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>In a surprise (maybe should not have been!), there are no constituent changes for the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng Index (HSI INDEX)</a> in September. However, there are float and capping changes.</li>
<li>Estimated one-way turnover is 1% and estimated round-trip trade is HK$3.73bn (US$478m). There are no stocks with over +/-0.5x ADV to trade but flows could add to/offset other index flows.</li>
<li>We remain at 82 index constituents and the road to 100 constituents appears to be a long drawn out torturous one. At this glacial pace, could be an eternity away.</li>
</ul>


In a surprise (maybe should not have been!), there are no constituent changes for the Hang Seng Index (HSI INDEX) in September. However, there are float and capping changes.
Estimated one-way turnover is 1% and estimated round-trip trade is HK$3.73bn (US$478m). There are no stocks with over +/-0.5x ADV to trade but flows could add to/offset other index flows.
We remain at 82 index constituents and the road to 100 constituents appears to be a long drawn out torturous one. At this glacial pace, could be an eternity away.


Hang Seng Index (HSI) Rebalance: Meh (Or Will We Ever Get to 100 Stocks?)

Asian Hedge Fund Manager, Long Short Equity, Macro

David Mudd

Cross Asset Strategy

<ul>
<li>Japan equity ETF flows have not recovered from the carry trade sell off.  Hong Kong Southbound Connect flows continue to be positive this month.</li>
<li>
<a href="https://www.smartkarma.com/entities/qifu-technology-inc" target="_blank" data-smartkarma-citation="entities:36657:1" rel="noopener">Qifu Technology (3660 HK)</a> , <a href="https://www.smartkarma.com/entities/q-technology-group-co-ltd" target="_blank" data-smartkarma-citation="entities:79:1" rel="noopener">Q Technology Group (1478 HK)</a> and <a href="https://www.smartkarma.com/entities/jd-logistics-inc" target="_blank" data-smartkarma-citation="entities:31500:1" rel="noopener">JD Logistics (2618 HK)</a> all advanced on strong 2Q earnings announcements. 
</li>
<li>
<a href="https://www.smartkarma.com/entities/tencent-music-entertainment-group" target="_blank" data-smartkarma-citation="entities:36601:1" rel="noopener">Tencent Music Entertainment Group (1698 HK)</a> disappointed on earnings and monthly user numbers.  <a href="https://www.smartkarma.com/entities/country-garden-services-holdin" target="_blank" data-smartkarma-citation="entities:27343:1" rel="noopener">Country Garden Services (6098 HK)</a> declined in anticipation of a large drop in earnings in 2Q 2024.
</li>
</ul>


Japan equity ETF flows have not recovered from the carry trade sell off.  Hong Kong Southbound Connect flows continue to be positive this month.

Qifu Technology (3660 HK) , Q Technology Group (1478 HK) and JD Logistics (2618 HK) all advanced on strong 2Q earnings announcements. 


Tencent Music Entertainment Group (1698 HK) disappointed on earnings and monthly user numbers.  Country Garden Services (6098 HK) declined in anticipation of a large drop in earnings in 2Q 2024.



The Heat Is On: News Flow and Sentiment in CHINA / HONG KONG (August 16)

<ul>
<li>
<a href="https://www.smartkarma.com/entities/j-t-global-express-ltd" target="_blank" data-smartkarma-citation="entities:36819:1" rel="noopener">J&amp;T Global Express (1519 HK)</a> and <a href="https://www.smartkarma.com/entities/new-oriental-education-techn" target="_blank" data-smartkarma-citation="entities:32210:1" rel="noopener">New Oriental Education (9901 HK)</a> will replace <a href="https://www.smartkarma.com/entities/jd-logistics-inc" target="_blank" data-smartkarma-citation="entities:31500:1" rel="noopener">JD Logistics (2618 HK)</a> and <a href="https://www.smartkarma.com/entities/sensetime-group-inc" target="_blank" data-smartkarma-citation="entities:34319:1" rel="noopener">SenseTime (20 HK)</a> in the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI</a> at the close on 6 September.</li>
<li>The inclusion of <a href="https://www.smartkarma.com/entities/j-t-global-express-ltd" target="_blank" data-smartkarma-citation="entities:36819:1" rel="noopener">J&amp;T Global Express (1519 HK)</a> is a big surprise and the stock could move higher over the next couple of weeks.</li>
<li>The non-inclusion of <a href="https://www.smartkarma.com/entities/picc-property-casualty-h" target="_blank" data-smartkarma-citation="entities:350:1" rel="noopener">PICC Property &amp; Casualty H (2328 HK)</a> is another surprise since we had the stock highly ranked in the universe.</li>
</ul>



J&amp;T Global Express (1519 HK) and New Oriental Education (9901 HK) will replace JD Logistics (2618 HK) and SenseTime (20 HK) in the HSCEI at the close on 6 September.
The inclusion of J&amp;T Global Express (1519 HK) is a big surprise and the stock could move higher over the next couple of weeks.
The non-inclusion of PICC Property &amp; Casualty H (2328 HK) is another surprise since we had the stock highly ranked in the universe.


HSCEI Index Rebalance: Three In-Line Changes, Two Big Surprises

<ul>
<li>The constituent changes for the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">Hang Seng China Enterprises Index (HSCEI INDEX)</a>, <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 (HSTECH INDEX)</a> and HSIII Index will be announced after market close on Friday.</li>
<li>We forecast 2 changes for the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">Hang Seng China Enterprises Index (HSCEI INDEX)</a>, 1 change for 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 (HSTECH INDEX)</a> and 3 changes for the HSIII Index.</li>
<li>With same-way and opposing flow on stocks from different passive trackers, the one-way trade is currently estimated at HK$5.2bn (US$672m). That will change with final capping done on 3 September.</li>
</ul>


The constituent changes for the Hang Seng China Enterprises Index (HSCEI INDEX), Hang Seng TECH Index (HSTECH INDEX) and HSIII Index will be announced after market close on Friday.
We forecast 2 changes for the Hang Seng China Enterprises Index (HSCEI INDEX), 1 change for the Hang Seng TECH Index (HSTECH INDEX) and 3 changes for the HSIII Index.
With same-way and opposing flow on stocks from different passive trackers, the one-way trade is currently estimated at HK$5.2bn (US$672m). That will change with final capping done on 3 September.


HSCEI/HSTECH/HSIII Index Rebalance Preview: Potential Changes, Flow & Positioning

Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

PICC Property & Casualty H / Index Rebalance

<ul>
<li>The HSCEI serves as a benchmark to reflect the overall performance of the top 50 "Mainland China" securities listed in Hong Kong.</li>
<li>The index changes and indicative weights for the September 2024 index rebal event is expected to be announced after market close on Friday 16th August 2024.</li>
<li>In this insight, we take a look at our latest expectations for capping flows based on current prices.</li>
</ul>


The HSCEI serves as a benchmark to reflect the overall performance of the top 50 "Mainland China" securities listed in Hong Kong.
The index changes and indicative weights for the September 2024 index rebal event is expected to be announced after market close on Friday 16th August 2024.
In this insight, we take a look at our latest expectations for capping flows based on current prices.


Quiddity Leaderboard HSCEI Sep 24: Announcement Soon; Updated Flow Expectations and Trade Idea

China

JD Logistics, Inc. offers logistics services. The Company provides cargo transportation, cargo distribution, warehousing, and other services. JD Logistics is located in China.

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JD Logistics (2618 HK)

Hang Seng Index (HSI) Rebalance: Meh (Or Will We Ever Get to 100 Stocks?)

No constituent changes so we stay at 82 stocks. Reaching 100 stocks is few years away. FAF/capping changes lead to 1-way turnover of 1% and round...

Brian Freitas

The Heat Is On: News Flow and Sentiment in CHINA / HONG KONG (August 16)

Japan ETF flows have been light after the massive outflow from carry trade unwind. Qifu Tech, Q Tech and JDL all had positive earnings announcement...

David Mudd

HSCEI Index Rebalance: Three In-Line Changes, Two Big Surprises

There are 2 sets of changes for the index in Sep. 1 add is a big surprise, as is 1 non-inclusion. JT Global Express should pop on Monday but there...

Brian Freitas

HSCEI/HSTECH/HSIII Index Rebalance Preview: Potential Changes, Flow & Positioning

We expect 2 changes for the HSCEI, 1 for the HSTECH, 2 for the HSIII. Tne-way trade is estimated at HK$5.2bn (US$672m). There is same-way and...

Brian Freitas

Quiddity Leaderboard HSCEI Sep 24: Announcement Soon; Updated Flow Expectations and Trade Idea

We expect PICC Property (2328 HK) and New Oriental Education (9901 HK) to be added and JD Logistics (2618 HK) and Sensetime (20 HK) to be deleted....

Janaghan Jeyakumar, CFA

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