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>As expected, <a href="https://www.smartkarma.com/entities/byd-co-ltd-h" target="_blank" data-smartkarma-citation="entities:20962:1" rel="noopener">BYD (1211 HK)</a> will be added to the <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">Hang Seng TECH Index (HSTECH INDEX)</a> in June following the launch of God's Eye, its Advanced Driver-Assistance System (ADAS).</li>
<li>
<a href="https://www.smartkarma.com/entities/byd-co-ltd-h" target="_blank" data-smartkarma-citation="entities:20962:1" rel="noopener">BYD (1211 HK)</a>'s inclusion results in <a href="https://www.smartkarma.com/entities/china-literature-ltd" target="_blank" data-smartkarma-citation="entities:24388:1" rel="noopener">China Literature (772 HK)</a> being deleted from the index. <a href="https://www.smartkarma.com/entities/china-literature-ltd" target="_blank" data-smartkarma-citation="entities:24388:1" rel="noopener">China Literature</a> stock should drop over the near-term.</li>
<li>Estimated one-way turnover at the rebalance is 13% resulting in a round-trip trade of HK$46.5bn (US$5.95bn). There are 16 stocks that have at least 1x ADV to trade from passives.</li>
</ul>


As expected, BYD (1211 HK) will be added to the Hang Seng TECH Index (HSTECH INDEX) in June following the launch of God's Eye, its Advanced Driver-Assistance System (ADAS).

BYD (1211 HK)'s inclusion results in China Literature (772 HK) being deleted from the index. China Literature stock should drop over the near-term.
Estimated one-way turnover at the rebalance is 13% resulting in a round-trip trade of HK$46.5bn (US$5.95bn). There are 16 stocks that have at least 1x ADV to trade from passives.


HSTECH Index Rebalance: BYD (1211 HK) To Replace China Literature (772 HK) As Trade Hits US$6bn

<ul>
<li>We had <a href="https://www.smartkarma.com/entities/pop-mart-international-group-l" target="_blank" data-smartkarma-citation="entities:29016:1" rel="noopener">Pop Mart International (9992 HK)</a> at the cusp of index inclusion. An increase in <a href="https://www.smartkarma.com/entities/postal-savings-bank-of-china-c-2a9047eb-af5e-4621-85c4-3cac677a1d13" target="_blank" data-smartkarma-citation="entities:22848:1" rel="noopener">Postal Savings Bank of China (1658 HK)</a>'s FAF led to <a href="https://www.smartkarma.com/entities/pop-mart-international-group-l" target="_blank" data-smartkarma-citation="entities:29016:1" rel="noopener">Pop Mart</a> missing out.</li>
<li>Estimated one-way turnover at the rebalance is 3.18% leading to a round-trip trade of HK$3.8bn (US$489m).</li>
<li>There are large inflows for <a href="https://www.smartkarma.com/entities/netease-inc" target="_blank" data-smartkarma-citation="entities:29030:1" rel="noopener">NetEase (9999 HK)</a>, <a href="https://www.smartkarma.com/entities/trip-com-group-ltd-23a341d0-4f63-4175-a8c5-ee990906cacd" target="_blank" data-smartkarma-citation="entities:36424:1" rel="noopener">Trip.com Group (9961 HK)</a> and <a href="https://www.smartkarma.com/entities/baidu-inc-a55ca720-5968-48f0-8194-ac94390d065c" target="_blank" data-smartkarma-citation="entities:32212:1" rel="noopener">Baidu (9888 HK)</a> due to a FAF methodology change for Secondary Listings.</li>
</ul>


We had Pop Mart International (9992 HK) at the cusp of index inclusion. An increase in Postal Savings Bank of China (1658 HK)'s FAF led to Pop Mart missing out.
Estimated one-way turnover at the rebalance is 3.18% leading to a round-trip trade of HK$3.8bn (US$489m).
There are large inflows for NetEase (9999 HK), Trip.com Group (9961 HK) and Baidu (9888 HK) due to a FAF methodology change for Secondary Listings.


HSCEI Index Rebalance: Why Did Pop Mart (9992 HK) Miss?

Pop Mart International Group L / Index Rebalance

<ul>
<li>Post market close on Friday, Hang Seng Indexes will announce the changes for the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng Index (HSI INDEX)</a> that will be implemented at the close on 6 June.</li>
<li>With no constituent changes, one-way turnover will be 1.9% with 3 stocks being capped and FAF changes for a few stocks due to a methodology change for Secondary Listings. </li>
<li>We highlight 7 stocks that have a higher probability of being added to the index. Everything depends on the index committee, and we would not be surprised by zero changes.</li>
</ul>


Post market close on Friday, Hang Seng Indexes will announce the changes for the Hang Seng Index (HSI INDEX) that will be implemented at the close on 6 June.
With no constituent changes, one-way turnover will be 1.9% with 3 stocks being capped and FAF changes for a few stocks due to a methodology change for Secondary Listings. 
We highlight 7 stocks that have a higher probability of being added to the index. Everything depends on the index committee, and we would not be surprised by zero changes.


Hang Seng Index (HSI) Rebalance Preview: Inclusion Candidates for June25

<ul>
<li>The review period for the June rebalance of the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI</a> ended on 31 March, the results will be announced on 16 May and will be implemented on 6 June.</li>
<li>
<a href="https://www.smartkarma.com/entities/pop-mart-international-group-l" target="_blank" data-smartkarma-citation="entities:29016:1" rel="noopener">Pop Mart International Group L (9992 HK)</a> could be added to the index while <a href="https://www.smartkarma.com/entities/sunny-optical-technology-group" target="_blank" data-smartkarma-citation="entities:13363:1" rel="noopener">Sunny Optical Technology Group (2382 HK)</a> could be deleted from the index.</li>
<li>There are other stocks with big flows due to a change in the FreeFloat-Adjusted Factor (FAF) methodology for Secondary Listings that will be implemented from the rebalance in June.</li>
</ul>


The review period for the June rebalance of the HSCEI ended on 31 March, the results will be announced on 16 May and will be implemented on 6 June.

Pop Mart International Group L (9992 HK) could be added to the index while Sunny Optical Technology Group (2382 HK) could be deleted from the index.
There are other stocks with big flows due to a change in the FreeFloat-Adjusted Factor (FAF) methodology for Secondary Listings that will be implemented from the rebalance in June.


HSCEI Index Rebalance Preview: Pop Mart (9992 HK) Could Replace Sunny Optical (2382 HK)

<ul>
<li>
<a href="https://www.smartkarma.com/entities/east-buy-holding-ltd" target="_blank" data-smartkarma-citation="entities:27796:1" rel="noopener">East Buy Holding (1797 HK)</a> was deleted from the <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">Hang Seng TECH Index</a> in March and could be deleted from the <a href="https://www.smartkarma.com/entities/kraneshares-csi-china-internet-etf" target="_blank" data-smartkarma-citation="entities:28208:1" rel="noopener">KraneShares CSI China Internet ETF (KWEB US)</a> in June.</li>
<li>There are other ETFs that track the same index (and similar indices), and those trackers will be selling <a href="https://www.smartkarma.com/entities/east-buy-holding-ltd" target="_blank" data-smartkarma-citation="entities:27796:1" rel="noopener">East Buy Holding (1797 HK)</a> too.</li>
<li>There has been some short covering in the stock recently, but short interest is pretty high as a percentage of float. Watch out for short covering that offsets passive selling.</li>
</ul>



East Buy Holding (1797 HK) was deleted from the Hang Seng TECH Index in March and could be deleted from the KraneShares CSI China Internet ETF (KWEB US) in June.
There are other ETFs that track the same index (and similar indices), and those trackers will be selling East Buy Holding (1797 HK) too.
There has been some short covering in the stock recently, but short interest is pretty high as a percentage of float. Watch out for short covering that offsets passive selling.


East Buy Holdings (1797 HK): Potential KWEB Deletion in June

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)

HSTECH Index Rebalance: BYD (1211 HK) To Replace China Literature (772 HK) As Trade Hits US$6bn

In a change that was not widely forecast, BYD will replace China Literature in the index. That change plus large FAF changes set off a huge trade....

Brian Freitas

HSCEI Index Rebalance: Why Did Pop Mart (9992 HK) Miss?

Pop Mart misses inclusion due to a float increase for a different stock. Estimated turnover is 3.18% and trade is HK$3.8bn. NetEase, Trip.com,...

Brian Freitas

Hang Seng Index (HSI) Rebalance Preview: Inclusion Candidates for June25

We highlight 7 potential inclusions for the HSI in June, though the index committee could make no changes as we have seen in the past. Pop Mart...

Brian Freitas

HSCEI Index Rebalance Preview: Pop Mart (9992 HK) Could Replace Sunny Optical (2382 HK)

Pop Mart could replace Sunny Optical in the index. There will be inflows for NetEase, Trip.com and Baidu due to a FAF methodology change. Pop Mart...

Brian Freitas

East Buy Holdings (1797 HK): Potential KWEB Deletion in June

East Buy Holdings could be deleted from the KWEB in June. Shorts have been covering and there has been minimal increase in positioning recently....

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)