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 review period for the September rebalance of 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> ended on 30 June, the changes will be announced on 22 August and implemented on 5 September.</li>
<li>No constituent changes will result in a one-way turnover of 4.1% and that will mean a round-trip trade of HK$15.2bn (US$1.94bn).</li>
<li>An expansion of the index universe could lead to one constituent change and that increases the one-way turnover to 6.2% and the round-trip trade to HK$23.1bn (US$2.94bn).</li>
</ul>


The review period for the September rebalance of the Hang Seng TECH Index ended on 30 June, the changes will be announced on 22 August and implemented on 5 September.
No constituent changes will result in a one-way turnover of 4.1% and that will mean a round-trip trade of HK$15.2bn (US$1.94bn).
An expansion of the index universe could lead to one constituent change and that increases the one-way turnover to 6.2% and the round-trip trade to HK$23.1bn (US$2.94bn).


HSTECH Index Rebalance Preview: Universe Expansion Could Lead to One Change

Derivatives and Quantitative Strategist

Gaudenz Schneider

Macroeconomics

<ul>
<li>
Context: Central Bank rate decisions, index changes and political events can move markets and affect volatility. Exchange holidays and option expiration schedules might influence liquidity on these days.</li>
<li>
Highlights: The week of July 7 to July 11 is packed with the expiration of the pause on reciprocal tariffs, two Central Bank decisions, and options expiries.</li>
<li>
Why Read: Plan ahead and take into account known market events when making investment and trading decision.</li>
</ul>



Context: Central Bank rate decisions, index changes and political events can move markets and affect volatility. Exchange holidays and option expiration schedules might influence liquidity on these days.

Highlights: The week of July 7 to July 11 is packed with the expiration of the pause on reciprocal tariffs, two Central Bank decisions, and options expiries.

Why Read: Plan ahead and take into account known market events when making investment and trading decision.


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.

Equity Derivatives

<ul>
<li>Across markets realized volatility generally came in below implied, making June favorable for volatility sellers.</li>
<li>July has historically rewarded vol sellers; we reference a prior Insight on volatility during Trump’s first term highlighting a large deviation from average in July.</li>
<li>Average July returns are mixed, but there are clear standouts among the macro markets.</li>
</ul>


Across markets realized volatility generally came in below implied, making June favorable for volatility sellers.
July has historically rewarded vol sellers; we reference a prior Insight on volatility during Trump’s first term highlighting a large deviation from average in July.
Average July returns are mixed, but there are clear standouts among the macro markets.


Global Macro Outlook (July): Trump Volatility Playbook Offers Clues for July Positioning

HK/China Equity Long-Short

Osbert Tang, CFA

Thematic (Sector/Industry)

<ul>
<li>Following a 20% rally in 1H25, the market has built in excessive optimism on the HSI. Historically, average returns for Jul-Oct are negative, suggesting caution is needed.</li>
<li>The top 10 best-performing constituents are sitting on 24x FY25F PER, much higher than 11x for the Index, implying that earnings excitement has been well factored in. </li>
<li>Among the worst-performing ones in 1H25, <a href="https://www.smartkarma.com/entities/byd-electronic-international-co-ltd" target="_blank" data-smartkarma-citation="entities:1927:1" rel="noopener">BYD Electronics (285 HK)</a>, <a href="https://www.smartkarma.com/entities/haier-smart-home-co-ltd-b3ef445f-0f54-4586-8c58-9073de98d60e" target="_blank" data-smartkarma-citation="entities:31105:1" rel="noopener">Haier Smart Home (6690 HK)</a>, and <a href="https://www.smartkarma.com/entities/techtronic-industries-co-ltd" target="_blank" data-smartkarma-citation="entities:4561:1" rel="noopener">Techtronic Industries (669 HK)</a> look appealing in 2H25.</li>
</ul>


Following a 20% rally in 1H25, the market has built in excessive optimism on the HSI. Historically, average returns for Jul-Oct are negative, suggesting caution is needed.
The top 10 best-performing constituents are sitting on 24x FY25F PER, much higher than 11x for the Index, implying that earnings excitement has been well factored in. 
Among the worst-performing ones in 1H25, BYD Electronics (285 HK), Haier Smart Home (6690 HK), and Techtronic Industries (669 HK) look appealing in 2H25.


Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/lens-technology" target="_blank" data-smartkarma-citation="entities:45390:1" rel="noopener">Lens Technology (6613 HK)</a>'s global offering opened yesterday, and the raise could reach up to US$800m if the offer-size adjustment option and the overallotment option are exercised.</li>
<li>The allocation to cornerstone investors is smaller than in other recent AH listings. The discount of over 25% to the A-shares is attractive given the recent trend for large listings.</li>
<li>
<a href="https://www.smartkarma.com/entities/lens-technology" target="_blank" data-smartkarma-citation="entities:45390:1" rel="noopener">Lens Technology (6613 HK)</a> could be added to a global index in December. Inclusion in Southbound Stock Connect in August and HSCI inclusion could take place in March 2026.</li>
</ul>



Lens Technology (6613 HK)'s global offering opened yesterday, and the raise could reach up to US$800m if the offer-size adjustment option and the overallotment option are exercised.
The allocation to cornerstone investors is smaller than in other recent AH listings. The discount of over 25% to the A-shares is attractive given the recent trend for large listings.

Lens Technology (6613 HK) could be added to a global index in December. Inclusion in Southbound Stock Connect in August and HSCI inclusion could take place in March 2026.


Lens Technology (6613 HK): Offering Details & Index Inclusion

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)

HSTECH Index Rebalance Preview: Universe Expansion Could Lead to One Change

Horizon Robotics' FAF increase will result in big passive buying. An expansion of the index universe could lead to one constituent change with...

Brian Freitas

The Month Ahead: Key Events in July 2025

Market volatility can be influenced by Central Bank decisions, index changes, and political events. Plan ahead for investment and trading decisions.

Gaudenz Schneider

Global Macro Outlook (July): Trump Volatility Playbook Offers Clues for July Positioning

An in-depth look at price and volatilty across macro markets. July has historically been fertile ground for volatiilty sellers and we take a deeper...

John Ley

HK Strategy: Some Ideas for 2H25

Excessive optimism on HSI after a 20% rally YTD, caution needed for Jul-Oct as historically returns are negative. BYD Electronic, Haier Smart...

Osbert Tang, CFA

Lens Technology (6613 HK): Offering Details & Index Inclusion

Lens Technology could raise US$800m at a discount of 27%. There is a large cornerstone allocation. No Fast Entry to any index. Southbound Stock...

Brian Freitas

HSTECH Index Rebalance Preview: Universe Expansion Could Lead to One Change

Horizon Robotics' FAF increase will result in big passive buying. An expansion of the index universe could lead to one constituent change with...

Brian Freitas

The Month Ahead: Key Events in July 2025

​Market volatility can be influenced by Central Bank decisions, index changes, and political events. Plan ahead for investment and trading decisions.

Gaudenz Schneider

Global Macro Outlook (July): Trump Volatility Playbook Offers Clues for July Positioning

An in-depth look at price and volatilty across macro markets. July has historically been fertile ground for volatiilty sellers and we take a deeper...

John Ley

HK Strategy: Some Ideas for 2H25

​Excessive optimism on HSI after a 20% rally YTD, caution needed for Jul-Oct as historically returns are negative. BYD Electronic, Haier Smart...

Osbert Tang, CFA

Lens Technology (6613 HK): Offering Details & Index Inclusion

Lens Technology could raise US$800m at a discount of 27%. There is a large cornerstone allocation. No Fast Entry to any index. Southbound Stock...

Brian Freitas

Market volatility can be influenced by Central Bank decisions, index changes, and political events. Plan ahead for investment and trading decisions.

Excessive optimism on HSI after a 20% rally YTD, caution needed for Jul-Oct as historically returns are negative. BYD Electronic, Haier Smart...