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

Event-Driven

<ul>
<li>The largest ETF inflows in the region have been in Taiwan as investors rush into indices that have higher dividend yields.</li>
<li>China had large inflows last year as markets floundered. With markets trading in a range over the last 6 months, those flows have reversed in Q1 this year.</li>
<li>Australia has seen net inflows this year, while there have been net outflows from Hong Kong, India and Japan focused ETFs.</li>
</ul>


The largest ETF inflows in the region have been in Taiwan as investors rush into indices that have higher dividend yields.
China had large inflows last year as markets floundered. With markets trading in a range over the last 6 months, those flows have reversed in Q1 this year.
Australia has seen net inflows this year, while there have been net outflows from Hong Kong, India and Japan focused ETFs.


ETF Flows in Q1: Inflows for Taiwan, Outflows for China

Index Rebalance

<ul>
<li>It has been a decent year for the index rebalance strategy, though there have been some big hiccups along the way.</li>
<li>Forecasting the index changes and impacts has been important, but timing (especially momentum/value regime changes) and hedge selection have also been major factors affecting the returns of the strategy.</li>
<li>As passive AUM continues to increase, we expect focus on the strategy to continue in 2025 with market players taking different approaches to trading the potential and announced index changes.</li>
</ul>


It has been a decent year for the index rebalance strategy, though there have been some big hiccups along the way.
Forecasting the index changes and impacts has been important, but timing (especially momentum/value regime changes) and hedge selection have also been major factors affecting the returns of the strategy.
As passive AUM continues to increase, we expect focus on the strategy to continue in 2025 with market players taking different approaches to trading the potential and announced index changes.


How Has the Index Rebalance Strategy Performed in 2024?

Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>
Discover sophisticated, live, multi-leg options strategies on <a href="https://www.smartkarma.com/entities/jd-com-inc" target="_blank" data-smartkarma-citation="entities:29043:1" rel="noopener">JD.com (9618 HK)</a>, executed over the period from 4 June to 10 June on the HKEX</li>
<li>
Highlights: A range of noteworthy strategies, including a deep in-the-money, three-months Diagonal Call Spread and an ultra-low-cost, one-week Calendar Put Spread, highlighting diverse approaches to capitalize on market movements.</li>
<li>
Why read: This breakdown of complex option strategies sheds light on market sentiment and positioning. Detailed examples provide actionable insights that could inspire similar strategies,</li>
</ul>



Discover sophisticated, live, multi-leg options strategies on JD.com (9618 HK), executed over the period from 4 June to 10 June on the HKEX

Highlights: A range of noteworthy strategies, including a deep in-the-money, three-months Diagonal Call Spread and an ultra-low-cost, one-week Calendar Put Spread, highlighting diverse approaches to capitalize on market movements.

Why read: This breakdown of complex option strategies sheds light on market sentiment and positioning. Detailed examples provide actionable insights that could inspire similar strategies,


JD.com (9618 HK): Top Trades and Strategic Insights from HKEX Options Trading

Asia L/S Equity PM/Macro/Thematic Idea Generation

Rikki Malik

Cross Asset Strategy

<ul>
<li>Government stabilisation measures kick in as tariff war starts to bite</li>
<li>Can the HK and China markets continue their bull run as markets dislocate?</li>
<li>Is it time to selectively get back into the Chinese tech sector?</li>
</ul>


Government stabilisation measures kick in as tariff war starts to bite
Can the HK and China markets continue their bull run as markets dislocate?
Is it time to selectively get back into the Chinese tech sector?


Hong Kong Market Strategy - Trade and Portfolio Ideas Amidst the Volatility

<ul>
<li>Along with its fiscal 2024 results, <a href="https://www.smartkarma.com/entities/alibaba-group-holding-ltd-d7b798e2-202d-4e01-9a1e-799e2ae8f0c7" target="_blank" data-smartkarma-citation="entities:28434:1" rel="noopener">Alibaba (9988 HK)</a> announced that they were preparing for their primary listing in Hong Kong and the conversion was expected to complete by August.</li>
<li>If the conversion is completed by the end of August, <a href="https://www.smartkarma.com/entities/alibaba-group-holding-ltd-d7b798e2-202d-4e01-9a1e-799e2ae8f0c7" target="_blank" data-smartkarma-citation="entities:28434:1" rel="noopener">Alibaba (9988 HK)</a> could be added to Southbound Stock Connect in September and that could bring in significant flows.</li>
<li>We do not forecast any passive inflows due to the change with <a href="https://www.smartkarma.com/entities/alibaba-group-holding-ltd-d7b798e2-202d-4e01-9a1e-799e2ae8f0c7" target="_blank" data-smartkarma-citation="entities:28434:1" rel="noopener">Alibaba Group Holding (9988 HK)</a> capped at 8% of the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI</a> and <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">HSTECH</a> indices.</li>
</ul>


Along with its fiscal 2024 results, Alibaba (9988 HK) announced that they were preparing for their primary listing in Hong Kong and the conversion was expected to complete by August.
If the conversion is completed by the end of August, Alibaba (9988 HK) could be added to Southbound Stock Connect in September and that could bring in significant flows.
We do not forecast any passive inflows due to the change with Alibaba Group Holding (9988 HK) capped at 8% of the HSI, HSCEI and HSTECH indices.


Alibaba (9988 HK): Dual Primary Listing & Potential Southbound Flows

Hong Kong

The Hang Seng TECH Index aims to represent the 30 largest technology companies listed in Hong Kong which have high business exposure to the Innovative Tech Themes.

Hang Seng TECH Index (HSTECH INDEX EQUITY)

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

Hang Seng TECH Index (HSTECH INDEX EQUITY)

ETF Flows in Q1: Inflows for Taiwan, Outflows for China

Taiwan has taken in the largest inflows in Q1 while the largest outflows are in China. The switch from EEM to IEMG continues. Redemptions from EMXC...

Brian Freitas

How Has the Index Rebalance Strategy Performed in 2024?

The index rebalance strategy has performed reasonably well this year. Accurate forecasting of index changes and optimal hedge selection have played...

Brian Freitas

JD.com (9618 HK): Top Trades and Strategic Insights from HKEX Options Trading

Discover live, multi-leg options strategies on JD.com, including Diagonal Spreads and one-day Butterflies, offering insights into market sentiment...

Gaudenz Schneider

Hong Kong Market Strategy - Trade and Portfolio Ideas Amidst the Volatility

$769 has lagged other rare earth plays but it is now up 100% in two days. We would look to sell half and keep the rest as a free ride. Hard...

Rikki Malik

Alibaba (9988 HK): Dual Primary Listing & Potential Southbound Flows

Alibaba expect to convert to a Primary Listing on the HKEX by end August. That could mean inclusion in Southbound Stock Connect in September. With...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

ETF Flows in Q1: Inflows for Taiwan, Outflows for China

Taiwan has taken in the largest inflows in Q1 while the largest outflows are in China. The switch from EEM to IEMG continues. Redemptions from EMXC...

Brian Freitas

How Has the Index Rebalance Strategy Performed in 2024?

The index rebalance strategy has performed reasonably well this year. Accurate forecasting of index changes and optimal hedge selection have played...

Brian Freitas

JD.com (9618 HK): Top Trades and Strategic Insights from HKEX Options Trading

​Discover live, multi-leg options strategies on JD.com, including Diagonal Spreads and one-day Butterflies, offering insights into market sentiment...

Gaudenz Schneider

Hong Kong Market Strategy - Trade and Portfolio Ideas Amidst the Volatility

$769 has lagged other rare earth plays but it is now up 100% in two days. We would look to sell half and keep the rest as a free ride. Hard...

Rikki Malik

Alibaba (9988 HK): Dual Primary Listing & Potential Southbound Flows

Alibaba expect to convert to a Primary Listing on the HKEX by end August. That could mean inclusion in Southbound Stock Connect in September. With...

Brian Freitas

Discover live, multi-leg options strategies on JD.com, including Diagonal Spreads and one-day Butterflies, offering insights into market sentiment...