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

Cambricon Technologies  Lt / Index Rebalance

<ul>
<li>With the review cutoff done, there could be three changes for the <a href="https://www.smartkarma.com/entities/ishares-ftse-a50-china-index-etf" target="_blank" data-smartkarma-citation="entities:249:1" rel="noopener">iShares A50 China (2823 HK)</a>/ <a href="https://www.smartkarma.com/entities/csop-ftse-china-a50-etf-26e3b671-fa47-4165-a12e-bf841640c5a3" target="_blank" data-smartkarma-citation="entities:23664:1" rel="noopener">CSOP China A50 (HKD) (2822 HK)</a> ETFs in March.</li>
<li>
<a href="https://www.smartkarma.com/entities/cambricon-technologies-corp-lt" target="_blank" data-smartkarma-citation="entities:31068:1" rel="noopener">Cambricon Technologies</a>, <a href="https://www.smartkarma.com/entities/guotai-junan-securities-co-ltd" target="_blank" data-smartkarma-citation="entities:22740:1" rel="noopener">Guotai Junan Securities</a> and <a href="https://www.smartkarma.com/entities/china-united-network-a" target="_blank" data-smartkarma-citation="entities:12620:1" rel="noopener">China United Network</a> could replace <a href="https://www.smartkarma.com/entities/inner-mongolia-yili-indus-a" target="_blank" data-smartkarma-citation="entities:3220:1" rel="noopener">Inner Mongolia Yili Industrial Group</a>, <a href="https://www.smartkarma.com/entities/cgn-power-co-ltd" target="_blank" data-smartkarma-citation="entities:29504:1" rel="noopener">CGN Power</a> and <a href="https://www.smartkarma.com/entities/luzhou-laojiao-co-ltd-a" target="_blank" data-smartkarma-citation="entities:4536:1" rel="noopener">Luzhou Laojiao</a> in the ETFs.</li>
<li>
<a href="https://www.smartkarma.com/entities/guotai-junan-securities-co-ltd-5dfaf2c5-76d3-4f34-a77d-118787fd7091" target="_blank" data-smartkarma-citation="entities:23752:1" rel="noopener">Guotai Junan Securities (2611 HK)</a> is expected to be added to the <a href="https://www.smartkarma.com/entities/ishares-china-large-cap-etf" target="_blank" data-smartkarma-citation="entities:766:1" rel="noopener">iShares China Large-Cap (FXI) (FXI US)</a> in March, so there should be inflows for the A-shares and H-shares.</li>
</ul>


With the review cutoff done, there could be three changes for the iShares A50 China (2823 HK)/ CSOP China A50 (HKD) (2822 HK) ETFs in March.

Cambricon Technologies, Guotai Junan Securities and China United Network could replace Inner Mongolia Yili Industrial Group, CGN Power and Luzhou Laojiao in the ETFs.

Guotai Junan Securities (2611 HK) is expected to be added to the iShares China Large-Cap (FXI) (FXI US) in March, so there should be inflows for the A-shares and H-shares.


China A50 ETFs Rebalance Preview: China Rally Takes Cambricon Up, Up & Away

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 analyze the 3Q2024 Shanghai/Shenzhen northbound Connect flows with our data engine as the exchange changed the rule to only disclose north bound position once a quarter.</li>
<li>We estimate that the inflows in 3Q were US$7,684 million and holdings were USD340bn.</li>
<li>We highlight flows for Midea, Moutai, Ping An Insurance, Catl, Yangtze Power.</li>
</ul>


We analyze the 3Q2024 Shanghai/Shenzhen northbound Connect flows with our data engine as the exchange changed the rule to only disclose north bound position once a quarter.
We estimate that the inflows in 3Q were US$7,684 million and holdings were USD340bn.
We highlight flows for Midea, Moutai, Ping An Insurance, Catl, Yangtze Power.


Northbound Flows (3Q2024): Wait and See Mode

Event-Driven

China Tourism Group Duty Free Corp Ltd / Event-Driven

China Tourism Group Duty Free Corp Ltd (601888 CH)

<ul>
<li>The <a href="https://www.smartkarma.com/entities/ishares-ftse-a50-china-index-etf" target="_blank" data-smartkarma-citation="entities:249:1" rel="noopener">iShares A50 China (2823 HK)</a> and <a href="https://www.smartkarma.com/entities/csop-ftse-china-a50-etf-26e3b671-fa47-4165-a12e-bf841640c5a3" target="_blank" data-smartkarma-citation="entities:23664:1" rel="noopener">CSOP China A50 (2822 HK)</a> ETFs will rebalance their holdings at the close on 20 September.</li>
<li>
<a href="https://www.smartkarma.com/entities/china-national-nuclear-power-c" target="_blank" data-smartkarma-citation="entities:25348:1" rel="noopener">China National Nuclear Power (601985 CH)</a> and <a href="https://www.smartkarma.com/entities/huaneng-lancang-river-hydropow" target="_blank" data-smartkarma-citation="entities:26585:1" rel="noopener">Huaneng Lancang River Hydropow (600025)</a> will replace <a href="https://www.smartkarma.com/entities/china-tourism-group-duty-free-corp-ltd" target="_blank" data-smartkarma-citation="entities:12278:1" rel="noopener">China Tourism Group Duty Free (601888 CH)</a> and <a href="https://www.smartkarma.com/entities/yihai-kerry-arawana-holdings-c" target="_blank" data-smartkarma-citation="entities:33230:1" rel="noopener">Yihai Kerry Arawana (300999 CH)</a> in the ETFs.</li>
<li>Passive trackers are estimated to buy between 0.3-0.5 days of ADV in the adds and sell between 0.4-1.1 days of ADV in the deletes.</li>
</ul>


The iShares A50 China (2823 HK) and CSOP China A50 (2822 HK) ETFs will rebalance their holdings at the close on 20 September.

China National Nuclear Power (601985 CH) and Huaneng Lancang River Hydropow (600025) will replace China Tourism Group Duty Free (601888 CH) and Yihai Kerry Arawana (300999 CH) in the ETFs.
Passive trackers are estimated to buy between 0.3-0.5 days of ADV in the adds and sell between 0.4-1.1 days of ADV in the deletes.


China A50 ETF Rebalance: Two Adds, Two Deletes, as Expected

<ul>
<li>We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of August 2nd.</li>
<li>We estimate the weekly inflows to be US$486.3 million, led by financials, health care, utilities sectors, and offset by consumer discretionary, materials, consumer staples.</li>
<li>We highlight flows for Wanhua Chemical, Moutai, CATL, Fuyao Glass Industry, Haier Smart Home.</li>
</ul>


We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of August 2nd.
We estimate the weekly inflows to be US$486.3 million, led by financials, health care, utilities sectors, and offset by consumer discretionary, materials, consumer staples.
We highlight flows for Wanhua Chemical, Moutai, CATL, Fuyao Glass Industry, Haier Smart Home.


Northbound Flows (Aug 2nd): Wanhua Chemical, Moutai, CATL, Fuyao Glass Industry, Haier Smart Home

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

China National Nuclear Power C / Event-Driven

China National Nuclear Power C (601985 CH)

<ul>
<li><em>The Quiddity Mainland Connect NORTHBOUND Monitor. Like the A/H Premium Monitor and HK Connect SOUTHBOUND Monitor. Lots of Flows/Position Tables and Charts with which to play.</em></li>
<li>Last week saw NORTHBOUND net BUY RMB 3.2bn of A-shares. Wednesday was a BIG buy day. Every other day was a net sell. </li>
<li>HK and Mainland large caps generally performed equally, down but much better than the rest of the world, but Hs in H/A pairs underperformed.</li>
</ul>


The Quiddity Mainland Connect NORTHBOUND Monitor. Like the A/H Premium Monitor and HK Connect SOUTHBOUND Monitor. Lots of Flows/Position Tables and Charts with which to play.
Last week saw NORTHBOUND net BUY RMB 3.2bn of A-shares. Wednesday was a BIG buy day. Every other day was a net sell. 
HK and Mainland large caps generally performed equally, down but much better than the rest of the world, but Hs in H/A pairs underperformed.


Mainland Connect NORTHBOUND Flows (To 2 Aug 2024): Small Net Positive Week But...

China

China National Nuclear Power Co., Ltd. is a nuclear energy power producer. The Company invests in, constructs, manages and operates nuclear power plants throughout China.

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China National Nuclear Power C (601985 CH)

China A50 ETFs Rebalance Preview: China Rally Takes Cambricon Up, Up & Away

There could be 3 changes in March. The forecast adds have outperformed the forecast deletes with 2 adds breaking to new highs. Passive impact is...

Brian Freitas

Northbound Flows (3Q2024): Wait and See Mode

We analyzed Northbound connect data for 3Q2024 and highlight flows for Moutai, Midea, Wuliangye, Catl, Gree Electric Appliances.

Ke Yan, CFA, FRM

China A50 ETF Rebalance: Two Adds, Two Deletes, as Expected

China National Nuclear Power and Huaneng Lancang River Hydropower will replace CTG Duty Free and Yihai Kerry Arawana in the ETFs. Passives need to...

Brian Freitas

Northbound Flows (Aug 2nd): Wanhua Chemical, Moutai, CATL, Fuyao Glass Industry, Haier Smart Home

We analyzed northbound Shanghai/Shenzhen connect flows in the past week and highlighted flows for Wanhua Chemical, Moutai, CATL, Fuyao Glass...

Ke Yan, CFA, FRM

Mainland Connect NORTHBOUND Flows (To 2 Aug 2024): Small Net Positive Week But...

A strange week. HUGE NORTHBOUND net buying on Wednesday but net selling every other day makes for a slight net buy on the week. Little stands out....

Travis Lundy

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