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

China Shipbuilding Industry Group Power / Index Rebalance

China Shipbuilding Industry Group Power (600482 CH)

<ul>
<li>There could be 17 changes at the December rebalance with the Industrials sector gaining 3 index spots and the Information Technology sector losing 3 spots.</li>
<li>We estimate one-way turnover of 2.9% at the rebalance leading to a one-way trade of CNY 21.96bn (US$3.1bn). There are 22 stocks with over 3x ADV to trade.</li>
<li>Impact on the stocks has increased as creations in ETFs linked to the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> continue. That flow will reverse from the deletions in the next few months.</li>
</ul>


There could be 17 changes at the December rebalance with the Industrials sector gaining 3 index spots and the Information Technology sector losing 3 spots.
We estimate one-way turnover of 2.9% at the rebalance leading to a one-way trade of CNY 21.96bn (US$3.1bn). There are 22 stocks with over 3x ADV to trade.
Impact on the stocks has increased as creations in ETFs linked to the CSI 300 Index continue. That flow will reverse from the deletions in the next few months.


CSI300 Index Rebalance Preview: Round-Trip Trade Tops US$6bn as ETF Creations Soar

<ul>
<li>There could be 18 changes at the December rebalance with the Industrials sector gaining 3 index spots and the Information Technology sector losing 5 spots.</li>
<li>We estimate one-way turnover of 3.3% at the rebalance leading to a one-way trade of CNY 22.07bn (US$3bn). There are a lot of stocks with multiple days ADV to trade.</li>
<li>The potential adds have outperformed the potential deletes. There were ETF inflows last week amid a short selling crackdown as the Third Plenum kicks off.</li>
</ul>


There could be 18 changes at the December rebalance with the Industrials sector gaining 3 index spots and the Information Technology sector losing 5 spots.
We estimate one-way turnover of 3.3% at the rebalance leading to a one-way trade of CNY 22.07bn (US$3bn). There are a lot of stocks with multiple days ADV to trade.
The potential adds have outperformed the potential deletes. There were ETF inflows last week amid a short selling crackdown as the Third Plenum kicks off.


CSI300 Index Rebalance Preview: 18 Changes in Dec; Third Plenum; ETF Inflows; Short Sell Crackdown

<ul>
<li>There are 15 changes for the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a> at the upcoming rebalance that will be implemented at the close of trading on 9 December.</li>
<li>While most of the deletions are in line with forecasts, there are a few differences on the inclusions as the index committee has used its discretion to overlook some names.</li>
<li>The Industrials, Materials and Utilities sectors gain index spots at the expense of Health Care, Financials, Consumer Staples and Consumer Discretionary.</li>
</ul>


There are 15 changes for the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) at the upcoming rebalance that will be implemented at the close of trading on 9 December.
While most of the deletions are in line with forecasts, there are a few differences on the inclusions as the index committee has used its discretion to overlook some names.
The Industrials, Materials and Utilities sectors gain index spots at the expense of Health Care, Financials, Consumer Staples and Consumer Discretionary.


CSI300 Index Rebalance: The Surprises Could Outperform

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 weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of October 28th.</li>
<li>We estimate the weekly outflows to be US$1,807.3 million, led by consumer staples, financials, and offset by information technology, energy, real estate.</li>
<li>We highlight flows for Tianqi Lithium, Longi Green, Shenzhen Mindray, Moutai, Ping An Bank, Wuxi Apptec, Ping An Insurance, CATL. </li>
</ul>


We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of October 28th.
We estimate the weekly outflows to be US$1,807.3 million, led by consumer staples, financials, and offset by information technology, energy, real estate.
We highlight flows for Tianqi Lithium, Longi Green, Shenzhen Mindray, Moutai, Ping An Bank, Wuxi Apptec, Ping An Insurance, CATL. 


Northbound Flows (Oct 28th): Moutai, Ping An Bank, Wuxi Apptec, Ping An Insurance, CATL

China Zhenhua (Group) Science & Tech / Index Rebalance

China Zhenhua (Group) Science & Tech (000733 CH)

<ul>
<li>Near the end of the review period, we see 16 potential changes to the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> at the December rebalance. There are other stocks very close to the cutoffs.</li>
<li>We estimate a one-way turnover of 3.04% at the December rebalance leading to a one-way trade of CNY 8.4bn.</li>
<li>The potential adds have outperformed the potential deletes, though the gap has narrowed in the last few weeks. We'd position for outperformance post the end of the review period.</li>
</ul>


Near the end of the review period, we see 16 potential changes to the CSI 300 Index at the December rebalance. There are other stocks very close to the cutoffs.
We estimate a one-way turnover of 3.04% at the December rebalance leading to a one-way trade of CNY 8.4bn.
The potential adds have outperformed the potential deletes, though the gap has narrowed in the last few weeks. We'd position for outperformance post the end of the review period.


CSI300 Index Rebalance Preview: Potential Changes and Close Names

China

China Zhenhua (Group) Science & Technology Co., Ltd. designs, manufactures, and markets electronic components, telecommunication equipment, and electric machines. The Company produces capacitors, integrated circuits, electric resistors, wireless phones, visual phones, and other products. China Zhenhua (Group) Science & Technology also invests in real estate businesses.

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China Zhenhua (Group) Science & Tech (000733 CH)

CSI300 Index Rebalance Preview: Round-Trip Trade Tops US$6bn as ETF Creations Soar

There could be 17 changes in Dec resulting in a round-trip trade of over US$6bn. 22 stocks have over 3x ADV to trade. The potential adds have...

Brian Freitas

CSI300 Index Rebalance Preview: 18 Changes in Dec; Third Plenum; ETF Inflows; Short Sell Crackdown

There could be 18 changes in December. The adds have outperformed the deletes but near-term performance has been meh. There were ETF inflows last...

Brian Freitas

CSI300 Index Rebalance: The Surprises Could Outperform

There are 15 changes in December. Most of the deletions were forecast but there are surprises among the adds. One-way turnover is 2.4% and the one...

Brian Freitas

Northbound Flows (Oct 28th): Moutai, Ping An Bank, Wuxi Apptec, Ping An Insurance, CATL

We analyzed the Shanghai/Shenzhen Connect Scheme for last week and highlight flows for Tianqi Lithium, Longi Green, Shenzhen Mindray, Moutai, Ping...

Ke Yan, CFA, FRM

CSI300 Index Rebalance Preview: Potential Changes and Close Names

We forecast 16 changes for the CSI300 Index at the December rebal. There are a few other stocks that are very close to the cutoff thresholds. One...

Brian Freitas

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52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)