Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

Guangzhou Automobile Group / Event-Driven

<ul>
<li>The New/Better A-H Premium Tracker has tables, charts, measures galore to track A/H premium positioning, southbound and northbound positioning/volatility in pairs over time, etc.</li>
<li>SOUTHBOUND's consecutive buying streak ended on Monday 25-March, then started again. NORTHBOUND has started selling (but buying semi tech).</li>
<li>Hs rebounded vs As. AH Premia still wide. Fabulous two-week performance by the Quiddity Portfolio (+2.09% over the two weeks) on a delta 3:1 long H/short A</li>
</ul>


The New/Better A-H Premium Tracker has tables, charts, measures galore to track A/H premium positioning, southbound and northbound positioning/volatility in pairs over time, etc.
SOUTHBOUND's consecutive buying streak ended on Monday 25-March, then started again. NORTHBOUND has started selling (but buying semi tech).
Hs rebounded vs As. AH Premia still wide. Fabulous two-week performance by the Quiddity Portfolio (+2.09% over the two weeks) on a delta 3:1 long H/short A


A/H Premium Tracker (To 12 Apr 2024):  Liquid AH Premia Still Very Wide, The Right Spreads Behaving

<ul>
<li>The New and Better (5mos old) A-H Premium Tracker has tables, charts, measures galore to track A/H premium positioning, southbound and northbound positioning/volatility in pairs over time, etc.</li>
<li>SOUTHBOUND and NORTHBOUND flows were both sells, respectively, but liquid Hs with H/A pairs OUT-perform As on average by 100+bp. Liquidation by overseas investors feels finished.</li>
<li><strong>STILL time to go long Hs vs As for the new year at 52wk wide discounts.</strong></li>
</ul>


The New and Better (5mos old) A-H Premium Tracker has tables, charts, measures galore to track A/H premium positioning, southbound and northbound positioning/volatility in pairs over time, etc.
SOUTHBOUND and NORTHBOUND flows were both sells, respectively, but liquid Hs with H/A pairs OUT-perform As on average by 100+bp. Liquidation by overseas investors feels finished.
STILL time to go long Hs vs As for the new year at 52wk wide discounts.


A/H Premium Tracker (To 22 Dec 23): Wide Premia Narrow; Narrow Premia Widen. Stay Long Hs Vs As

<ul>
<li>This is the Brand Spanking New and Extra Spiffy H/A-Share Discount/Premium Weekly designed to help investors see the relationships easily. We used to do it. </li>
<li>We decided to bring it back better. There are lots of cool interactive tables, and charts, heat maps, and comparative data. And 19 Trade Recommendations. </li>
<li>We hope this new version serves readers even better. Feedback is actively solicited to see if we can improve it from here. </li>
</ul>


This is the Brand Spanking New and Extra Spiffy H/A-Share Discount/Premium Weekly designed to help investors see the relationships easily. We used to do it. 
We decided to bring it back better. There are lots of cool interactive tables, and charts, heat maps, and comparative data. And 19 Trade Recommendations. 
We hope this new version serves readers even better. Feedback is actively solicited to see if we can improve it from here. 


The Brand Spanking New Extra Spiffy 🦄H/A-Share Discount/Premium Weekly (As of 11 Aug 2023)

<ul>
<li>The New and Better (10 weeks old) A-H Monitor has tables, charts, measures galore to track A/H premium positioning, southbound and northbound positioning/volatility in pairs over time, etc.</li>
<li>Absolutely STONKING performance this past week - +1.62% Friday to Friday across 42 trades. Positive performance in every sector. Portfolio at new high. Southbound inflows. BigCapHighDiv SOE outflows.</li>
<li>Short sales this week now need 100% in the account for hedge funds. And the MSS claims some are short-selling or talking bearishly on stocks for political reasons.</li>
</ul>


The New and Better (10 weeks old) A-H Monitor has tables, charts, measures galore to track A/H premium positioning, southbound and northbound positioning/volatility in pairs over time, etc.
Absolutely STONKING performance this past week - +1.62% Friday to Friday across 42 trades. Positive performance in every sector. Portfolio at new high. Southbound inflows. BigCapHighDiv SOE outflows.
Short sales this week now need 100% in the account for hedge funds. And the MSS claims some are short-selling or talking bearishly on stocks for political reasons.


A/H Premium Tracker (To 3 Nov): Volatility Off, Spreads Jumpy, Short Sellers a NatSec Concern?

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

<ul>
<li>Nearly 90% through the review period, we see 6 potential adds and 5 potential deletes in June. However, there can be a maximum of 5 changes at a rebalance.</li>
<li>We estimate a one-way turnover of 5.07% at the June rebalance leading to a one-way trade of CNY 3.97bn. Index arb activity could add to the impact on the stocks.</li>
<li>The potential adds have outperformed the potential deletes by 17% over the last month and by 21% over the last two months.</li>
</ul>


Nearly 90% through the review period, we see 6 potential adds and 5 potential deletes in June. However, there can be a maximum of 5 changes at a rebalance.
We estimate a one-way turnover of 5.07% at the June rebalance leading to a one-way trade of CNY 3.97bn. Index arb activity could add to the impact on the stocks.
The potential adds have outperformed the potential deletes by 17% over the last month and by 21% over the last two months.


SSE50 Index Rebalance Preview: BIG Outperformance Over the Last Month

China

Guangzhou Automobile Group Company, Ltd. manufactures, sells, and services automobiles. The Company is also involved in automobile parts and components, and auto finance and related services for both overseas and domestic markets.

Guangzhou Automobile Group (2238 HK)

A/H Premium Tracker (To 12 Apr 2024): Liquid AH Premia Still Very Wide, The Right Spreads Behaving

"The right trades" bounced back dramatically from the week before the "quiet week" to now. The delta-neutral Quiddity Portfolio gained 2+%. AH...

Travis Lundy

A/H Premium Tracker (To 22 Dec 23): Wide Premia Narrow; Narrow Premia Widen. Stay Long Hs Vs As

Large cap and liquid Hs in H/A Pairs underperformed their As by 60bp, most of that on Friday on the gaming news. High A premium pairs saw Hs...

Travis Lundy

A/H Premium Tracker (To 3 Nov): Volatility Off, Spreads Jumpy, Short Sellers a NatSec Concern?

The Quiddity A/H Premium Monitor continues onward and upward. Stonking 13th week. Now at new highs. +3.8% perf for the three months. 5 new trades...

Travis Lundy

SSE50 Index Rebalance Preview: BIG Outperformance Over the Last Month

There could be 5 changes for the SSE50 in June. Estimate one-way turnover is 5.07% and the one-way trade is CNY 3.97bn. The potential adds have...

Brian Freitas

A/H Premium Tracker (To 12 Apr 2024): Liquid AH Premia Still Very Wide, The Right Spreads Behaving

"The right trades" bounced back dramatically from the week before the "quiet week" to now. The delta-neutral Quiddity Portfolio gained 2+%. AH...

Travis Lundy

A/H Premium Tracker (To 22 Dec 23): Wide Premia Narrow; Narrow Premia Widen. Stay Long Hs Vs As

Large cap and liquid Hs in H/A Pairs underperformed their As by 60bp, most of that on Friday on the gaming news. High A premium pairs saw Hs...

Travis Lundy

The Brand Spanking New Extra Spiffy 🦄H/A-Share Discount/Premium Weekly (As of 11 Aug 2023)

Quiddity's New & Improved And Really Quite Spiffy H/A Discount Monitor. All the H/A Pairs, universe & sector metrics, with interactive tables and...

Travis Lundy

A/H Premium Tracker (To 3 Nov): Volatility Off, Spreads Jumpy, Short Sellers a NatSec Concern?

The Quiddity A/H Premium Monitor continues onward and upward. Stonking 13th week. Now at new highs. +3.8% perf for the three months. 5 new trades...

Travis Lundy

SSE50 Index Rebalance Preview: BIG Outperformance Over the Last Month

There could be 5 changes for the SSE50 in June. Estimate one-way turnover is 5.07% and the one-way trade is CNY 3.97bn. The potential adds have...

Brian Freitas