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>With only one change expected in September using a 12 month minimum listing history, we expect the index committee to continue using a 6 month minimum listing history.</li>
<li>That will see the maximum of 5 changes that are permitted at a single rebalance resulting in a one-way turnover just shy of 5%.</li>
<li>Over the last few rebalances, the adds have outperformed the deletes post the end of the review period. That's expected given passive trackers need to buy/sell a lot of stock.</li>
</ul>


With only one change expected in September using a 12 month minimum listing history, we expect the index committee to continue using a 6 month minimum listing history.
That will see the maximum of 5 changes that are permitted at a single rebalance resulting in a one-way turnover just shy of 5%.
Over the last few rebalances, the adds have outperformed the deletes post the end of the review period. That's expected given passive trackers need to buy/sell a lot of stock.


STAR50 Index Rebalance Preview (Sep): Change Is the Only Constant

<ul>
<li>The index committee has continued to use a 6 month minimum listing history leading to five changes to the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">SSE STAR50 (STAR50 INDEX)</a> in June.</li>
<li>One way turnover is estimated at 8.56% and will result in a one-way trade of CNY 3,496m. Passive trackers will need to trade between 2-6 days ADV on the adds/deletes.</li>
<li>The inclusions have outperformed the deletions and the CSI500 Index since the end of the review period with all inclusions moving higher over the period.</li>
</ul>


The index committee has continued to use a 6 month minimum listing history leading to five changes to the SSE STAR50 (STAR50 INDEX) in June.
One way turnover is estimated at 8.56% and will result in a one-way trade of CNY 3,496m. Passive trackers will need to trade between 2-6 days ADV on the adds/deletes.
The inclusions have outperformed the deletions and the CSI500 Index since the end of the review period with all inclusions moving higher over the period.


STAR50 Index Rebalance: Dear Index Committee...

<ul>
<li>There could be 3 or 5 changes to the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50 INDEX</a> in June depending on the minimum listing history (6 months or 12 months) used by the index committee.</li>
<li>
<a href="https://www.smartkarma.com/entities/jinko-solar-co-ltd" target="_blank" data-smartkarma-citation="entities:35715:1" rel="noopener">Jinko Solar (688223 CH)</a> is a high probability inclusion while <a href="https://www.smartkarma.com/entities/shanghai-microport-endovascular-medtech-a" target="_blank" data-smartkarma-citation="entities:30310:1" rel="noopener">Shanghai Microport Endovascular MedTech (688016 CH)</a>, <a href="https://www.smartkarma.com/entities/arcsoft-corp-ltd" target="_blank" data-smartkarma-citation="entities:30335:1" rel="noopener">ArcSoft Corp Ltd (688088 CH)</a> and <a href="https://www.smartkarma.com/entities/dbapp-security-ltd" target="_blank" data-smartkarma-citation="entities:30316:1" rel="noopener">DBAPP Security Ltd (688023)</a> are high probability deletions.</li>
<li>Stocks performance over the last couple of months indicates the market is assigning a higher probability to the index committee using a 12 month minimum listing history.</li>
</ul>


There could be 3 or 5 changes to the STAR50 INDEX in June depending on the minimum listing history (6 months or 12 months) used by the index committee.

Jinko Solar (688223 CH) is a high probability inclusion while Shanghai Microport Endovascular MedTech (688016 CH), ArcSoft Corp Ltd (688088 CH) and DBAPP Security Ltd (688023) are high probability deletions.
Stocks performance over the last couple of months indicates the market is assigning a higher probability to the index committee using a 12 month minimum listing history.


STAR50 Index Rebalance Preview: 3 Changes or 5? It Depends...

<ul>
<li>There could be 3 or 5 changes to the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50 INDEX</a> in June depending on the minimum listing history (6 months or 12 months) used by the index committee.</li>
<li>
<a href="https://www.smartkarma.com/entities/jinko-solar-co-ltd" target="_blank" data-smartkarma-citation="entities:35715:1" rel="noopener">Jinko Solar (688223 CH)</a> is a high probability inclusion while <a href="https://www.smartkarma.com/entities/shanghai-microport-endovascular-medtech-a" target="_blank" data-smartkarma-citation="entities:30310:1" rel="noopener">Shanghai Microport Endovascular MedTech (688016 CH)</a>, <a href="https://www.smartkarma.com/entities/arcsoft-corp-ltd" target="_blank" data-smartkarma-citation="entities:30335:1" rel="noopener">ArcSoft Corp Ltd (688088 CH)</a> and <a href="https://www.smartkarma.com/entities/dbapp-security-ltd" target="_blank" data-smartkarma-citation="entities:30316:1" rel="noopener">DBAPP Security Ltd (688023)</a> are high probability deletions.</li>
<li>The March rebalance will be implemented at the close tomorrow. The adds have outperformed the deletes post announcement and there could be a reversal from next week.</li>
</ul>


There could be 3 or 5 changes to the STAR50 INDEX in June depending on the minimum listing history (6 months or 12 months) used by the index committee.

Jinko Solar (688223 CH) is a high probability inclusion while Shanghai Microport Endovascular MedTech (688016 CH), ArcSoft Corp Ltd (688088 CH) and DBAPP Security Ltd (688023) are high probability deletions.
The March rebalance will be implemented at the close tomorrow. The adds have outperformed the deletes post announcement and there could be a reversal from next week.


STAR50 Index Rebalance Preview (June): Back to the All Important Question

Research and consultancy, Tabbush Report

Daniel Tabbush

Research and consultancy

Tabbush Report

We provide research and consultancy on Asian banks. Our focus is on what we call “Asian bank research, without the noise.” We are interested in the most critical swing-factors for banks, the NPL and credit cycle, and where we believe there is a gap between perception and reality. We often focus on the less studied components of bank financial statements.  Our research is highly thematic, sometimes examining unlisted banks and companies as a window on mainstream banks. 

Being independent allows us to look at smaller banks, often overlooked by others. Analysis of BIS bank guidelines in the context of Asia, is also a focal point, while we also analyze global banks operating in the region. We use what we believe is the most comprehensive, reliable financials database, SNL Financial. S&P Capital IQ augments our database, with corporate data and CEIC, with economics. 

Asian bank research, without the noise.

Equity Bottom-Up

<ul>
<li>Surge in revenue during 1Q24 may have implications for a return to strong profit growth</li>
<li>There is no evidence of structurally weaker core costs, like COGS and SGA and even R&amp;D</li>
<li>ROE is now above 20% and this after it large capital raising in FY22</li>
</ul>


Surge in revenue during 1Q24 may have implications for a return to strong profit growth
There is no evidence of structurally weaker core costs, like COGS and SGA and even R&amp;D
ROE is now above 20% and this after it large capital raising in FY22


Raydium Semiconductor - Acceleration of Revenue in 1Q24 Has Positive Implications

China

GalaxyCore Inc. develops, manufactures, and distributes emiconductor and integrated circuits. The Company produces complementary metal oxide semiconductor (CMOS) image sensor and display driver chips. GalaxyCore supplies its products in consumer electronics, mobile payment, automotive electronics, and other fields.

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GalaxyCore (688728 CH)

STAR50 Index Rebalance Preview (Sep): Change Is the Only Constant

We expect the index committee to continue using a 6 month minimum listing history and that will lead to 5 changes in September. Buying the adds and...

Brian Freitas

STAR50 Index Rebalance: Dear Index Committee...

There are 5 changes to the STAR50 Index in June as the index committee continues to use a 6 month minimum listing history. The adds have...

Brian Freitas

STAR50 Index Rebalance Preview: 3 Changes or 5? It Depends...

There could be 3/5 changes in June depending on whether the index committee uses a 12/6 month minimum listing history. The market is assigning a...

Brian Freitas

STAR50 Index Rebalance Preview (June): Back to the All Important Question

Depending on the minimum listing history used, there will be 3 or 5 changes. JinkoSolar is a high probability inclusion. The March rebalance will...

Brian Freitas

Raydium Semiconductor - Acceleration of Revenue in 1Q24 Has Positive Implications

Acceleration of revenue in 1Q24 is exceptional and this may mark the beginning of far better growth at the bottom line, lacking in the past 1-2 years.

Daniel Tabbush

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