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

Event-Driven

Jiangxi Special Electric Motor A / Event-Driven

<ul>
<li>Three quarters of the way through the review period for the June rebalance of the CSI500 Index, we forecast 50 changes (the maximum permitted) at the close on 9 June.</li>
<li>There is a big sector skew in the potential changes. We estimate a one-way turnover of 11.47% at the June rebalance resulting in a one-way trade of CNY 10.11bn.</li>
<li>The potential adds have outperformed the potential deletes and the CSI500 Index over the last few weeks. There could be more outperformance till nearer the end of the review period.</li>
</ul>


Three quarters of the way through the review period for the June rebalance of the CSI500 Index, we forecast 50 changes (the maximum permitted) at the close on 9 June.
There is a big sector skew in the potential changes. We estimate a one-way turnover of 11.47% at the June rebalance resulting in a one-way trade of CNY 10.11bn.
The potential adds have outperformed the potential deletes and the CSI500 Index over the last few weeks. There could be more outperformance till nearer the end of the review period.


CSI500 Index Rebalance Preview: Potential Adds Continuing to Outperform

Post market close on 28 May, the China Securities Index Company announced the changes to 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> that will be effective after the close of trading on 11 June.There are 25 inclusions and exclusions in the review with an estimated one-way turnover of 3.67%.There are 10 trading days to implementation of the changes. There are 4 inclusions that will have over 1 day of ADV to buy from passive funds while there are 15 deletions that will have over 1 day of ADV to sell. The actual impact could be higher as cash and carry baskets are rebalanced and active managers reposition their portfolios to no deviate too far from their benchmark.The inclusions have outperformed the deletions by 15% over the last month and while there could be a pop in the returns over the next few sessions, we recommend gradually exiting existing positions and re-entering prior to implementation on a selloff in the trade.

Post market close on 28 May, the China Securities Index Company announced the changes to the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) that will be effective after the close of trading on 11 June.There are 25 inclusions and exclusions in the review with an estimated one-way turnover of 3.67%.There are 10 trading days to implementation of the changes. There are 4 inclusions that will have over 1 day of ADV to buy from passive funds while there are 15 deletions that will have over 1 day of ADV to sell. The actual impact could be higher as cash and carry baskets are rebalanced and active managers reposition their portfolios to no deviate too far from their benchmark.The inclusions have outperformed the deletions by 15% over the last month and while there could be a pop in the returns over the next few sessions, we recommend gradually exiting existing positions and re-entering prior to implementation on a selloff in the trade.

CSI300 Index Rebalance: 25 Changes as Long/Short Trade Does Well

Beijing Kingsoft Office Softwa / Event-Driven

We are nearly 95% through the review period for the June review of 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>. With a large AUM in ETFs tracking the index, large open interest on the CFFEX listed futures, and volatile stocks, it could pay to look at the potential changes to the index.China Securities Index Co (CSI) will announce the changes end May/beginning June and the changes will be effective after the close of trading on 11 June.We expect 30 changes at the upcoming June 2021 index review - this is the maximum number of changes that are permitted at a single review. Estimated one-way turnover is 4.08% and will result in a one-way trade of CNY 10.8bn.The expected inclusions 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">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a> on a year to date basis even post the momentum selloff that started in February. Buying the inclusion basket vs selling the CSI300 futures as a hedge could provide good market neutral returns over the next few weeks.

We are nearly 95% through the review period for the June review of the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX). With a large AUM in ETFs tracking the index, large open interest on the CFFEX listed futures, and volatile stocks, it could pay to look at the potential changes to the index.China Securities Index Co (CSI) will announce the changes end May/beginning June and the changes will be effective after the close of trading on 11 June.We expect 30 changes at the upcoming June 2021 index review - this is the maximum number of changes that are permitted at a single review. Estimated one-way turnover is 4.08% and will result in a one-way trade of CNY 10.8bn.The expected inclusions have outperformed the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) on a year to date basis even post the momentum selloff that started in February. Buying the inclusion basket vs selling the CSI300 futures as a hedge could provide good market neutral returns over the next few weeks.

CSI300 Index Rebalance Preview: Recovering from the Growth Sell-Off

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> consists of stocks from the Shanghai Stock Exchange and the Shenzhen Stock Exchange and is one of the most widely tracked A-share indices with passive tracking products listed in multiple markets globally. There are CFFEX listed futures that trade actively as well.China Securities Index Co (CSI) will announce the changes end May/beginning June and the changes will be effective after the close of trading on 11 June.There were 21 changes to the index at the June 2020 review and 26 changes at the December 2020 review. We expect 30 changes at the upcoming June 2021 index review - this is the maximum number of changes that are permitted at a single review. Estimated one-way turnover is 4.56%.With passive tracking products holding around US$32bn of AUM, plus another US$53bn in open interest on the listed futures, plus active managers benchmarked to 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>, there could be significant moves in the inclusion/exclusion names from now to the end of the review period. There will only be 9-10 trading days between the announcement of the changes and the implementation, so having a pre-position should pay off. There should not be too many changes in the possible list of inclusions and exclusions due to the averaging process over the last year of trading.

The Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) consists of stocks from the Shanghai Stock Exchange and the Shenzhen Stock Exchange and is one of the most widely tracked A-share indices with passive tracking products listed in multiple markets globally. There are CFFEX listed futures that trade actively as well.China Securities Index Co (CSI) will announce the changes end May/beginning June and the changes will be effective after the close of trading on 11 June.There were 21 changes to the index at the June 2020 review and 26 changes at the December 2020 review. We expect 30 changes at the upcoming June 2021 index review - this is the maximum number of changes that are permitted at a single review. Estimated one-way turnover is 4.56%.With passive tracking products holding around US$32bn of AUM, plus another US$53bn in open interest on the listed futures, plus active managers benchmarked to the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX), there could be significant moves in the inclusion/exclusion names from now to the end of the review period. There will only be 9-10 trading days between the announcement of the changes and the implementation, so having a pre-position should pay off. There should not be too many changes in the possible list of inclusions and exclusions due to the averaging process over the last year of trading.

CSI300 Index Rebalance Preview: Maxing Out the Number of Changes

APAC IPOs & Placements

Zhen Zhou, Toh

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.

Equity Capital Markets

Roiserv Lifestyle Services / Equity Capital Markets

<a href="https://www.smartkarma.com/entities/roiserv-lifestyle-services" target="_blank" data-smartkarma-citation="entities:31115:1" rel="noopener">Roiserv Lifestyle Services (2146 HK)</a> raised US$163m in its Hong Kong IPO after pricing at HK$13.46 per share, the bottom-end of the price range.
RLS is the property management arm of Shenzhen-listed <a href="https://www.smartkarma.com/entities/risesun-real-estate-devel-a" target="_blank" data-smartkarma-citation="entities:12140:1" rel="noopener">Risesun Real Estate Devel A (002146 CH)</a>  and has been managing properties developed by RiseSun Development Group. The company only expanded into managing independent third-party properties in 2018.
Our previous coverage of the IPO:
<ul>
<li>
<a href="https://www.smartkarma.com/insights/roiserv-lifestyle-ipo-small-expensive-and-parent-dependent" target="_blank" data-smartkarma-citation="insights:46804" rel="noopener">Roiserv Lifestyle (荣万家) IPO - Small, Expensive, and Parent Dependent</a> </li>
</ul>

Roiserv Lifestyle Services (2146 HK) raised US$163m in its Hong Kong IPO after pricing at HK$13.46 per share, the bottom-end of the price range.
RLS is the property management arm of Shenzhen-listed Risesun Real Estate Devel A (002146 CH)  and has been managing properties developed by RiseSun Development Group. The company only expanded into managing independent third-party properties in 2018.
Our previous coverage of the IPO:


Roiserv Lifestyle (荣万家) IPO - Small, Expensive, and Parent Dependent 


Roiserv Lifestyle (荣万家生活服务) IPO Trading - Weaker Demand than Sino-Ocean Svcs

China

RiseSun Real Estate Development Company Ltd. is a property development company. The Company also provides property management services.

Risesun Real Estate Devel A (002146 CH)

CSI500 Index Rebalance Preview: Potential Adds Continuing to Outperform

We forecast 50 changes a side at the June rebal leading to a one-way turnover of 11.47% & in a one-way trade of CNY 10bn. The potential adds have...

Brian Freitas

CSI300 Index Rebalance: 25 Changes as Long/Short Trade Does Well

There are 25 changes to the CSI300 Index that will be implemented at the close on 11 June. One-way turnover is 3.67% and the adds have outperformed...

Brian Freitas

CSI300 Index Rebalance Preview: Recovering from the Growth Sell-Off

We forecast 30 changes to the CSI300 Index at the June review that will be announced at the end of May and effective 11 June. The expected...

Brian Freitas

CSI300 Index Rebalance Preview: Maxing Out the Number of Changes

We see 30 potential inclusions/exclusions to the CSI300 index at the June review that will become effective COB 11 June. With a lot of benchmarked...

Brian Freitas

Roiserv Lifestyle (荣万家生活服务) IPO Trading - Weaker Demand than Sino-Ocean Svcs

Roiserv Lifestyle Services (2146 HK) raised US$163m in its Hong Kong IPO after pricing at HK$13.46 per share, the bottom-end of the price range.

Zhen Zhou, Toh