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 Shenhua Energy Co H / Index Rebalance

<ul>
<li>Nearing the end of the review period for the March rebalance, we see <a href="https://www.smartkarma.com/entities/china-shenhua-energy-co-h" target="_blank" data-smartkarma-citation="entities:382:1" rel="noopener">China Shenhua Energy Co H (1088 HK)</a> replacing <a href="https://www.smartkarma.com/entities/china-feihe-ltd" target="_blank" data-smartkarma-citation="entities:24413:1" rel="noopener">China Feihe (6186 HK)</a> in the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI INDEX</a>.</li>
<li>Estimated one-way turnover is 1.64% resulting in a one-way trade of HK$1.02bn with passives needing to buy 1x ADV on <a href="https://www.smartkarma.com/entities/china-shenhua-energy-co-h" target="_blank" data-smartkarma-citation="entities:382:1" rel="noopener">China Shenhua Energy</a> and selling 1.7x ADV on <a href="https://www.smartkarma.com/entities/china-feihe-ltd" target="_blank" data-smartkarma-citation="entities:24413:1" rel="noopener">China Feihe</a>.</li>
<li>The change will lead to an increase in the fair value of the HSCEI 2023 dividend futures by over 3 DIPS. Could be more if <a href="https://www.smartkarma.com/entities/china-shenhua-energy-co-h" target="_blank" data-smartkarma-citation="entities:382:1" rel="noopener">China Shenhua</a> pays a special.</li>
</ul>


Nearing the end of the review period for the March rebalance, we see China Shenhua Energy Co H (1088 HK) replacing China Feihe (6186 HK) in the HSCEI INDEX.
Estimated one-way turnover is 1.64% resulting in a one-way trade of HK$1.02bn with passives needing to buy 1x ADV on China Shenhua Energy and selling 1.7x ADV on China Feihe.
The change will lead to an increase in the fair value of the HSCEI 2023 dividend futures by over 3 DIPS. Could be more if China Shenhua pays a special.


HSCEI Index Rebalance Preview: Shenhua Energy (1088) Could Replace China Feihe (6186)

Senior Credit Analyst, Lucror Analytics

Leonard Law, CFA

Senior Credit Analyst

High Yield Experts

Lucror Analytics

Lucror Analytics is a leading credit and ESG research specialist and a provider of technology solutions for differentiated fixed income strategies. Our roots are in bottom-up fundamental credit analysis with a specialization in high yield corporate credits from Europe, Asia and Latin America. We are one of few research specialists integrating ESG considerations with fundamental credit research through a dedicated ESG platform. Our ESG assessment covers five key criteria: Disclosure, E,S, & G Pillars, Controversies, ESG Impact on Credit and ESG Momentum.

Recognizing the importance and value-add of Factor Investing in fixed income, Lucror developed the Smart Quant Navigator (SQN), an intuitive platform that helps clients devise and implement factor-based strategies ranging from pure quant to active fundamental, with integrated ESG.

Our company has been at the forefront of developments in the fixed income markets, identifying opportunities and consistently delivering new products and value-adding solutions to clients. Lucror has close relationships with the largest and most reputable asset managers, family offices, hedge funds, investment and wealth managers globally.

Credit

The Asia Monthly focuses on providing updates on recent events, information on new issues and spread movements, as well as summarising our top picks. The Asia Monthly is intended to broaden investors' understanding of the Asian USD high-yield market.

  The Asia Monthly focuses on providing updates on recent events, information on new issues and spread movements, as well as summarising our top picks. The Asia Monthly is intended to broaden investors' understanding of the Asian USD high-yield market. 

Asia HY Monthly - November 2022 - Lucror Analytics

Asia Pac IPO & Placement Research, China biotech, Aequitas Research

Ke Yan, CFA, FRM

Asia Pac IPO & Placement Research, China biotech

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Quantitative Analysis

<ul>
<li>We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of December 2nd.</li>
<li>The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.</li>
<li>We highlight inflows into Meituan, Country Garden, China Mobile and outflows from Longfor, Tencent.</li>
</ul>


We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of December 2nd.
The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
We highlight inflows into Meituan, Country Garden, China Mobile and outflows from Longfor, Tencent.


Hong Kong Connect Flows (Dec 2nd): Meituan, Country Garden, China Mobile, Longfor, Tencent

Lucror Analytics Weekly Wraps provide an overview of all Morning Views comments and reports published by our analyst team in the past week, and also showcase a list of the most-read reports.In this Insight:<ol><li><a href='/entities/medco-energi-internasional-tbk-pt' target='_blank' rel='noopener'>Medco Energi</a></li><li><a href='/entities/china-jinmao-holdings-group' target='_blank' rel='noopener'>China Jinmao Holdings</a></li><li><a href='/entities/guangzhou-r-f-properties-h' target='_blank' rel='noopener'>Guangzhou R&F Properties</a></li><li><a href='/entities/sunac-china-holdings-ltd' target='_blank' rel='noopener'>Sunac China Holdings</a></li><li><a href='/entities/china-evergrande-group' target='_blank' rel='noopener'>Evergrande</a></li></ol>and more...

Lucror Analytics Weekly Wraps provide an overview of all Morning Views comments and reports published by our analyst team in the past week, and also showcase a list of the most-read reports.In this Insight:Medco EnergiChina Jinmao HoldingsGuangzhou R&F PropertiesSunac China HoldingsEvergrandeand more...

The Chinese Property Weekly focuses on providing updates in the Chinese real-estate sector, including recent regulatory and company developments, top and bottom performers, rating actions, as well as a list of bond maturities in the next 30 days.

  The Chinese Property Weekly focuses on providing updates in the Chinese real-estate sector, including recent regulatory and company developments, top and bottom performers, rating actions, as well as a list of bond maturities in the next 30 days. 

Chinese Property Weekly - 02 December 2022 - Lucror Analytics

China

Country Garden Holdings Company Limited is a real estate developer.  The Company builds villas, townhouses and apartments in Mainland China. Country Gardens also develops large-scale community facilities such as schools, hotels, hospitals, and theme parks.

Price Gauge
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Country Garden Holdings Co (2007 HK)

HSCEI Index Rebalance Preview: Shenhua Energy (1088) Could Replace China Feihe (6186)

China Shenhua could replace China Feihe in March. Short interest has been dropping on both stocks and passives need to trade 1-2x ADV on the...

Brian Freitas

Asia HY Monthly - November 2022 - Lucror Analytics

The Asia Monthly focuses on providing updates on recent events, information on new issues and spread movements, as well as summarising our top...

Lucror Analytics

Hong Kong Connect Flows (Dec 2nd): Meituan, Country Garden, China Mobile, Longfor, Tencent

We analyzed the Hong Kong Connect Scheme for last week and highlight flows for Meituan, Country Garden, China Mobile, Longfor, Tencent.

Ke Yan, CFA, FRM

Weekly Wrap - 02 Dec 2022

Lucror Analytics Weekly Wraps provide an overview of all Morning Views comments and reports published by our analyst team in the past week, and...

Lucror Analytics

Chinese Property Weekly - 02 December 2022 - Lucror Analytics

The Chinese Property Weekly focuses on providing updates in the Chinese real-estate sector, including recent regulatory and company developments,...

Lucror Analytics

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52-week Range

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P/E

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