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 changes to the CSI All Share Investment Banking &amp; Brokerage Index were announced after market close on 30 May and will be implemented at the close on 13 June.</li>
<li>
<a href="https://www.smartkarma.com/entities/northeast-securities-co-ltd" target="_blank" data-smartkarma-citation="entities:6022:1" rel="noopener">Northeast Securities (000686 CH)</a> will be added to the index while <a href="https://www.smartkarma.com/entities/harbin-hatou-investment-co-ltd" target="_blank" data-smartkarma-citation="entities:13056:1" rel="noopener">Harbin Hatou Investment Co, Ltd. (600864 CH)</a> will be deleted.</li>
<li>There is over 2.5x ADV to trade in both stocks and much smaller impact of funding/capping flows on the other index constituents.</li>
</ul>


The changes to the CSI All Share Investment Banking &amp; Brokerage Index were announced after market close on 30 May and will be implemented at the close on 13 June.

Northeast Securities (000686 CH) will be added to the index while Harbin Hatou Investment Co, Ltd. (600864 CH) will be deleted.
There is over 2.5x ADV to trade in both stocks and much smaller impact of funding/capping flows on the other index constituents.


CSI All Share IB & Brokerage Index Rebalance: Northeast Replaces Harbin Hatou

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

<ul>
<li>AH spreads are slightly narrower, but performance is concentrated in fewer names and broad spread volatility is up. BYD (1211 HK) back down nearly 3%. CATL 10% through still.</li>
<li>Sharp skew on H-vs-A performance this week. Those trading AH Premium &lt;20% saw H underperform sharply. Those in the 40-100% AH Premium range saw H outperform. Quiddity Portfolio alpha strong.</li>
<li>The data tables below update on a daily basis in the <a href="https://www.smartkarma.com/tools" target="_blank" rel="noopener">Tools</a> section of Smartkarma. The <a href="https://www.smartkarma.com/tools/quiddity/south-flow-monitor" target="_blank" rel="noopener">SOUTHBOUND Flow Monitor</a> and <a href="https://www.smartkarma.com/tools/quiddity/ah-shares-monitor" target="_blank" rel="noopener">AH Monitor</a> are both there free for SK readers.</li>
</ul>


AH spreads are slightly narrower, but performance is concentrated in fewer names and broad spread volatility is up. BYD (1211 HK) back down nearly 3%. CATL 10% through still.
Sharp skew on H-vs-A performance this week. Those trading AH Premium &lt;20% saw H underperform sharply. Those in the 40-100% AH Premium range saw H outperform. Quiddity Portfolio alpha strong.
The data tables below update on a daily basis in the Tools section of Smartkarma. The SOUTHBOUND Flow Monitor and AH Monitor are both there free for SK readers.


A/H Premium Tracker (To 30 May 2025):  Narrow Premia Hs Worst Performers, BYD Relents

Asian Hedge Fund Manager, Long Short Equity, Macro

David Mudd

Equity Bottom-Up

<ul>
<li>The Hong Kong Alpha simulated portfolio returned 0.97% in March outperforming its benchmark by 1.1%.  Since inception the portfolio has outperformed Hong Kong indexes by 8% to 11%.</li>
<li>The portfolio has generated alpha while maintaining a correlation of 0.8 and a beta of 1.05.  The HK Alpha portfolio has a Sharpe ratio of 2.19 YTD.</li>
<li>On 3/31/25 we sold <a href="https://www.smartkarma.com/entities/shanghai-electric-group-company-limited-d542164d-4d5a-4ce0-b33e-5fe6bc34722c" target="_blank" data-smartkarma-citation="entities:8777:1" rel="noopener">Shanghai Electric Group Company (2727 HK)</a> , <a href="https://www.smartkarma.com/entities/citic-securities-h" target="_blank" data-smartkarma-citation="entities:463:1" rel="noopener">Citic Securities (H) (6030 HK)</a> , <a href="https://www.smartkarma.com/entities/sands-china-ltd" target="_blank" data-smartkarma-citation="entities:182:1" rel="noopener">Sands China (1928 HK)</a> , and <a href="https://www.smartkarma.com/entities/sunny-optical-technology-group" target="_blank" data-smartkarma-citation="entities:13363:1" rel="noopener">Sunny Optical Technology Group (2382 HK)</a></li>
</ul>


The Hong Kong Alpha simulated portfolio returned 0.97% in March outperforming its benchmark by 1.1%.  Since inception the portfolio has outperformed Hong Kong indexes by 8% to 11%.
The portfolio has generated alpha while maintaining a correlation of 0.8 and a beta of 1.05.  The HK Alpha portfolio has a Sharpe ratio of 2.19 YTD.
On 3/31/25 we sold Shanghai Electric Group Company (2727 HK) , Citic Securities (H) (6030 HK) , Sands China (1928 HK) , and Sunny Optical Technology Group (2382 HK)


Guangzhou Automobile Group / Event-Driven

<ul>
<li>AH Premia continue to fall. Spread curve torsion was a barbell this week. Narrow and wide spreads see Hs outperform. Middling spreads outperform less.</li>
<li>To me, warning signs are flashing on spreads. They are at their narrowest in 5yrs and they are volatile, though volatility is coming down.</li>
<li>Lots of spreads see the HA premium less than 15%. That is historically tight.</li>
</ul>


AH Premia continue to fall. Spread curve torsion was a barbell this week. Narrow and wide spreads see Hs outperform. Middling spreads outperform less.
To me, warning signs are flashing on spreads. They are at their narrowest in 5yrs and they are volatile, though volatility is coming down.
Lots of spreads see the HA premium less than 15%. That is historically tight.


A/H Premium Tracker (To 21 Mar 2025):  AH Premia Still Falling; Expect Curve Torsion or AH Widening

A/H Premium Tracker (To 14 Mar 2025):  AH Premia Still Falling; Expect Curve Torsion or AH Widening

China

CITIC Securities Co., Ltd. provides securities brokerage, trading, underwriting, investment banking, asset management, and investment consulting services.

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Citic Securities (H) (6030 HK)

A/H Premium Tracker (To 30 May 2025): Narrow Premia Hs Worst Performers, BYD Relents

AH Premia contracted but it was mostly in the 40-100% area where they did. Tighter than 40% (or H premium) saw Hs underperform. Quiddity alpha...

Travis Lundy

HONG KONG ALPHA PORTFOLIO (March 2025)

The Hong Kong Alpha portfolio returned 0.97% in March outperforming its benchmark by 1.1%. Since inception the portfolio has outperformed Hong...

David Mudd

A/H Premium Tracker (To 21 Mar 2025): AH Premia Still Falling; Expect Curve Torsion or AH Widening

AH Premia continue to fall on average, but the outperformance is slowing, and the better buying in some sectors (banks) appears to be technically...

Travis Lundy

A/H Premium Tracker (To 14 Mar 2025): AH Premia Still Falling; Expect Curve Torsion or AH Widening

AH Premia still falling at a slower pace. Hs outperform As despite HK underperforming A-share blue chips. Lots of AH premia <20%. Vol dropping...

Travis Lundy

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

CSI All Share IB & Brokerage Index Rebalance: Northeast Replaces Harbin Hatou

Northeast Securities will be added and Harbin Hatou will be deleted. Both stocks have 2.6x ADV to trade. There could be further upside till...

Brian Freitas

A/H Premium Tracker (To 30 May 2025): Narrow Premia Hs Worst Performers, BYD Relents

AH Premia contracted but it was mostly in the 40-100% area where they did. Tighter than 40% (or H premium) saw Hs underperform. Quiddity alpha...

Travis Lundy

HONG KONG ALPHA PORTFOLIO (March 2025)

The Hong Kong Alpha portfolio returned 0.97% in March outperforming its benchmark by 1.1%. Since inception the portfolio has outperformed Hong...

David Mudd

A/H Premium Tracker (To 21 Mar 2025): AH Premia Still Falling; Expect Curve Torsion or AH Widening

AH Premia continue to fall on average, but the outperformance is slowing, and the better buying in some sectors (banks) appears to be technically...

Travis Lundy

A/H Premium Tracker (To 14 Mar 2025): AH Premia Still Falling; Expect Curve Torsion or AH Widening

AH Premia still falling at a slower pace. Hs outperform As despite HK underperforming A-share blue chips. Lots of AH premia <20%. Vol dropping...

Travis Lundy