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

Espressif Systems Shanghai  / Index Rebalance

<ul>
<li>CSI announced the changes for the December rebalance after market close on 29 November and the changes will be effective after the close of trading on 13 December.</li>
<li>There are 3 changes for the index and we estimate passive buying of 0.3-0.65x ADV in the adds and selling of between 0.4-0.6x ADV in the deletes.</li>
<li>On average, the adds to the index have outperformed the deletes over the last 5 weeks with the adds moving higher and the deletes trending lows.</li>
</ul>


CSI announced the changes for the December rebalance after market close on 29 November and the changes will be effective after the close of trading on 13 December.
There are 3 changes for the index and we estimate passive buying of 0.3-0.65x ADV in the adds and selling of between 0.4-0.6x ADV in the deletes.
On average, the adds to the index have outperformed the deletes over the last 5 weeks with the adds moving higher and the deletes trending lows.


STAR Chip Index Rebalance: 3 Changes; US$413m Round-Trip Trade

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

SMIC (Semiconductor Manufacturing International Corp) / Index Rebalance

SMIC (Semiconductor Manufacturing International Corp) (688981 CH)

SMIC (Semiconductor Manufacturing International Corp)

<ul>
<li>The December 2024 index review results for the STAR 50 and STAR 100 indices were announced after market close on Friday 29th November 2024.</li>
<li>There will be zero changes for the STAR 50 index and four changes for the STAR 100 index.</li>
<li>We expect one-way flows of approximately US$793mn and US$136mn for the STAR 50 and STAR 100 index rebal events respectively.</li>
</ul>


The December 2024 index review results for the STAR 50 and STAR 100 indices were announced after market close on Friday 29th November 2024.
There will be zero changes for the STAR 50 index and four changes for the STAR 100 index.
We expect one-way flows of approximately US$793mn and US$136mn for the STAR 50 and STAR 100 index rebal events respectively.


Quiddity STAR 50/100 Dec 24 Results: US$793mn Capping Outflow for SMIC; 4 Changes for STAR 100

Hainan Jinpan Smart Technology / Index Rebalance

Hainan Jinpan Smart Technology (688676 CH)

<ul>
<li>As forecast, there are no changes 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">SSE STAR50 (STAR50 INDEX)</a> in December while there are 4 changes for the STAR100 Index.</li>
<li>There will be big outflows for <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) (688981 CH)</a> due to <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> capping. There will be selling from other index trackers too.</li>
<li>
<a href="https://www.smartkarma.com/entities/hainan-jinpan-smart-technology" target="_blank" data-smartkarma-citation="entities:40864:1" rel="noopener">Hainan Jinpan Smart Technology (688676 CH)</a> had been ignored by the index committee at the September rebalance, so this inclusion in the STAR100 Index could come as a surprise.</li>
</ul>


As forecast, there are no changes for the SSE STAR50 (STAR50 INDEX) in December while there are 4 changes for the STAR100 Index.
There will be big outflows for Semiconductor Manufacturing International Corporation (SMIC) (688981 CH) due to SSE STAR50 (STAR50 INDEX) capping. There will be selling from other index trackers too.

Hainan Jinpan Smart Technology (688676 CH) had been ignored by the index committee at the September rebalance, so this inclusion in the STAR100 Index could come as a surprise.


STAR50/STAR100 Index Rebalance: No Changes for STAR50; 4 Changes for STAR100

Chengdu Sino Microelectronics / Index Rebalance

Chengdu Sino Microelectronics (688709 CH)

<ul>
<li>There could be 3 constituent changes for the STAR Chip Index at the December rebalance. There will also be a couple of capping changes.</li>
<li>Estimated one-way turnover is 5.05% resulting in a one-way trade of CNY 1.6bn (US$225m). Passives need to trade between 0.6-1x ADV in the potential changes.</li>
<li>The forecast adds have underperformed the forecast deletes over the last month but there has been a marked improvement in performance in the last week. Watch out for more.</li>
</ul>


There could be 3 constituent changes for the STAR Chip Index at the December rebalance. There will also be a couple of capping changes.
Estimated one-way turnover is 5.05% resulting in a one-way trade of CNY 1.6bn (US$225m). Passives need to trade between 0.6-1x ADV in the potential changes.
The forecast adds have underperformed the forecast deletes over the last month but there has been a marked improvement in performance in the last week. Watch out for more.


STAR Chip Index Rebalance Preview: 3 Potential Changes in December; US$450m Round-Trip Trade

<ul>
<li>STAR 50 index is a tech-focused, blue-chip index in Mainland China which tracks the top 50 largest and most liquid names in the STAR market of the Shanghai Stock Exchange.</li>
<li>STAR 100 index tracks the next 100 names (51st-150th ranks) and it represents the mid-cap segment of the STAR market.</li>
<li>In this insight, we have presented our final expectations for ADDs and DELs for the December 2024 index rebal event.</li>
</ul>


STAR 50 index is a tech-focused, blue-chip index in Mainland China which tracks the top 50 largest and most liquid names in the STAR market of the Shanghai Stock Exchange.
STAR 100 index tracks the next 100 names (51st-150th ranks) and it represents the mid-cap segment of the STAR market.
In this insight, we have presented our final expectations for ADDs and DELs for the December 2024 index rebal event.


Quiddity Leaderboard STAR 50/100 Dec 24: Four Changes Possible for STAR 100

China

Chengdu Sino-Microelectronics Tech. Co., Ltd. manufactures and distributes electronics components. The Company produces digital integrated circuits, analog integrated circuits, and other products. Chengdu Sino Microelectronics Tech applies its products to electronics, communication, control, measurement, and other fields.

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Chengdu Sino Microelectronics (688709 CH)

STAR Chip Index Rebalance: 3 Changes; US$413m Round-Trip Trade

There are 3 changes for the index. Estimated 1-way turnover is 4.8% leading to a round-trip trade of CNY 3bn (US$413m). The adds have outperformed...

Brian Freitas

Quiddity STAR 50/100 Dec 24 Results: US$793mn Capping Outflow for SMIC; 4 Changes for STAR 100

SMIC is currently above the 10% cap for individual names in STAR 50 and we expect US$793mn outflow for SMIC during the December 2024 index rebal...

Janaghan Jeyakumar, CFA

STAR50/STAR100 Index Rebalance: No Changes for STAR50; 4 Changes for STAR100

As forecast, there are no changes for STAR50 and 4 for STAR100. Big selling in SMIC due to capping. Hainan Jinpan's inclusion could surprise the...

Brian Freitas

STAR Chip Index Rebalance Preview: 3 Potential Changes in December; US$450m Round-Trip Trade

There could be 3 constituent changes in December. Estimated one-way turnover is 5.05% resulting in a one-way trade of CNY1.6bn. Passives need to...

Brian Freitas

Quiddity Leaderboard STAR 50/100 Dec 24: Four Changes Possible for STAR 100

For the STAR 100 rebalance, we estimate one-way flow to be around US$130mn. The expected ADDs/DELs have around 0.6x-2.3x ADV to trade. We expect...

Janaghan Jeyakumar, CFA

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