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>With the review period nearly complete, there could be 4 changes using a 12-month minimum listing history, and 5 changes using a 6-month minimum listing history.</li>
<li>The market cap of potential adds using a 6-month minimum listing history is higher and there is a higher probability of a 6-month minimum listing history being used.</li>
<li>The potential adds have outperformed the potential deletes and the index. Similar to the last few rebalances, we could see the adds outperform post the end of the review period.</li>
</ul>


With the review period nearly complete, there could be 4 changes using a 12-month minimum listing history, and 5 changes using a 6-month minimum listing history.
The market cap of potential adds using a 6-month minimum listing history is higher and there is a higher probability of a 6-month minimum listing history being used.
The potential adds have outperformed the potential deletes and the index. Similar to the last few rebalances, we could see the adds outperform post the end of the review period.


STAR50 Index Rebalance Preview: Stable Long/Short Performance in a Volatile Market

HK/China Healthcare Analyst (ex-Fosun Pharma)

Xinyao (Criss) Wang

Equity Bottom-Up

<ul>
<li>IRay Masters all the major core technologies. It has a complete technical system of TFT SENSOR design and invention patents in the field of scintillators,setting it apart from domestic peers. </li>
<li>The market where iRay is located has slow growth rate and obvious growth ceiling. The higher the short-term performance growth of iRay, the faster it would encounter a growth bottleneck.</li>
<li>IRay is overvalued. The valuation has already overdrawn the performance of the next few years. Any deceleration in revenue/profit in any given year would lead to a significant valuation correction.</li>
</ul>


IRay Masters all the major core technologies. It has a complete technical system of TFT SENSOR design and invention patents in the field of scintillators,setting it apart from domestic peers. 
The market where iRay is located has slow growth rate and obvious growth ceiling. The higher the short-term performance growth of iRay, the faster it would encounter a growth bottleneck.
IRay is overvalued. The valuation has already overdrawn the performance of the next few years. Any deceleration in revenue/profit in any given year would lead to a significant valuation correction.


IRay Technology (688301.CH) - Overvalued; Performance Deceleration Will Lead to Valuation Correction

<ul>
<li>Nearing the end of the review period for the December rebalance of the CSI500 Index, we forecast 50 changes (the maximum permitted) at the close on 9 December.</li>
<li>There is a big sector skew in the potential changes. We estimate a one-way turnover of 13.67% at the December rebalance leading to a one-way trade of CNY 7.53bn.</li>
<li>The potential adds have outperformed over the last 6 months but have given up some of the gains recently as market turned volatile. Expect outperformance as the review period ends.</li>
</ul>


Nearing the end of the review period for the December rebalance of the CSI500 Index, we forecast 50 changes (the maximum permitted) at the close on 9 December.
There is a big sector skew in the potential changes. We estimate a one-way turnover of 13.67% at the December rebalance leading to a one-way trade of CNY 7.53bn.
The potential adds have outperformed over the last 6 months but have given up some of the gains recently as market turned volatile. Expect outperformance as the review period ends.


CSI500 Index Rebalance Preview: Positioned for Outperformance

Pan-Asia Catalysts/Events, Quiddity Advisors

David Blennerhassett

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

<ul>
<li>Inside is a recap of movements in the last week relating to the Hong Kong Stock Exchange -Shanghai and Shenzhen Northbound Connect facilities, broken down by company and industry.</li>
<li>Overall, net outflow over the past week was ~US$0.15bn, split between Shanghai (+US$0.05bn) and Shenzhen (-US$0.20bn).</li>
<li>The largest inflows were into <a href="https://www.smartkarma.com/entities/kweichow-moutai-co-ltd-a" target="_blank" data-smartkarma-citation="entities:1553:1" rel="noopener">Kweichow Moutai (600519 CH)</a> and <a href="https://www.smartkarma.com/entities/zhejiang-huayou-cobalt-co-ltd" target="_blank" data-smartkarma-citation="entities:25048:1" rel="noopener">Zhejiang Huayou Cobalt (603799 CH)</a>. The largest outflows were in <a href="https://www.smartkarma.com/entities/longi-green-energy-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:12703:1" rel="noopener">LONGi Green Energy Technology (601012 CH)</a> and <a href="https://www.smartkarma.com/entities/contemporary-amperex-techn-a" target="_blank" data-smartkarma-citation="entities:24404:1" rel="noopener">CATL (300750 CH)</a>.</li>
</ul>


Inside is a recap of movements in the last week relating to the Hong Kong Stock Exchange -Shanghai and Shenzhen Northbound Connect facilities, broken down by company and industry.
Overall, net outflow over the past week was ~US$0.15bn, split between Shanghai (+US$0.05bn) and Shenzhen (-US$0.20bn).
The largest inflows were into Kweichow Moutai (600519 CH) and Zhejiang Huayou Cobalt (603799 CH). The largest outflows were in LONGi Green Energy Technology (601012 CH) and CATL (300750 CH).


Shanghai/​​​​​​​​​​​​​​​Shenzhen Northbound Connect: Weekly Moves (7 October 2022)

<ul>
<li>Inside is a recap of movements in the last week relating to the Hong Kong Stock Exchange -Shanghai and Shenzhen Northbound Connect facilities, broken down by company and industry.</li>
<li>Overall, net inflow over the past week was ~US$1.1bn, split between Shanghai (+US$0.76bn) and Shenzhen (+US$0.31bn).</li>
<li>The largest inflows were into <a href="https://www.smartkarma.com/entities/kweichow-moutai-co-ltd-a" target="_blank" data-smartkarma-citation="entities:1553:1" rel="noopener">Kweichow Moutai (600519 CH)</a> and Wuliangye (000858 SZ). The largest outflows were in <a href="https://www.smartkarma.com/entities/china-merchants-bank-co-ltd" target="_blank" data-smartkarma-citation="entities:714:1" rel="noopener">China Merchants Bank A (600036 CH)</a> and <a href="https://www.smartkarma.com/entities/sungrow-power-supply-co-ltd" target="_blank" data-smartkarma-citation="entities:4255:1" rel="noopener">Sungrow Power Supply (300274 CH)</a>.</li>
</ul>


Inside is a recap of movements in the last week relating to the Hong Kong Stock Exchange -Shanghai and Shenzhen Northbound Connect facilities, broken down by company and industry.
Overall, net inflow over the past week was ~US$1.1bn, split between Shanghai (+US$0.76bn) and Shenzhen (+US$0.31bn).
The largest inflows were into Kweichow Moutai (600519 CH) and Wuliangye (000858 SZ). The largest outflows were in China Merchants Bank A (600036 CH) and Sungrow Power Supply (300274 CH).


Shanghai/​​​​​​​​​​​​​​Shenzhen Northbound Connect: Weekly Moves (30 September 2022)

China

iRay Technology Company Limited manufactures optical components. The Company produces and sells amorphous silicon flat detectors and other products. iRay Technology markets its products throughout China.

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iRay Technology (688301 CH)

STAR50 Index Rebalance Preview: Stable Long/Short Performance in a Volatile Market

We expect the index committee to continue using a 6-month minimum listing history. That means 5 changes in December. The potential adds have...

Brian Freitas