Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>In a <a href="https://www.smartkarma.com/insights/eqd-hsi-may-pull-back-levels-to-buy-for-rally-continuation-in-september" target="_blank" rel="noopener">previous insight</a> we have postulated that a pullback may be behind the corner 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>
</li>
<li>We said the pullback could come the week after the insight was published, or the following week (i.e. this week). Last week closed up, the index could retrace this week.</li>
<li>In this insight we want to update the levels to buy LONG for this week, to benefit from a highly probable continuation of the rally in September.</li>
</ul>


In a previous insight we have postulated that a pullback may be behind the corner for the Hang Seng Index (HSI INDEX).

We said the pullback could come the week after the insight was published, or the following week (i.e. this week). Last week closed up, the index could retrace this week.
In this insight we want to update the levels to buy LONG for this week, to benefit from a highly probable continuation of the rally in September.


EQD | (Updated) Support Levels to BUY For HSI Index Rally Continuation In September

<ul>
<li>We have correctly forecasted a August rally 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</a> in previous insights, <a href="https://www.smartkarma.com/insights/eqd-the-hsi-is-ripe-for-a-rally-in-august-if-july-s-close-is-negative" target="_blank" rel="noopener">here</a> and then <a href="https://www.smartkarma.com/insights/eqd-the-hsi-rebound-can-reach-higher-prices-in-august" target="_blank" rel="noopener">here</a> - the rally is on, but a pullback is coming.</li>
<li>The pullback may come in this week or the next, but it's probably behind the corner, the index can continue higher after the pullback.</li>
<li>In this insight we want to expose what are the levels to buy LONG to benefit from a <strong>highly probable continuation of the rally in September</strong>.</li>
</ul>


We have correctly forecasted a August rally for the Hang Seng Index in previous insights, here and then here - the rally is on, but a pullback is coming.
The pullback may come in this week or the next, but it's probably behind the corner, the index can continue higher after the pullback.
In this insight we want to expose what are the levels to buy LONG to benefit from a highly probable continuation of the rally in September.


EQD | HSI May Pull Back, Levels to BUY For Rally Continuation In September

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>In a surprise (maybe should not have been!), there are no constituent 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> in September. However, there are float and capping changes.</li>
<li>Estimated one-way turnover is 1% and estimated round-trip trade is HK$3.73bn (US$478m). There are no stocks with over +/-0.5x ADV to trade but flows could add to/offset other index flows.</li>
<li>We remain at 82 index constituents and the road to 100 constituents appears to be a long drawn out torturous one. At this glacial pace, could be an eternity away.</li>
</ul>


In a surprise (maybe should not have been!), there are no constituent changes for the Hang Seng Index (HSI INDEX) in September. However, there are float and capping changes.
Estimated one-way turnover is 1% and estimated round-trip trade is HK$3.73bn (US$478m). There are no stocks with over +/-0.5x ADV to trade but flows could add to/offset other index flows.
We remain at 82 index constituents and the road to 100 constituents appears to be a long drawn out torturous one. At this glacial pace, could be an eternity away.


Hang Seng Index (HSI) Rebalance: Meh (Or Will We Ever Get to 100 Stocks?)

<ul>
<li>In a <a href="https://www.smartkarma.com/insights/eqd-the-hsi-is-ripe-for-a-rally-in-august-if-july-s-close-is-negative" target="_blank" rel="noopener">previous insight</a> we forecasted a rally 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</a> in August. The picture has not changed, a positive close above 17344.60 is still possible.</li>
<li>Looking at our MRM SHORT WEEKLY model for 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> we can see that it has not yet reached overbought levels, so it could rise further in the next weeks. </li>
<li>Conversely a SHORT trade will be possible from the levels we will indicate below.</li>
</ul>


In a previous insight we forecasted a rally for the Hang Seng Index in August. The picture has not changed, a positive close above 17344.60 is still possible.
Looking at our MRM SHORT WEEKLY model for the HSI we can see that it has not yet reached overbought levels, so it could rise further in the next weeks. 
Conversely a SHORT trade will be possible from the levels we will indicate below.


EQD | The HSI Rebound Can Reach Higher Prices in August

<ul>
<li>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</a> has been falling in June and July, but our MONTHLY seasonal pattern model indicates the index has a very good chance to close August up.</li>
<li>The condition we need, to forecast that August will be closing up, is to have July closing down, i.e. &lt;17718.61.</li>
<li>The index is WEEKLY OVERSOLD, so the timing to buy will be critical, because you want to get in early, but not too early (and July must close down).</li>
</ul>


The Hang Seng Index has been falling in June and July, but our MONTHLY seasonal pattern model indicates the index has a very good chance to close August up.
The condition we need, to forecast that August will be closing up, is to have July closing down, i.e. &lt;17718.61.
The index is WEEKLY OVERSOLD, so the timing to buy will be critical, because you want to get in early, but not too early (and July must close down).


EQD | The HSI Is Ripe For A Rally In August (IF July's Close Is Negative)

Hong Kong

The Hang Seng Index is a free-float capitalization-weighted index of a selection of companies from the Stock Exchange of Hong Kong. The components of the index are divided into four subindices: Commerce and Industry, Finance, Utilities, and Properties. The index was developed with a base level of 100 as of July 31, 1964.

Hang Seng Index (HSI INDEX)

EQD | (Updated) Support Levels to BUY For HSI Index Rally Continuation In September

Update on Hang Seng Index: potential pullback expected this week, in this insight we will highlight the support levels to buy, to seize the...

Nico Rosti

EQD | HSI May Pull Back, Levels to BUY For Rally Continuation In September

The August rally for the Hang Seng Index unfolded as forecasted, but a pullback is coming in the next 2 weeks. The index will probably rally higher...

Nico Rosti

Hang Seng Index (HSI) Rebalance: Meh (Or Will We Ever Get to 100 Stocks?)

No constituent changes so we stay at 82 stocks. Reaching 100 stocks is few years away. FAF/capping changes lead to 1-way turnover of 1% and round...

Brian Freitas

EQD | The HSI Rebound Can Reach Higher Prices in August

An August rally for the Hang Seng Index was previously forecasted by our models and remains likely. There is potential to continue the rally this...

Nico Rosti

EQD | The HSI Is Ripe For A Rally In August (IF July's Close Is Negative)

The Hang Seng Index has been falling in June and July, but seasonal pattern model predicts August will close up if July closes down. The index is...

Nico Rosti

EQD | (Updated) Support Levels to BUY For HSI Index Rally Continuation In September

​Update on Hang Seng Index: potential pullback expected this week, in this insight we will highlight the support levels to buy, to seize the...

Nico Rosti

EQD | HSI May Pull Back, Levels to BUY For Rally Continuation In September

The August rally for the Hang Seng Index unfolded as forecasted, but a pullback is coming in the next 2 weeks. The index will probably rally higher...

Nico Rosti

Hang Seng Index (HSI) Rebalance: Meh (Or Will We Ever Get to 100 Stocks?)

No constituent changes so we stay at 82 stocks. Reaching 100 stocks is few years away. FAF/capping changes lead to 1-way turnover of 1% and round...

Brian Freitas

EQD | The HSI Rebound Can Reach Higher Prices in August

​An August rally for the Hang Seng Index was previously forecasted by our models and remains likely. There is potential to continue the rally this...

Nico Rosti

EQD | The HSI Is Ripe For A Rally In August (IF July's Close Is Negative)

​The Hang Seng Index has been falling in June and July, but seasonal pattern model predicts August will close up if July closes down. The index is...

Nico Rosti

Update on Hang Seng Index: potential pullback expected this week, in this insight we will highlight the support levels to buy, to seize the...

An August rally for the Hang Seng Index was previously forecasted by our models and remains likely. There is potential to continue the rally this...

The Hang Seng Index has been falling in June and July, but seasonal pattern model predicts August will close up if July closes down. The index is...