months or 12 months) used by the index committee.

Jinko Solar (688223 CH) is a high probability inclusion while Shanghai Microport Endovascular MedTech (688016 CH), ArcSoft Corp Ltd (688088 CH) and DBAPP Security Ltd (688023) are high probability deletions.
Stocks performance over the last couple of months indicates the market is assigning a higher probability to the index committee using a 12 month minimum listing history.


STAR50 Index Rebalance Preview: 3 Changes or 5? It Depends...

China

Changchun BCHT Biotechnology Co. Ltd. operates as a high-tech biopharmaceutical company. The Company provides human vaccine researching, development, production, and sales services. Changchun BCHT Biotechnology markets its products throughout China.

Changchun BCHT Biotechnology C (688276 CH)

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52-week Range	0.00 - 0.00
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Changchun BCHT Biotechnology C (688276 CH)

STAR50 Index Rebalance Preview (Sep): Adds Outperforming the Deletes

There could be 5 changes if the index committee continues using a 6 month minimum listing history. The adds have outperformed the deletes over the...

Brian Freitas

China Healthcare Weekly (July.8)- CXO Outlook, 2022 NRDL Adjustment, Logic of Influenza Vaccine

CXO's prosperity may have problems in the next few years. We analyzed the logic. There is no long-term logic for influenza vaccine. A change in...

Xinyao (Criss) Wang

STAR50 Index Rebalance Preview (Sep): Change Is the Only Constant

We expect the index committee to continue using a 6 month minimum listing history and that will lead to 5 changes in September. Buying the adds and...

Brian Freitas

STAR50 Index Rebalance: Dear Index Committee...

There are 5 changes to the STAR50 Index in June as the index committee continues to use a 6 month minimum listing history. The adds have...

Brian Freitas

STAR50 Index Rebalance Preview: 3 Changes or 5? It Depends...

There could be 3/5 changes in June depending on whether the index committee uses a 12/6 month minimum listing history. The market is assigning a...

Brian Freitas

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52-week Range

Market Cap (USDm)

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