Equity Analyst, Event-driven, Quiddity Advisors

Janaghan Jeyakumar, CFA

Equity Analyst, Event-driven

Quiddity Advisors

Pan-Asia Catalysts/Events

Event-Driven

<ul>
<li>STAR 50 Index is a tech-focused, blue-chip index in Mainland China which tracks the top 50 largest and most liquid names in the STAR market of the Shanghai Stock Exchange.</li>
<li>In my last insight (<a href="https://www.smartkarma.com/insights/quiddity-leaderboard-star-50-jun-24-3-adds-dels-possible-but-should-be-monitored-closely" target="_blank" rel="noopener">link</a>), I discussed how the rankings had to be monitored closely before finalizing the index change expectations for the June 2024 index rebal event.</li>
<li>Now that the reference period is complete, I have discussed my final expectations for the June 2024 review. The official index changes will be announced later this month.</li>
</ul>


STAR 50 Index is a tech-focused, blue-chip index in Mainland China which tracks the top 50 largest and most liquid names in the STAR market of the Shanghai Stock Exchange.
In my last insight (link), I discussed how the rankings had to be monitored closely before finalizing the index change expectations for the June 2024 index rebal event.
Now that the reference period is complete, I have discussed my final expectations for the June 2024 review. The official index changes will be announced later this month.


Quiddity Leaderboard STAR 50 Jun 24: SHORTs Down 12% Vs Peers in 1 Month; Final Ranks & New Trade

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>With the review period complete, we forecast 3 changes for 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. All changes are migrations from/to the STAR 100 Index.</li>
<li>One way turnover is estimated at 3.4% resulting in a one-way trade of CNY 4.5bn (US$630m). There is a lot to trade from passive trackers, especially on the inclusions.</li>
<li>The potential adds have outperformed the potential deletions by ~18% over the last month with <a href="https://www.smartkarma.com/entities/hangzhou-ezviz-network-co-ltd" target="_blank" data-smartkarma-citation="entities:41299:1" rel="noopener">Hangzhou EZVIZ Network (688475 CH)</a> and <a href="https://www.smartkarma.com/entities/apt-medical-inc" target="_blank" data-smartkarma-citation="entities:40838:1" rel="noopener">APT Medical (688617 CH)</a> moving higher.</li>
</ul>


With the review period complete, we forecast 3 changes for the SSE STAR50 (STAR50 INDEX) in June. All changes are migrations from/to the STAR 100 Index.
One way turnover is estimated at 3.4% resulting in a one-way trade of CNY 4.5bn (US$630m). There is a lot to trade from passive trackers, especially on the inclusions.
The potential adds have outperformed the potential deletions by ~18% over the last month with Hangzhou EZVIZ Network (688475 CH) and APT Medical (688617 CH) moving higher.


STAR50 Index Rebalance Preview: Adds Steamroll Deletes

<ul>
<li>The review period for the June rebalance ended 30 April. We expect the changes to be announced 31 May with the implementation taking place after the close on 14 June.</li>
<li>We forecast 9 changes for the index, including migrations between the STAR 100 Index and 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>.</li>
<li>The outright inclusions have outperformed the outright deletions by 9% over the last month and by 20% over the last 3 months.</li>
</ul>


The review period for the June rebalance ended 30 April. We expect the changes to be announced 31 May with the implementation taking place after the close on 14 June.
We forecast 9 changes for the index, including migrations between the STAR 100 Index and the SSE STAR50 (STAR50 INDEX).
The outright inclusions have outperformed the outright deletions by 9% over the last month and by 20% over the last 3 months.


STAR100 Index Rebalance Preview: Potential Adds Continue to Push Higher

China

Hangzhou EZVIZ Network Co.,Ltd. develops internet of things cloud platform and provides smart home services. The Company manufactures smart home products such as smart home cameras, home automation products, home automation products, accessory products, and offers cloud platform services. Hangzhou EZVIZ Network conducts businesses in China.

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

Hangzhou EZVIZ Network (688475 CH)

Quiddity Leaderboard STAR 50 Jun 24: SHORTs Down 12% Vs Peers in 1 Month; Final Ranks & New Trade

I see 3 expected ADDs/DELs for the June 2024 review and I believe the expected ADDs will outperform the expected DELs over the next few weeks.

Janaghan Jeyakumar, CFA

STAR50 Index Rebalance Preview: Adds Steamroll Deletes

There could be 3 changes for the STAR50 Index in June. The impact on the potential adds varies from 8-14x ADV. The potential adds have outperformed...

Brian Freitas

STAR100 Index Rebalance Preview: Potential Adds Continue to Push Higher

There could be 9 changes for the STAR100 Index in June of which 3 are migrations with the STAR50. The outright adds have outperformed the outright...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)