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>There could be one change for the CNI Semiconductor Chips Index with <a href="https://www.smartkarma.com/entities/nexchip-semiconductor-corp" target="_blank" data-smartkarma-citation="entities:40390:1" rel="noopener">Nexchip Semiconductor (688249 CH)</a> replacing <a href="https://www.smartkarma.com/entities/amlogic-shanghai-co-ltd" target="_blank" data-smartkarma-citation="entities:30340:1" rel="noopener">Amlogic Shanghai (688099 CH)</a> in June.</li>
<li>Passive trackers are estimated to buy 1.4x ADV in <a href="https://www.smartkarma.com/entities/nexchip-semiconductor-corp" target="_blank" data-smartkarma-citation="entities:40390:1" rel="noopener">Nexchip Semiconductor</a> and sell 0.8x ADV in <a href="https://www.smartkarma.com/entities/amlogic-shanghai-co-ltd" target="_blank" data-smartkarma-citation="entities:30340:1" rel="noopener">Amlogic Shanghai</a>. There will be buying in <a href="https://www.smartkarma.com/entities/semiconductor-manufacturing-in" target="_blank" data-smartkarma-citation="entities:31062:1" rel="noopener">Semiconductor Manufacturing International Corporation (SMIC)</a> due to capping.</li>
<li>The forecast add and delete have performed in line since the start of the year but there has been a move higher in the last few weeks.</li>
</ul>


There could be one change for the CNI Semiconductor Chips Index with Nexchip Semiconductor (688249 CH) replacing Amlogic Shanghai (688099 CH) in June.
Passive trackers are estimated to buy 1.4x ADV in Nexchip Semiconductor and sell 0.8x ADV in Amlogic Shanghai. There will be buying in Semiconductor Manufacturing International Corporation (SMIC) due to capping.
The forecast add and delete have performed in line since the start of the year but there has been a move higher in the last few weeks.


CNI Semiconductor Chips Index Rebalance Preview: One Change in June

<ul>
<li>There could be three changes for the CES China Semiconductor Chips Index at the close of trading on 13 June.</li>
<li>Based on the assets tracking the index, passive trackers will need to trade between 0.1-0.4x ADV in the stocks.</li>
<li>
<a href="https://www.smartkarma.com/entities/bestechnic-shanghai-co-ltd" target="_blank" data-smartkarma-citation="entities:33459:1" rel="noopener">Bestechnic Shanghai (688608 CH)</a> and <a href="https://www.smartkarma.com/entities/suzhou-kematek-inc" target="_blank" data-smartkarma-citation="entities:44255:1" rel="noopener">Suzhou Kematek (301611 CH)</a> will also have net inflows from passive trackers of other indices at the same time, adding to the flow.</li>
</ul>


There could be three changes for the CES China Semiconductor Chips Index at the close of trading on 13 June.
Based on the assets tracking the index, passive trackers will need to trade between 0.1-0.4x ADV in the stocks.

Bestechnic Shanghai (688608 CH) and Suzhou Kematek (301611 CH) will also have net inflows from passive trackers of other indices at the same time, adding to the flow.


CES China Semiconductor Chips Index Rebalance Preview: Multiple Adds for Some Stocks Increase Flow

<ul>
<li>There could be 1 constituent change for the STAR Chip Index at the June rebalance. There will also be a few capping changes.</li>
<li>Estimated one-way turnover is 2.1% resulting in a round-trip trade of CNY 1.04bn (US$141m). Passives need to trade between 0.65-1.65x ADV in the potential changes.</li>
<li>
<a href="https://www.smartkarma.com/entities/jinhong-gas-co-ltd" target="_blank" data-smartkarma-citation="entities:30343:1" rel="noopener">Jinhong Gas (688106 CH)</a> is also a potential delete from the STAR100 Index and that will lead to increased passive selling in the stock.</li>
</ul>


There could be 1 constituent change for the STAR Chip Index at the June rebalance. There will also be a few capping changes.
Estimated one-way turnover is 2.1% resulting in a round-trip trade of CNY 1.04bn (US$141m). Passives need to trade between 0.65-1.65x ADV in the potential changes.

Jinhong Gas (688106 CH) is also a potential delete from the STAR100 Index and that will lead to increased passive selling in the stock.


STAR Chip Index Rebalance Preview: Potential Changes in June

Xiamen Amoytop Biotech Co Ltd / Index Rebalance

Xiamen Amoytop Biotech Co Ltd (688278 CH)

<ul>
<li>There are 3 constituent 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">STAR50 INDEX</a> and 6 changes for the STAR100 Index at the March rebalance that will be implemented at the close on 14 March.</li>
<li>The last-minute methodology change could lead to under/over positioning on some names and those stocks could move the most over the next few days.</li>
<li>Performance has been mixed in the changes 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">STAR50 INDEX</a> but the outright adds have continued to outperform the outright deletes for the STAR100 Index.</li>
</ul>


There are 3 constituent changes for the STAR50 INDEX and 6 changes for the STAR100 Index at the March rebalance that will be implemented at the close on 14 March.
The last-minute methodology change could lead to under/over positioning on some names and those stocks could move the most over the next few days.
Performance has been mixed in the changes to the STAR50 INDEX but the outright adds have continued to outperform the outright deletes for the STAR100 Index.


STAR50/STAR100 Index Rebalance: Methodology Changes & Some Surprises

Shenzhen Bluetrum Technology / Index Rebalance

<ul>
<li>CSI announced the changes for the March rebalance after market close on 28 February and the changes will be effective after the close of trading on 14 March.</li>
<li>As expected, <a href="https://www.smartkarma.com/entities/shenzhen-bluetrum-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:44281:1" rel="noopener">Shenzhen Bluetrum Technology (688332 CH)</a> will be added to the index while JoulWatt Technology Co (688141 CH) will be deleted.</li>
<li>
<a href="https://www.smartkarma.com/entities/shenzhen-bluetrum-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:44281:1" rel="noopener">Shenzhen Bluetrum Technology (688332 CH)</a> outperformed JoulWatt Technology Co (688141 CH) in the last quarter of 2024 and there has been a reversal of fortunes this calendar year.</li>
</ul>


CSI announced the changes for the March rebalance after market close on 28 February and the changes will be effective after the close of trading on 14 March.
As expected, Shenzhen Bluetrum Technology (688332 CH) will be added to the index while JoulWatt Technology Co (688141 CH) will be deleted.

Shenzhen Bluetrum Technology (688332 CH) outperformed JoulWatt Technology Co (688141 CH) in the last quarter of 2024 and there has been a reversal of fortunes this calendar year.


STAR Chip Index Rebalance: Shenzhen Bluetrum (688332) Replaces JoulWatt (688141)

China

Hygon Information Technology Co., Ltd. manufactures and distributes computer components. The Company produces high end processors, deep computing processors, accelerators, calculator chips, and other related products. Hygon Information Technology markets its products worldwide.

Hygon Information Technology C (688041 CH)

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Hygon Information Technology C (688041 CH)

CNI Semiconductor Chips Index Rebalance Preview: One Change in June

Nexchip Semi could replace Amlogic Shanghai in the index. Passive trackers will need to buy 1.4x ADV in the add and sell 0.8x ADV in the delete....

Brian Freitas

CES China Semiconductor Chips Index Rebalance Preview: Multiple Adds for Some Stocks Increase Flow

There could be 3 changes for the index in June. Most of the index changes will have inflows/outflows from other index trackers at the same time,...

Brian Freitas

STAR Chip Index Rebalance Preview: Potential Changes in June

JoulWatt Tech could replace Jinhong Gas in the index in June. There are some capping changes too. Jinhong Gas is also a potential deletion from the...

Brian Freitas

STAR50/STAR100 Index Rebalance: Methodology Changes & Some Surprises

There are 3/6 changes for the STAR50/100 indices. Methodology changes result in a few surprises. The STAR50 adds/deletes have performed in line,...

Brian Freitas

STAR Chip Index Rebalance: Shenzhen Bluetrum (688332) Replaces JoulWatt (688141)

As expected, Shenzhen Bluetrum replaces JoulWatt Tech in the STAR Chip Index in March. Estimated one-way turnover at the rebalance is 3.75% leading...

Brian Freitas

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52-week Range

Market Cap (USDm)

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