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 the review cutoff done, there could be one change for the <a href="https://www.smartkarma.com/entities/ishares-ftse-a50-china-index-etf" target="_blank" data-smartkarma-citation="entities:249:1" rel="noopener">iShares A50 China (2823 HK)</a>/ <a href="https://www.smartkarma.com/entities/csop-ftse-china-a50-etf-26e3b671-fa47-4165-a12e-bf841640c5a3" target="_blank" data-smartkarma-citation="entities:23664:1" rel="noopener">CSOP China A50 (HKD) (2822 HK)</a> ETFs in June.</li>
<li>As the highest ranked non-ETF member, <a href="https://www.smartkarma.com/entities/seres-group-co-ltd" target="_blank" data-smartkarma-citation="entities:29951:1" rel="noopener">Seres Group (601127 CH)</a> could replace <a href="https://www.smartkarma.com/entities/china-united-network-a" target="_blank" data-smartkarma-citation="entities:12620:1" rel="noopener">China United Network A (600050 CH)</a> in the ETF at the close on 20 June.</li>
<li>
<a href="https://www.smartkarma.com/entities/china-united-network-a" target="_blank" data-smartkarma-citation="entities:12620:1" rel="noopener">China United Network A (600050 CH)</a> was added to the ETF in March, so this could be a very short stint in the ETF for the stock.</li>
</ul>


With the review cutoff done, there could be one change for the iShares A50 China (2823 HK)/ CSOP China A50 (HKD) (2822 HK) ETFs in June.
As the highest ranked non-ETF member, Seres Group (601127 CH) could replace China United Network A (600050 CH) in the ETF at the close on 20 June.

China United Network A (600050 CH) was added to the ETF in March, so this could be a very short stint in the ETF for the stock.


China A50 ETFs Rebalance Preview: One Change Highly Likely

Dawning Information Industry C / Index Rebalance

<ul>
<li>With the review period complete, there are 2 non-constituents in direct inclusion zone and 4 current constituents in direct deletion zone.</li>
<li>4 changes result in a one-way turnover of 5.7%, leading to a round-trip trade of CNY 21.8bn (US$3bn). Index arb balances will increase the impact on the stocks.</li>
<li>After drifting in a range, the forecast adds have outperformed the forecast deletes over the last month. There could be further outperformance as we near the announcement date.</li>
</ul>


With the review period complete, there are 2 non-constituents in direct inclusion zone and 4 current constituents in direct deletion zone.
4 changes result in a one-way turnover of 5.7%, leading to a round-trip trade of CNY 21.8bn (US$3bn). Index arb balances will increase the impact on the stocks.
After drifting in a range, the forecast adds have outperformed the forecast deletes over the last month. There could be further outperformance as we near the announcement date.


SSE50 Index Rebalance Preview: 4 Potential Changes in June

Pan-Asia Catalysts/Events, Quiddity Advisors

David Blennerhassett

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

<ul>
<li>
<strong><a href="https://www.smartkarma.com/entities/geely-automobile-holdings-ltd" target="_blank" data-smartkarma-citation="entities:127:1" rel="noopener">Geely Auto (175 HK)</a></strong><a href="https://www.smartkarma.com/entities/geely-automobile-holdings-ltd" target="_blank" data-smartkarma-citation="entities:127:1" rel="noopener"></a>'s discount to NAV is less than half its 12-month average. And Geely is generally trading tighter to listed PRC auto peers. </li>
<li>Preceding my comments on Geely - and <strong><a href="https://www.smartkarma.com/entities/ntt-data-corp" target="_blank" data-smartkarma-citation="entities:11232:1" rel="noopener">NTT Data Corp (9613 JP)</a></strong> - are the current setup/unwind tables for Asia-Pacific Holdcos.</li>
<li>These relationships trade with a minimum liquidity of US$1mn, and a % market capitalisation &gt;20%.</li>
</ul>



Geely Auto (175 HK)'s discount to NAV is less than half its 12-month average. And Geely is generally trading tighter to listed PRC auto peers. 
Preceding my comments on Geely - and NTT Data Corp (9613 JP) - are the current setup/unwind tables for Asia-Pacific Holdcos.
These relationships trade with a minimum liquidity of US$1mn, and a % market capitalisation &gt;20%.


StubWorld: Geely Is (Mostly) Trading "Rich"; And May Still Bump Zeekr Terms

Articles from Caixin Global, Caixin Global

Caixin Global

Articles from Caixin Global

Caixin is a media group dedicated to providing financial and business news through periodicals, online content, mobile apps, conferences, books and TV/video programs. Caixin aims to blaze a trail that helps traditional media prosper in the new media age through integrated multimedia platforms.

News from Caixin

Cross Asset Strategy

<ul><li>TOP STORY EVs / In Depth: Chinese EV-makers lured by Thai perks face reality check</li><li>IMF /China renews calls for IMF quota reform to boost the voice of emerging markets</li><li>Social security /Beijing should bolster social security to boost consumption, researchers say</li></ul>

TOP STORY EVs / In Depth: Chinese EV-makers lured by Thai perks face reality checkIMF /China renews calls for IMF quota reform to boost the voice of emerging marketsSocial security /Beijing should bolster social security to boost consumption, researchers say

CX Daily: Chinese EV-Makers Lured by Thai Perks Face Reality Check 

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 analyse the changes of A-H premium on 149 stocks over the last week. The average A-H premium was 87.8% as of Apr 25th.</li>
<li>The average A-H premium changed by -2.7ppt week-on-week, led by health care, financials, energy and offset by communication services.</li>
<li>We highlight weekly changes in A-H premium for Shanghai Petrochemical, Datang Intl Power Gen, Beigene, Maanshan Iron &amp; Steel.</li>
</ul>


We analyse the changes of A-H premium on 149 stocks over the last week. The average A-H premium was 87.8% as of Apr 25th.
The average A-H premium changed by -2.7ppt week-on-week, led by health care, financials, energy and offset by communication services.
We highlight weekly changes in A-H premium for Shanghai Petrochemical, Datang Intl Power Gen, Beigene, Maanshan Iron &amp; Steel.


A-H Premium Weekly (Apr 25th): Shanghai Petrochemical, Datang Intl Power Gen, Beigene

China

Great Wall Motor Company Limited, through its subsidiaries, manufactures and sells pick-up trucks and sport-utility vehicles (SUVs) in China under branded names. The Company also researches and manufactures principal automotive parts and components for use in the assembly of pick-up trucks and SUVs. Great Wall Motor conducts business in China, USA, Japan, Canada, Korea, and other regions.

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Great Wall Motor (601633 CH)

China A50 ETFs Rebalance Preview: One Change Highly Likely

Seres could replace China United Network in the ETFs in June. This is the latest index/ETF inclusion for Seres. China United Network was added to...

Brian Freitas

SSE50 Index Rebalance Preview: 4 Potential Changes in June

There could be up to 4 changes for the SSE50 in June. Estimated 1-way turnover is 5.7% leading to a round-trip trade of US$3bn. The forecast adds...

Brian Freitas

StubWorld: Geely Is (Mostly) Trading "Rich"; And May Still Bump Zeekr Terms

Geely is trading at a 20% disc. to NAV, half the 12-mth average. Shares are up 22% in the past month, and 78% over the past year. It may still bump...

David Blennerhassett

CX Daily: Chinese EV-Makers Lured by Thai Perks Face Reality Check

TOP STORY EVs / In Depth: Chinese EV-makers lured by Thai perks face reality check It’s hard to miss the aggressiveness of Chinese automakers in...

Caixin Global

A-H Premium Weekly (Apr 25th): Shanghai Petrochemical, Datang Intl Power Gen, Beigene

We analyzed A-H premium changes in the past week and highlight A-H premium changes for Shanghai Petrochemical, Datang Intl Power Gen, Beigene,...

Ke Yan, CFA, FRM

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)