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

Sichuan Biokin Pharmaceutical / Index Rebalance

Sichuan Biokin Pharmaceutical (688506 CH)

<ul>
<li>As expected, the index committee has used a 6-month minimum listing history and that results in one change to 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 December.</li>
<li>
<a href="https://www.smartkarma.com/entities/sichuan-biokin-pharmaceutical-co-ltd" target="_blank" data-smartkarma-citation="entities:40027:1" rel="noopener">Sichuan Biokin Pharmaceutical (688506 CH)</a> will replace <a href="https://www.smartkarma.com/entities/ninebot-ltd" target="_blank" data-smartkarma-citation="entities:32180:1" rel="noopener">Ninebot (689009 CH)</a> in the index at the close on 8 December.</li>
<li>One way turnover is estimated at 2.18% and will result in a one-way trade of CNY 3,065m. <a href="https://www.smartkarma.com/entities/sichuan-biokin-pharmaceutical-co-ltd" target="_blank" data-smartkarma-citation="entities:40027:1" rel="noopener">Sichuan Biokin Pharmaceutical (688506 CH)</a> has moved up and there will be pre-positioning.</li>
</ul>


As expected, the index committee has used a 6-month minimum listing history and that results in one change to the SSE STAR50 (STAR50 INDEX) in December.

Sichuan Biokin Pharmaceutical (688506 CH) will replace Ninebot (689009 CH) in the index at the close on 8 December.
One way turnover is estimated at 2.18% and will result in a one-way trade of CNY 3,065m. Sichuan Biokin Pharmaceutical (688506 CH) has moved up and there will be pre-positioning.


STAR50 Index Rebalance: Big Impact Expected; Inclusion Up 40% in One Month

Hygon Information Technology C / Index Rebalance

Hygon Information Technology C (688041 CH)

<ul>
<li>There are 3 changes for the CES China Semiconductor Chips Index that will be implemented at the close on 8 December.</li>
<li>
<a href="https://www.smartkarma.com/entities/hygon-information-technology-c" target="_blank" data-smartkarma-citation="entities:36366:1" rel="noopener">Hygon Information Technology C (688041 CH)</a> will be added to a global index in a week and then there will be multiple index inflows at the close on 8 December.</li>
<li>After underperforming from May to September, the adds have gained ground on the deletes over the last two months and there could be further outperformance over the next two weeks.</li>
</ul>


There are 3 changes for the CES China Semiconductor Chips Index that will be implemented at the close on 8 December.

Hygon Information Technology C (688041 CH) will be added to a global index in a week and then there will be multiple index inflows at the close on 8 December.
After underperforming from May to September, the adds have gained ground on the deletes over the last two months and there could be further outperformance over the next two weeks.


CES China Semiconductor Chips Index Rebalance: Another Inclusion for Hygon

<ul>
<li>With the review period complete, we expect one change 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">STAR50 INDEX</a> in December if the index committee continues to use a 6-month minimum listing history.</li>
<li>With net inflows to mainland China ETFs over the last few months, passive trackers will need to trade between 9-25 days of ADV on the potential add and delete.</li>
<li>
<a href="https://www.smartkarma.com/entities/semiconductor-manufacturing-in" target="_blank" data-smartkarma-citation="entities:31062:1" rel="noopener">SMIC (688981 CH)</a> will be capped and there will be reverse funding flows on the index constituents. One-way turnover is estimated at 1.8% resulting in a one-way trade of CNY2,580m.</li>
</ul>


With the review period complete, we expect one change for the STAR50 INDEX in December if the index committee continues to use a 6-month minimum listing history.
With net inflows to mainland China ETFs over the last few months, passive trackers will need to trade between 9-25 days of ADV on the potential add and delete.

SMIC (688981 CH) will be capped and there will be reverse funding flows on the index constituents. One-way turnover is estimated at 1.8% resulting in a one-way trade of CNY2,580m.


STAR50 Index Rebalance Preview: Big Impact Expected on the Changes

<ul>
<li>The review period for the December rebalance ends 31 October. We expect the changes to be announced 24 November with the implementation taking place after the close on 8 December.</li>
<li>We expect the index committee to continue using a 6-month minimum listing history resulting in one change to the index.</li>
<li>One way turnover is estimated at 1.6% resulting in a one-way trade of CNY 2,259m. The impact on the deletion will be much larger than that on the inclusion.</li>
</ul>


The review period for the December rebalance ends 31 October. We expect the changes to be announced 24 November with the implementation taking place after the close on 8 December.
We expect the index committee to continue using a 6-month minimum listing history resulting in one change to the index.
One way turnover is estimated at 1.6% resulting in a one-way trade of CNY 2,259m. The impact on the deletion will be much larger than that on the inclusion.


STAR50 Index Rebalance Preview: Bigger Tracking AUM = Bigger Impact

Western Superconducting Techno / Index Rebalance

Western Superconducting Techno (688122 CH)

<ul>
<li>Over 85% of the way through the review period for the December rebalance of the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI500 Index</a>, we forecast 50 changes (the maximum permitted) at the close on 8 December.</li>
<li>There is a big sector skew in the potential changes. We estimate a one-way turnover of 9.4% at the December rebalance resulting in a one-way trade of CNY 7.22bn.</li>
<li>With the market being stabilised through the ETF route, the index constituents have outperformed the non-index constituents over the last 6-7 weeks. That could reverse over the near term.</li>
</ul>


Over 85% of the way through the review period for the December rebalance of the CSI500 Index, we forecast 50 changes (the maximum permitted) at the close on 8 December.
There is a big sector skew in the potential changes. We estimate a one-way turnover of 9.4% at the December rebalance resulting in a one-way trade of CNY 7.22bn.
With the market being stabilised through the ETF route, the index constituents have outperformed the non-index constituents over the last 6-7 weeks. That could reverse over the near term.


CSI500 Index Rebalance Preview: ETF Inflows Lead to Performance Skew

China

Hwatsing Technology Co., Ltd. operates as a semiconductor equipment manufacturer. The Company produces and sells chemical mechanical polishing equipment, grinding equipment, and other products. Hwatsing Technology markets its products throughout China.

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

Hwatsing Technology (688120 CH)

STAR50 Index Rebalance: Big Impact Expected; Inclusion Up 40% in One Month

There is 1 change for the index resulting in 1-way turnover of 2.18% and 1-way trade of CNY3.07bn. The add is up 40% over the last month and there...

Brian Freitas

CES China Semiconductor Chips Index Rebalance: Another Inclusion for Hygon

There are 3 changes for the CES China Semiconductor Chips Index in Dec. Hygon gains another index inclusion - one takes place later this month...

Brian Freitas

STAR50 Index Rebalance Preview: Big Impact Expected on the Changes

There could be 1 index change in Dec. The ETF inflows over the last few months results in passives needing to trade 9-25x ADV on the add/delete....

Brian Freitas

STAR50 Index Rebalance Preview: Bigger Tracking AUM = Bigger Impact

There could be one change in December resulting in a one-way turnover of 1.6% and a one-way trade of CNY 2,259m. The impact of passive trading on...

Brian Freitas

CSI500 Index Rebalance Preview: ETF Inflows Lead to Performance Skew

There should be 50 changes in Dec with a big sector skew. Turnover is ~10% and 31 stocks will have 1x ADV to trade. Huge ETF inflows have led to...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)