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>The December rebalance of the Hang Seng family of indices will use today's closing prices to cap the index constituent weights.</li>
<li>The net round-trip trade across all stocks across the five indices is estimated at HK$50bn (US$6.4bn). There is size to trade in a lot of stocks.</li>
<li>
<a href="https://www.smartkarma.com/entities/xiaomi-corp" target="_blank" data-smartkarma-citation="entities:24409:1" rel="noopener">Xiaomi (1810 HK)</a> is the biggest buy due to HSIII Index inclusion and capping, while <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> is the biggest capping sell.</li>
</ul>


The December rebalance of the Hang Seng family of indices will use today's closing prices to cap the index constituent weights.
The net round-trip trade across all stocks across the five indices is estimated at HK$50bn (US$6.4bn). There is size to trade in a lot of stocks.

Xiaomi (1810 HK) is the biggest buy due to HSIII Index inclusion and capping, while Alibaba (9988 HK) is the biggest capping sell.


HSI, HSCEI, HSTECH, HSIII, HSBIO Index Rebalance: US$6.4bn of Flows Post Capping (Dec 2025)

<ul>
<li>Following two periods of profitability, <a href="https://www.smartkarma.com/entities/innovent-biologics-inc" target="_blank" data-smartkarma-citation="entities:27452:1" rel="noopener">Innovent Biologics Inc (1801 HK)</a> will be added to 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> at the close on 5 December.</li>
<li>
<a href="https://www.smartkarma.com/entities/innovent-biologics-inc" target="_blank" data-smartkarma-citation="entities:27452:1" rel="noopener">Innovent Biologics Inc (1801 HK)</a> is also an add to the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">Hang Seng China Enterprises Index (HSCEI INDEX)</a> in December, so this inclusion increases the flow and impact.</li>
<li>Estimated one-way turnover is 2.3% and the estimated round-trip trade is HK$9.2bn (US$1.2bn). Big capping outflows for <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> at the December rebalance.</li>
</ul>


Following two periods of profitability, Innovent Biologics Inc (1801 HK) will be added to the Hang Seng Index (HSI INDEX) at the close on 5 December.

Innovent Biologics Inc (1801 HK) is also an add to the Hang Seng China Enterprises Index (HSCEI INDEX) in December, so this inclusion increases the flow and impact.
Estimated one-way turnover is 2.3% and the estimated round-trip trade is HK$9.2bn (US$1.2bn). Big capping outflows for Alibaba (9988 HK) at the December rebalance.


Hang Seng Index (HSI) Rebalance: Innovent Biologics Turns a Profit, Gets Added

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Equity Derivatives

<ul>
<li>In our previous, <a href="https://www.smartkarma.com/insights/hsi-to-find-strong-support-between-18-8k-and-17-5k-long-term-uptrend-set-to-restart" target="_blank" rel="noopener">Jan 11th. insight</a>, we said the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI INDEX</a> could find support between 18.8K and 17.5K, and rally, and so it did (the bottom was at <strong>18671</strong>).</li>
<li>Since there the index has been rallying for 3 weeks, &gt;8% returns so far.</li>
<li>This insight is focused on tactical strategy: 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> may be readying for a new pullback, starting next week, so we are going to look at resistance levels.</li>
</ul>


In our previous, Jan 11th. insight, we said the HSI INDEX could find support between 18.8K and 17.5K, and rally, and so it did (the bottom was at 18671).
Since there the index has been rallying for 3 weeks, &gt;8% returns so far.
This insight is focused on tactical strategy: the Hang Seng Index may be readying for a new pullback, starting next week, so we are going to look at resistance levels.


EQD | Tactically Overbought HSI May Start Pulling Back After Lunar New Year

Equity Derivatives and Volatility Specialist, Clifton Derivatives

John Ley

Equity Derivatives and Volatility Specialist

Clifton Derivatives

Independent derivative and volatility research firm focusing on events/catalysts, earnings, relative value and cross asset volatility strategies.

<ul>
<li>The lead up to Lunar New Year typically sees stronger than normal returns and last week was no exception with the strong rally continuing for both markets.</li>
<li>Price action was more volatile than has been seen lately pushing up short term historic volatility measures with 1M implieds +- 1point.</li>
<li>June 6000 Puts in HSCEI seeing continued trading interest at the June 27 expiry.</li>
</ul>


The lead up to Lunar New Year typically sees stronger than normal returns and last week was no exception with the strong rally continuing for both markets.
Price action was more volatile than has been seen lately pushing up short term historic volatility measures with 1M implieds +- 1point.
June 6000 Puts in HSCEI seeing continued trading interest at the June 27 expiry.


EQD | Hong Kong Index Options Weekly (HSI and HSCEI January 20-24): Seasonals Provide Tailwind

<ul>
<li>All three markets exhibited larger average returns in the 5 days leading up to Lunar New Years compared to out-of-sample data.</li>
<li>The pattern for the period after Lunar New Year does not show the same characteristics as prior to Lunar New Year.</li>
<li>The strongest returns were seen in FXI with average returns 10X out-of-sample average returns.</li>
</ul>


All three markets exhibited larger average returns in the 5 days leading up to Lunar New Years compared to out-of-sample data.
The pattern for the period after Lunar New Year does not show the same characteristics as prior to Lunar New Year.
The strongest returns were seen in FXI with average returns 10X out-of-sample average returns.


EQD| Lunar New Year: Do HSI, KOSPI, and FXI Follow a Pattern?

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)

HSI, HSCEI, HSTECH, HSIII, HSBIO Index Rebalance: US$6.4bn of Flows Post Capping (Dec 2025)

The Dec rebalance of the HSI, HSCEI, HSTECH, HSIII, HSHKBIO indices will use today's closing prices for capping. The round-trip trade across the...

Brian Freitas

Hang Seng Index (HSI) Rebalance: Innovent Biologics Turns a Profit, Gets Added

Innovent Bio is an add in Dec. Estimated one-way turnover is 2.3% and round-trip trade is HK$9.2bn. Innovent Bio has also been added to the HSCEI,...

Brian Freitas

EQD | Tactically Overbought HSI May Start Pulling Back After Lunar New Year

The Hang Seng Index is about to reach a tactically overbought resistance area from where it could start to pullback, after the Lunar New Year....

Nico Rosti

EQD | Hong Kong Index Options Weekly (HSI and HSCEI January 20-24): Seasonals Provide Tailwind

Lunar New Year lead-up boosts market returns, volatility increases with heightened trading interest in June 6000 Puts for HSCEI.

John Ley

EQD| Lunar New Year: Do HSI, KOSPI, and FXI Follow a Pattern?

Markets show higher returns leading up to Lunar New Year, particularly in FXI, but post-holiday period does not exhibit same pattern.

John Ley

HSI, HSCEI, HSTECH, HSIII, HSBIO Index Rebalance: US$6.4bn of Flows Post Capping (Dec 2025)

The Dec rebalance of the HSI, HSCEI, HSTECH, HSIII, HSHKBIO indices will use today's closing prices for capping. The round-trip trade across the...

Brian Freitas

Hang Seng Index (HSI) Rebalance: Innovent Biologics Turns a Profit, Gets Added

Innovent Bio is an add in Dec. Estimated one-way turnover is 2.3% and round-trip trade is HK$9.2bn. Innovent Bio has also been added to the HSCEI,...

Brian Freitas

EQD | Tactically Overbought HSI May Start Pulling Back After Lunar New Year

The Hang Seng Index is about to reach a tactically overbought resistance area from where it could start to pullback, after the Lunar New Year....

Nico Rosti

EQD | Hong Kong Index Options Weekly (HSI and HSCEI January 20-24): Seasonals Provide Tailwind

​Lunar New Year lead-up boosts market returns, volatility increases with heightened trading interest in June 6000 Puts for HSCEI.

John Ley

EQD| Lunar New Year: Do HSI, KOSPI, and FXI Follow a Pattern?

​Markets show higher returns leading up to Lunar New Year, particularly in FXI, but post-holiday period does not exhibit same pattern.

John Ley

Lunar New Year lead-up boosts market returns, volatility increases with heightened trading interest in June 6000 Puts for HSCEI.

Markets show higher returns leading up to Lunar New Year, particularly in FXI, but post-holiday period does not exhibit same pattern.