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/hwatsing-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:36700:1" rel="noopener">Hwatsing Technology (688120 CH)</a> replacing <a href="https://www.smartkarma.com/entities/starpower-semiconductor-ltd" target="_blank" data-smartkarma-citation="entities:30089:1" rel="noopener">StarPower Semiconductor (603290 CH)</a> in December. The change is right at the cusp.</li>
<li>Passive trackers are estimated to buy 0.8x ADV in <a href="https://www.smartkarma.com/entities/hwatsing-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:36700:1" rel="noopener">Hwatsing Technology</a> and sell 0.4x ADV in <a href="https://www.smartkarma.com/entities/starpower-semiconductor-ltd" target="_blank" data-smartkarma-citation="entities:30089:1" rel="noopener">StarPower Semiconductor</a>. There will be selling 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>Both stocks have been moving higher over the last few weeks, but the potential inclusion has been outperforming the potential deletion pretty handily.</li>
</ul>


There could be one change for the CNI Semiconductor Chips Index with Hwatsing Technology (688120 CH) replacing StarPower Semiconductor (603290 CH) in December. The change is right at the cusp.
Passive trackers are estimated to buy 0.8x ADV in Hwatsing Technology and sell 0.4x ADV in StarPower Semiconductor. There will be selling in Semiconductor Manufacturing International Corporation (SMIC) due to capping.
Both stocks have been moving higher over the last few weeks, but the potential inclusion has been outperforming the potential deletion pretty handily.


CNI Semiconductor Chips Index Rebalance Preview: Potential Inclusion Outperforming

Chengdu Sino Microelectronics / Index Rebalance

Chengdu Sino Microelectronics (688709 CH)

<ul>
<li>There could be 3 constituent changes for the STAR Chip Index at the December rebalance. There will also be a couple of capping changes.</li>
<li>Estimated one-way turnover is 5.05% resulting in a one-way trade of CNY 1.6bn (US$225m). Passives need to trade between 0.6-1x ADV in the potential changes.</li>
<li>The forecast adds have underperformed the forecast deletes over the last month but there has been a marked improvement in performance in the last week. Watch out for more.</li>
</ul>


There could be 3 constituent changes for the STAR Chip Index at the December rebalance. There will also be a couple of capping changes.
Estimated one-way turnover is 5.05% resulting in a one-way trade of CNY 1.6bn (US$225m). Passives need to trade between 0.6-1x ADV in the potential changes.
The forecast adds have underperformed the forecast deletes over the last month but there has been a marked improvement in performance in the last week. Watch out for more.


STAR Chip Index Rebalance Preview: 3 Potential Changes in December; US$450m Round-Trip Trade

<ul>
<li>The review period for the December rebalance of the CSI All Share Semiconductor Index ended 31 October.  The changes should be announced on 29 November and implemented on 13 December.</li>
<li>We forecast 12 adds and 6 deletes for the index with a one-way turnover of 2.5% and a one-way trade of CNY 642m (US$90m).</li>
<li>The forecast adds to the index have outperformed the forecast deletes over the last few months with a move higher in the short-term too.</li>
</ul>


The review period for the December rebalance of the CSI All Share Semiconductor Index ended 31 October.  The changes should be announced on 29 November and implemented on 13 December.
We forecast 12 adds and 6 deletes for the index with a one-way turnover of 2.5% and a one-way trade of CNY 642m (US$90m).
The forecast adds to the index have outperformed the forecast deletes over the last few months with a move higher in the short-term too.


CSI All Share Semiconductor Index Rebalance Preview: 18 Changes as Adds Outperform

Asia Pac ECM and Index Rebal, Shenton Research

Ke Yan, CFA, FRM

Asia Pac ECM and Index Rebal

Asia Pac IPO & Placement Research, China Biotech

DZT Research

DZT Research is an independent Asia Pacific equity specialist. Our quantitative research covers index rebalancing flows, alongside exchange data analytics accross Asia Pacific. On the equity capital markets side, we focus on Asia Pacific ECM, especially biotech and TMT. Our lead analyst is frequently cited by international media.

Quantitative Analysis

<ul>
<li>We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of June 21st.</li>
<li>We estimate the weekly outflows to be US$2,274.9 million, led by consumer staples, consumer discretionary, financials, and offset by information technology, energy.</li>
<li>We highlight flows for Seres, Luxshare Precision, Zhongji Innolight, Eoptolink Technology Inc.,, Moutai, Midea, China Yangtze Power, Zijin Mining, Inner Mongolia Yili Industrial.</li>
</ul>


We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of June 21st.
We estimate the weekly outflows to be US$2,274.9 million, led by consumer staples, consumer discretionary, financials, and offset by information technology, energy.
We highlight flows for Seres, Luxshare Precision, Zhongji Innolight, Eoptolink Technology Inc.,, Moutai, Midea, China Yangtze Power, Zijin Mining, Inner Mongolia Yili Industrial.


Northbound Flows (Jun 21st): Seres, Luxshare Precision, Zhongji Innolight, Eoptolink, Moutai, Midea

Biwin Storage Technology / Index Rebalance

<ul>
<li>The changes to the CSI All Share Semiconductors &amp; Semiconductor Equipment Index were announced after market close on 31 May and will be implemented at the close on 14 June.</li>
<li>There are 17 adds and 5 deletes for the index.</li>
<li>The adds and deletes have underperformed the index over the last 6 months but the adds have outperformed the deletes over the last 3 months.</li>
</ul>


The changes to the CSI All Share Semiconductors &amp; Semiconductor Equipment Index were announced after market close on 31 May and will be implemented at the close on 14 June.
There are 17 adds and 5 deletes for the index.
The adds and deletes have underperformed the index over the last 6 months but the adds have outperformed the deletes over the last 3 months.


CSI All Share Semiconductor Index Rebalance: Lots of Changes in June

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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52-week Range	0.00 - 0.00
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Hygon Information Technology C (688041 CH)

CNI Semiconductor Chips Index Rebalance Preview: Potential Inclusion Outperforming

Hwatsing Tech could replace StarPower Semiconductor in the index. Passive trackers will need to buy 0.8x ADV in Hwatsing and sell 0.4x ADV in...

Brian Freitas

STAR Chip Index Rebalance Preview: 3 Potential Changes in December; US$450m Round-Trip Trade

There could be 3 constituent changes in December. Estimated one-way turnover is 5.05% resulting in a one-way trade of CNY1.6bn. Passives need to...

Brian Freitas

Northbound Flows (Jun 21st): Seres, Luxshare Precision, Zhongji Innolight, Eoptolink, Moutai, Midea

We analyzed northbound Shanghai/Shenzhen connect flows in the past week and highlight flows for Seres, Luxshare Precision, Zhongji Innolight,...

Ke Yan, CFA, FRM

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

CNI Semiconductor Chips Index Rebalance Preview: Potential Inclusion Outperforming

Hwatsing Tech could replace StarPower Semiconductor in the index. Passive trackers will need to buy 0.8x ADV in Hwatsing and sell 0.4x ADV in...

Brian Freitas

STAR Chip Index Rebalance Preview: 3 Potential Changes in December; US$450m Round-Trip Trade

There could be 3 constituent changes in December. Estimated one-way turnover is 5.05% resulting in a one-way trade of CNY1.6bn. Passives need to...

Brian Freitas

CSI All Share Semiconductor Index Rebalance Preview: 18 Changes as Adds Outperform

There could be 12 adds, 6 deletes in Dec. Impact is not very large, but 12 stocks will have flows from other index trackers too. The forecast adds...

Brian Freitas

Northbound Flows (Jun 21st): Seres, Luxshare Precision, Zhongji Innolight, Eoptolink, Moutai, Midea

We analyzed northbound Shanghai/Shenzhen connect flows in the past week and highlight flows for Seres, Luxshare Precision, Zhongji Innolight,...

Ke Yan, CFA, FRM

CSI All Share Semiconductor Index Rebalance: Lots of Changes in June

There are 17 adds and 5 deletes for the CSI All Share Semiconductors & Semiconductor Equipment Index in June. Biwin Storage is an add here apart...

Brian Freitas