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>End December was the end of the review cutoff for a lot of indices that will rebalance within the next couple of months.</li>
<li>
<a href="https://www.smartkarma.com/entities/pexa-group-ltd" target="_blank" data-smartkarma-citation="entities:34716:1" rel="noopener">PEXA Group (PXA AU)</a> replaces <a href="https://www.smartkarma.com/entities/pendal-group-ltd" target="_blank" data-smartkarma-citation="entities:15795:1" rel="noopener">Pendal Group (PDL AU)</a> in the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> at the close on 12 January.</li>
<li>There were big outflows from Hong Kong and China focused ETFs led by <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index-etf" target="_blank" data-smartkarma-citation="entities:25:1" rel="noopener">Hang Seng H Share Index ETF (2828 HK)</a> and <a href="https://www.smartkarma.com/entities/tracker-fund-of-hong-kong-ltd" target="_blank" data-smartkarma-citation="entities:29257:1" rel="noopener">Tracker Fund of Hong Kong Ltd (2800 HK)</a>.</li>
</ul>


End December was the end of the review cutoff for a lot of indices that will rebalance within the next couple of months.

PEXA Group (PXA AU) replaces Pendal Group (PDL AU) in the S&amp;P/ASX 200 (AS51 INDEX) at the close on 12 January.
There were big outflows from Hong Kong and China focused ETFs led by Hang Seng H Share Index ETF (2828 HK) and Tracker Fund of Hong Kong Ltd (2800 HK).


Index Rebalance & ETF Flow Recap: HSCEI, HSTECH, HSI, HSCI, KS200, KQ150, CSI300, SENSEX, LQ45, PSEi

<ul>
<li>Two thirds of the way through the review period, we see 15 potential index changes at the June rebalance that will be implemented at the close on 9 June.</li>
<li>We estimate a one-way turnover of 2.35% at the June rebalance leading to a one-way trade of CNY 5.57bn.</li>
<li>The potential adds have outperformed the potential deletes and 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> over the last six months, though there is some near-term deterioration.</li>
</ul>


Two thirds of the way through the review period, we see 15 potential index changes at the June rebalance that will be implemented at the close on 9 June.
We estimate a one-way turnover of 2.35% at the June rebalance leading to a one-way trade of CNY 5.57bn.
The potential adds have outperformed the potential deletes and the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) over the last six months, though there is some near-term deterioration.


CSI300 Index Rebalance Preview: Early Look at Potential Changes in June

<ul>
<li>Nearly midway through the review period for the June rebalance of 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>, we see 29 potential changes to the index.</li>
<li>There are a lot of high and medium probability changes that could result in a one-way turnover of 4.2% and a one-way trade of CNY 10.17bn at the June rebalance.</li>
<li>The potential inclusions have underperformed the potential deletions by c.15% over the last month and this provides a good entry point into a long short/trade.</li>
</ul>


Nearly midway through the review period for the June rebalance of the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX), we see 29 potential changes to the index.
There are a lot of high and medium probability changes that could result in a one-way turnover of 4.2% and a one-way trade of CNY 10.17bn at the June rebalance.
The potential inclusions have underperformed the potential deletions by c.15% over the last month and this provides a good entry point into a long short/trade.


CSI300 Index Rebalance Preview (June 2022): Changes Near the Midway Mark

Event-Driven

<ul>
<li>Yesterday, the Financial Times reported that the Biden Administration would add two dozen Chinese companies to the entity list while there could be additions to the investment blacklist too.</li>
<li>There was a big drop in biotech stocks in Hong Kong on the news with the Hang Seng Hong Kong listed Biotech Index dropping over 7%.</li>
<li>Ahead of the publication of the lists on Thursday, we look at the potential impact on the stocks that could be added to either/both the lists.</li>
</ul>


Yesterday, the Financial Times reported that the Biden Administration would add two dozen Chinese companies to the entity list while there could be additions to the investment blacklist too.
There was a big drop in biotech stocks in Hong Kong on the news with the Hang Seng Hong Kong listed Biotech Index dropping over 7%.
Ahead of the publication of the lists on Thursday, we look at the potential impact on the stocks that could be added to either/both the lists.


Potential Blacklist Additions: Impact on China AI/Biotech Stocks

On 3 June, President Biden amended Executive Order 13959 with respect to the threat posed by the military-industrial complex of the People’s Republic of China, and expanded the list of companies to include entities that operate in the defense and related materiel sector or the surveillance technology sector in China, or own, or are owned, or are controlled by persons that operate in the above sectors.There were a few entities that appeared in Trump's list that were dropped while there were new entities that were added to the current list.Some major changes were that the name of the list was changed from Communist Chinese Military Companies (CCMC) to Chinese Military-Industrial Complex Companies (CMIC), the list would be maintained by the Treasury Department as opposed to the Defense Department, and restrictions on subsidiaries would apply only if the subsidiary was explicitly named in the list.It has been reported in the media, quoting senior officials, that the list will be updated on a rolling basis. As we were typing out the Insight, Reuters published an article that says <a href="https://www.reuters.com/article/usa-biden-china-investment/analysis-more-chinese-companies-could-fall-under-bidens-broader-investment-ban-idUSL2N2NM13H" target="_blank" rel="noopener">more Chinese companies could be added to the investment ban</a>.In this Insight, we try to identify some of the subsidiaries of companies that could be added to the CMIC list where the parent entity is already included on the list.

On 3 June, President Biden amended Executive Order 13959 with respect to the threat posed by the military-industrial complex of the People’s Republic of China, and expanded the list of companies to include entities that operate in the defense and related materiel sector or the surveillance technology sector in China, or own, or are owned, or are controlled by persons that operate in the above sectors.There were a few entities that appeared in Trump's list that were dropped while there were new entities that were added to the current list.Some major changes were that the name of the list was changed from Communist Chinese Military Companies (CCMC) to Chinese Military-Industrial Complex Companies (CMIC), the list would be maintained by the Treasury Department as opposed to the Defense Department, and restrictions on subsidiaries would apply only if the subsidiary was explicitly named in the list.It has been reported in the media, quoting senior officials, that the list will be updated on a rolling basis. As we were typing out the Insight, Reuters published an article that says more Chinese companies could be added to the investment ban.In this Insight, we try to identify some of the subsidiaries of companies that could be added to the CMIC list where the parent entity is already included on the list.

POTUS Executive Order: Potential Additions to the CMIC List

China

Dawning Information Industry Co., Ltd researches, develops, and produces information products. The Company manufactures and markets high-end computers, storage products, and provides software development, system integration and technical services. Dawning Information Industry conducts businesses in China.

Dawning Information Industry C (603019 CH)

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Dawning Information Industry C (603019 CH)

Index Rebalance & ETF Flow Recap: HSCEI, HSTECH, HSI, HSCI, KS200, KQ150, CSI300, SENSEX, LQ45, PSEi

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

CSI300 Index Rebalance Preview: Early Look at Potential Changes in June

We forecast 15 changes to the index in June leading to a one-way turnover of 2.35% and a one-way trade of CNY 5.57bn. The potential adds have...

Brian Freitas

CSI300 Index Rebalance Preview (June 2022): Changes Near the Midway Mark

Nearly midway through the review period for the June rebalance of the CSI300 index, we see 29 potential changes resulting in a one-way turnover of...

Brian Freitas

Potential Blacklist Additions: Impact on China AI/Biotech Stocks

An FT article said that the Biden administration would add 8 entities to the NS-CMIC list and 24 entities to the Entity List. We look at the...

Brian Freitas

POTUS Executive Order: Potential Additions to the CMIC List

There could be more entities added to Biden's Executive Order if US-China relations continue to worsen. Defense & surveillance stocks, plus subs of...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)