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

China Merchants Energy A / Index Rebalance

<ul>
<li>Over 85% of the way through the review period, we see 14 potential index changes at the June rebalance that will be implemented at the close on 9 June.</li>
<li>We estimate a one-way turnover of 2.28% at the June rebalance leading to a one-way trade of CNY 5.95bn.</li>
<li>The potential adds have outperformed the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> over the last two months but have underperformed the potential deletes. The gap has been narrowing recently.</li>
</ul>


Over 85% of the way through the review period, we see 14 potential index changes at the June rebalance that will be implemented at the close on 9 June.
We estimate a one-way turnover of 2.28% at the June rebalance leading to a one-way trade of CNY 5.95bn.
The potential adds have outperformed the CSI 300 Index over the last two months but have underperformed the potential deletes. The gap has been narrowing recently.


CSI300 Index Rebalance Preview: Narrowing the Gap

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 January 6th.</li>
<li>We estimate the weekly inflows to be US$2,907.9 million, led by financials, materials, information technology sectors.</li>
<li>We highlight flows for Ping An Insurance, Contemporary Amperex Technology Co.,, Wuliangye Yibin, Kweichow Moutai, East Money Information, Shenzhen Mindray Bio-Medical Electronics, Wuxi Lead Intelligent Equipment</li>
</ul>


We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of January 6th.
We estimate the weekly inflows to be US$2,907.9 million, led by financials, materials, information technology sectors.
We highlight flows for Ping An Insurance, Contemporary Amperex Technology Co.,, Wuliangye Yibin, Kweichow Moutai, East Money Information, Shenzhen Mindray Bio-Medical Electronics, Wuxi Lead Intelligent Equipment


Northbound Flows (Jan 6th): Ping An Insurance, CATL, Wuliangye, Moutai, East Money

<ul>
<li>End December was the end of the review cutoff for a lot of indices that will rebalance within the next couple of months.</li>
<li>
<a href="https://www.smartkarma.com/entities/pexa-group-ltd" target="_blank" data-smartkarma-citation="entities:34716:1" rel="noopener">PEXA Group (PXA AU)</a> replaces <a href="https://www.smartkarma.com/entities/pendal-group-ltd" target="_blank" data-smartkarma-citation="entities:15795:1" rel="noopener">Pendal Group (PDL AU)</a> in the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> at the close on 12 January.</li>
<li>There were big outflows from Hong Kong and China focused ETFs led by <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index-etf" target="_blank" data-smartkarma-citation="entities:25:1" rel="noopener">Hang Seng H Share Index ETF (2828 HK)</a> and <a href="https://www.smartkarma.com/entities/tracker-fund-of-hong-kong-ltd" target="_blank" data-smartkarma-citation="entities:29257:1" rel="noopener">Tracker Fund of Hong Kong Ltd (2800 HK)</a>.</li>
</ul>


End December was the end of the review cutoff for a lot of indices that will rebalance within the next couple of months.

PEXA Group (PXA AU) replaces Pendal Group (PDL AU) in the S&amp;P/ASX 200 (AS51 INDEX) at the close on 12 January.
There were big outflows from Hong Kong and China focused ETFs led by Hang Seng H Share Index ETF (2828 HK) and Tracker Fund of Hong Kong Ltd (2800 HK).


Index Rebalance & ETF Flow Recap: HSCEI, HSTECH, HSI, HSCI, KS200, KQ150, CSI300, SENSEX, LQ45, PSEi

<ul>
<li>Two thirds of the way through the review period, we see 15 potential index changes at the June rebalance that will be implemented at the close on 9 June.</li>
<li>We estimate a one-way turnover of 2.35% at the June rebalance leading to a one-way trade of CNY 5.57bn.</li>
<li>The potential adds have outperformed the potential deletes and the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a> over the last six months, though there is some near-term deterioration.</li>
</ul>


Two thirds of the way through the review period, we see 15 potential index changes at the June rebalance that will be implemented at the close on 9 June.
We estimate a one-way turnover of 2.35% at the June rebalance leading to a one-way trade of CNY 5.57bn.
The potential adds have outperformed the potential deletes and the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) over the last six months, though there is some near-term deterioration.


CSI300 Index Rebalance Preview: Early Look at Potential Changes in June

<ul>
<li>We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of December 30th.</li>
<li>We estimate the weekly inflows to be US$457.7 million, led by financials, consumer staples, utilities sectors, and offset by industrials, materials.</li>
<li>We highlight flows for Ping An Insurance, Yibin Wuliangye, CATL. </li>
</ul>


We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of December 30th.
We estimate the weekly inflows to be US$457.7 million, led by financials, consumer staples, utilities sectors, and offset by industrials, materials.
We highlight flows for Ping An Insurance, Yibin Wuliangye, CATL. 


Northbound Flows (Dec 30th): Ping An, Wuliangye, CATL

China

Jiangsu Zhongtian Technology Co., Ltd. manufactures and markets optic cables, optic fibers, electric cable materials and accessories, related components, and related controlling systems.

Jiangsu Zhongtian Technologies Co, Ltd. (600522 CH)

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

Jiangsu Zhongtian Technologies Co, Ltd. (600522 CH)

CSI300 Index Rebalance Preview: Narrowing the Gap

Nearing the end of the review period, we see 14 potential changes. We estimate a one-way turnover of 2.28% leading to a one-way trade of CNY...

Brian Freitas

Northbound Flows (Jan 6th): Ping An Insurance, CATL, Wuliangye, Moutai, East Money

We analyzed northbound Shanghai/Shenzhen connect flows in the past week and highlight flows for Ping An Insurance, CALT, Wuliangye, Moutai, East...

Ke Yan, CFA, FRM

Index Rebalance & ETF Flow Recap: HSCEI, HSTECH, HSI, HSCI, KS200, KQ150, CSI300, SENSEX, LQ45, PSEi

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

CSI300 Index Rebalance Preview: Early Look at Potential Changes in June

We forecast 15 changes to the index in June leading to a one-way turnover of 2.35% and a one-way trade of CNY 5.57bn. The potential adds have...

Brian Freitas

Northbound Flows (Dec 30th): Ping An, Wuliangye, CATL

We analyzed the Shanghai/Shenzhen Connect Scheme for last week and highlight flows for Ping An Insurance, Wuliangye, CATL.

Ke Yan, CFA, FRM

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)