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>As expected, <a href="https://www.smartkarma.com/entities/lenovo-group-ltd" target="_blank" data-smartkarma-citation="entities:13359:1" rel="noopener">Lenovo (992 HK)</a> will replace <a href="https://www.smartkarma.com/entities/hansoh-pharmaceutical-group" target="_blank" data-smartkarma-citation="entities:23675:1" rel="noopener">Hansoh Pharmaceutical (3692 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">Hang Seng China Enterprises Index (HSCEI INDEX)</a> after the close of trading on 10 June.</li>
<li>
<a href="https://www.smartkarma.com/entities/sunac-china-holdings-ltd" target="_blank" data-smartkarma-citation="entities:240:1" rel="noopener">Sunac China Holdings (1918 HK)</a> has been kept in the index for now, though suspension till 30 June will see it deleted early July.</li>
<li>Changes to the stocks, number of shares, float and capping results in an estimated one-way turnover of 3.7% and will result in a one-way trade of HK$2,977m.</li>
</ul>


As expected, Lenovo (992 HK) will replace Hansoh Pharmaceutical (3692 HK) in the Hang Seng China Enterprises Index (HSCEI INDEX) after the close of trading on 10 June.

Sunac China Holdings (1918 HK) has been kept in the index for now, though suspension till 30 June will see it deleted early July.
Changes to the stocks, number of shares, float and capping results in an estimated one-way turnover of 3.7% and will result in a one-way trade of HK$2,977m.


HSCEI Index Rebalance: Lenovo In, Hansoh Out; Sunac Survives (For Now)

Asia Pac IPO & Placement Research, China biotech, Aequitas Research

Ke Yan, CFA, FRM

Asia Pac IPO & Placement Research, China biotech

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Quantitative Analysis

<ul>
<li>We analyse the changes of A/H premium on 139 stocks over the last week.</li>
<li>Healthcare, consumer discretionary and energy led the week on week A-H premium increase of 3.8ppt. </li>
<li>We highlight A-H premium changes in CICC, GWM, Cansino, CCC, Shanghai Fudan, CNOOC, PetroChina.</li>
</ul>


We analyse the changes of A/H premium on 139 stocks over the last week.
Healthcare, consumer discretionary and energy led the week on week A-H premium increase of 3.8ppt. 
We highlight A-H premium changes in CICC, GWM, Cansino, CCC, Shanghai Fudan, CNOOC, PetroChina.


A-H Premium Weekly: CICC, Great Wall Motor, Cansino

<ul>
<li>We analyzed the latest HK SFC report for aggregate short position as of Feb 25. </li>
<li>Top short increases and decreases were tabulated for one week and four week period. </li>
<li>We highlight short interest increases in PetroChina and China Life.</li>
</ul>


We analyzed the latest HK SFC report for aggregate short position as of Feb 25. 
Top short increases and decreases were tabulated for one week and four week period. 
We highlight short interest increases in PetroChina and China Life.


HK Short Interest: PetroChina, China Life

Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/china-mobile" target="_blank" data-smartkarma-citation="entities:35371:1" rel="noopener">China Mobile (600941 CH)</a> listed on 5 January after raising CNY 56bn in its A-share IPO. The stock could get Fast Entry to the CSI300, SSE50 and SSE180 indices.</li>
<li>Stocks will be deleted from these indices to maintain the number of index constituents. <a href="https://www.smartkarma.com/entities/jonjee-high-tech-industrial-and-commercial-holding-co-ltd" target="_blank" data-smartkarma-citation="entities:14622:1" rel="noopener">Jonjee High-Tech</a> could be deleted from the CSI300 and <a href="https://www.smartkarma.com/entities/shandong-gold-mining-co-ltd" target="_blank" data-smartkarma-citation="entities:12908:1" rel="noopener">Shandong Gold Mining</a> from the SSE50.</li>
<li>
<a href="https://www.smartkarma.com/entities/china-mobile" target="_blank" data-smartkarma-citation="entities:35371:1" rel="noopener">China Mobile (600941 CH)</a> trades at a 41.7% premium to <a href="https://www.smartkarma.com/entities/china-mobile-ltd" target="_blank" data-smartkarma-citation="entities:27:1" rel="noopener">China Mobile (941 HK)</a>, substantially lower than the 89% premium for <a href="https://www.smartkarma.com/entities/china-telecom-corp-ltd" target="_blank" data-smartkarma-citation="entities:34045:1" rel="noopener">China Telecom (601728 CH)</a>/<a href="https://www.smartkarma.com/entities/china-telecom-corp-ltd-h" target="_blank" data-smartkarma-citation="entities:1015:1" rel="noopener">China Telecom (H) (728 HK)</a>. </li>
</ul>



China Mobile (600941 CH) listed on 5 January after raising CNY 56bn in its A-share IPO. The stock could get Fast Entry to the CSI300, SSE50 and SSE180 indices.
Stocks will be deleted from these indices to maintain the number of index constituents. Jonjee High-Tech could be deleted from the CSI300 and Shandong Gold Mining from the SSE50.

China Mobile (600941 CH) trades at a 41.7% premium to China Mobile (941 HK), substantially lower than the 89% premium for China Telecom (601728 CH)/China Telecom (H) (728 HK). 


China Mobile (600941 CH): Potential Index Fast Entry

HK/China Equity Long-Short

Osbert Tang, CFA

<ul>
<li>Our "Buy the Worst" strategy outperformed HSI by a massive 26.1pp YTD. Over the last five years and seven, this strategy returned 39.7% and 25.8% respectively, beating the market significantly. </li>
<li>For 2022, the strategy will switch into <a href="https://www.smartkarma.com/entities/haidilao-international-holding-ltd" target="_blank" data-smartkarma-citation="entities:27044:1" rel="noopener">Haidilao (6862 HK)</a>, <a href="https://www.smartkarma.com/entities/alibaba-health-information-technology-ltd" target="_blank" data-smartkarma-citation="entities:453:1" rel="noopener">Alibaba Health (241 HK)</a>, <a href="https://www.smartkarma.com/entities/alibaba-group" target="_blank" data-smartkarma-citation="entities:28434:1" rel="noopener">Alibaba Group (9988 HK)</a>, <a href="https://www.smartkarma.com/entities/sands-china-ltd" target="_blank" data-smartkarma-citation="entities:182:1" rel="noopener">Sands China (1928 HK)</a> and <a href="https://www.smartkarma.com/entities/xiaomi-corp" target="_blank" data-smartkarma-citation="entities:24409:1" rel="noopener">Xiaomi (1810 HK)</a>, based on YTD performance.</li>
<li>While these names are facing sustained headwinds, track record of our strategy suggested that they are more likely to outperform in 2022 than underperform. We think there is turnaround potential.</li>
</ul>


Our "Buy the Worst" strategy outperformed HSI by a massive 26.1pp YTD. Over the last five years and seven, this strategy returned 39.7% and 25.8% respectively, beating the market significantly. 
For 2022, the strategy will switch into Haidilao (6862 HK), Alibaba Health (241 HK), Alibaba Group (9988 HK), Sands China (1928 HK) and Xiaomi (1810 HK), based on YTD performance.
While these names are facing sustained headwinds, track record of our strategy suggested that they are more likely to outperform in 2022 than underperform. We think there is turnaround potential.


“Buy the Worst” Strategy into Year 3: What's on for 2022 to Beat the HSI?

China

PetroChina Company Limited explores, develops, and produces crude oil and natural gas.  The Company also refines, transports, and distributes crude oil and petroleum products, produces and sells chemicals, and transmits, markets and sells natural gas.

Price Gauge
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PetroChina (857 HK)

HSCEI Index Rebalance: Lenovo In, Hansoh Out; Sunac Survives (For Now)

As expected, Lenovo will replace Hansoh Pharma in the HSCEI at the close on 10 June. Sunac stays in the index for now but could be deleted in July....

Brian Freitas

A-H Premium Weekly: CICC, Great Wall Motor, Cansino

We highlight weekly A-H premium changes in CICC, Great Wall Motor, Cansino, China Communication Construction, Shanghai Fudan, CNOOC, PetroChina.

Ke Yan, CFA, FRM

HK Short Interest: PetroChina, China Life

We highlight week on week short interest increases in PetroChina (857 HK) and China Life (2628 HK) based on the latest HK SFC short aggregate report.

Ke Yan, CFA, FRM

China Mobile (600941 CH): Potential Index Fast Entry

China Mobile listed on the SSE on 5 Jan after raising CNY 56bn. Based on the index methodology, the stock should get Fast Entry to the CSI300,...

Brian Freitas

“Buy the Worst” Strategy into Year 3: What's on for 2022 to Beat the HSI?

Our "Buy the Worst" strategy outperformed HSI by a massive 26.1pp YTD. For 2022, new names are Haidilao, Ali Health, Alibaba, Sands China and...

Osbert Tang, CFA

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)