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>There is 1 change for the CNI Semiconductor Chips Index that will be implemented at the close on 13 December.</li>
<li>Passive trackers are estimated to buy 0.9x ADV in <a href="https://www.smartkarma.com/entities/hwatsing-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:36700:1" rel="noopener">Hwatsing Technology (688120 CH)</a> and sell 0.5x ADV in <a href="https://www.smartkarma.com/entities/starpower-semiconductor-ltd" target="_blank" data-smartkarma-citation="entities:30089:1" rel="noopener">StarPower Semiconductor (603290 CH)</a>. </li>
<li>The add has outperformed the delete, but not by a lot. There could be more outperformance over the next couple of weeks.</li>
</ul>


There is 1 change for the CNI Semiconductor Chips Index that will be implemented at the close on 13 December.
Passive trackers are estimated to buy 0.9x ADV in Hwatsing Technology (688120 CH) and sell 0.5x ADV in StarPower Semiconductor (603290 CH). 
The add has outperformed the delete, but not by a lot. There could be more outperformance over the next couple of weeks.


CNI Semiconductor Chips Index Rebalance: One Change with Big Flow

<ul>
<li>CSI announced the changes for the December rebalance after market close on 29 November and the changes will be effective after the close of trading on 13 December.</li>
<li>There are 3 changes for the index, and we estimate one-way turnover of 1.7% resulting in a round-trip trade of CNY 570m (US$79m).</li>
<li>
<a href="https://www.smartkarma.com/entities/nexchip-semiconductor-corp" target="_blank" data-smartkarma-citation="entities:40390:1" rel="noopener">Nexchip Semiconductor (688249 CH)</a> and <a href="https://www.smartkarma.com/entities/united-nova-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:40389:1" rel="noopener">United Nova Technology (688469 CH)</a> are adds to other indices as well and the impact on the stocks will be a lot higher.</li>
</ul>


CSI announced the changes for the December rebalance after market close on 29 November and the changes will be effective after the close of trading on 13 December.
There are 3 changes for the index, and we estimate one-way turnover of 1.7% resulting in a round-trip trade of CNY 570m (US$79m).

Nexchip Semiconductor (688249 CH) and United Nova Technology (688469 CH) are adds to other indices as well and the impact on the stocks will be a lot higher.


CES China Semiconductor Chips Index Rebalance: Multiple Index Inclusions for the Adds

Espressif Systems Shanghai  / Index Rebalance

<ul>
<li>CSI announced the changes for the December rebalance after market close on 29 November and the changes will be effective after the close of trading on 13 December.</li>
<li>There are 3 changes for the index and we estimate passive buying of 0.3-0.65x ADV in the adds and selling of between 0.4-0.6x ADV in the deletes.</li>
<li>On average, the adds to the index have outperformed the deletes over the last 5 weeks with the adds moving higher and the deletes trending lows.</li>
</ul>


CSI announced the changes for the December rebalance after market close on 29 November and the changes will be effective after the close of trading on 13 December.
There are 3 changes for the index and we estimate passive buying of 0.3-0.65x ADV in the adds and selling of between 0.4-0.6x ADV in the deletes.
On average, the adds to the index have outperformed the deletes over the last 5 weeks with the adds moving higher and the deletes trending lows.


STAR Chip Index Rebalance: 3 Changes; US$413m Round-Trip Trade

Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Semiconductor Manufacturing International Corporation (SMIC) / Index Rebalance

Semiconductor Manufacturing International Corporation (SMIC)

<ul>
<li>The December 2024 index review results for the STAR 50 and STAR 100 indices were announced after market close on Friday 29th November 2024.</li>
<li>There will be zero changes for the STAR 50 index and four changes for the STAR 100 index.</li>
<li>We expect one-way flows of approximately US$793mn and US$136mn for the STAR 50 and STAR 100 index rebal events respectively.</li>
</ul>


The December 2024 index review results for the STAR 50 and STAR 100 indices were announced after market close on Friday 29th November 2024.
There will be zero changes for the STAR 50 index and four changes for the STAR 100 index.
We expect one-way flows of approximately US$793mn and US$136mn for the STAR 50 and STAR 100 index rebal events respectively.


Quiddity STAR 50/100 Dec 24 Results: US$793mn Capping Outflow for SMIC; 4 Changes for STAR 100

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 150 stocks over the last week. The average A-H premium was 103.3% as of Nov 29th.</li>
<li>The average A-H premium changed by -0.2ppt week-on-week, led by information technology, materials, real estate and offset by consumer staples, energy, health care.</li>
<li>We highlight weekly changes in A-H premium for Goldwind, GAC, Cosco Shipping Energy, Flat Glass, Shanghai Electric.</li>
</ul>


We analyse the changes of A-H premium on 150 stocks over the last week. The average A-H premium was 103.3% as of Nov 29th.
The average A-H premium changed by -0.2ppt week-on-week, led by information technology, materials, real estate and offset by consumer staples, energy, health care.
We highlight weekly changes in A-H premium for Goldwind, GAC, Cosco Shipping Energy, Flat Glass, Shanghai Electric.


A-H Premium Weekly (Nov 29th): Goldwind, GAC, Cosco Shipping Energy, Flat Glass, Shanghai Electric

China

Semiconductor Manufacturing International Corporation operates as a semiconductor foundry. The Company provides integrated circuit foundry and technology services including the testing, development, design, manufacturing, packaging, and sale of integrated circuits. Semiconductor Manufacturing International offers its products and services around the world.

Semiconductor Manufacturing International Corporation (SMIC) (688981 CH)

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

Semiconductor Manufacturing International Corporation (SMIC) (688981 CH)

CNI Semiconductor Chips Index Rebalance: One Change with Big Flow

Hwatsing replaces StarPower in the index. Trackers will need to buy 0.9x ADV in the adds and sell 0.5x ADV in the delete. SMIC will be capped in...

Brian Freitas

CES China Semiconductor Chips Index Rebalance: Multiple Index Inclusions for the Adds

There are 3 changes for the index in December. Couple of the adds have multiple index inclusions and more potential inclusions to come over the...

Brian Freitas

STAR Chip Index Rebalance: 3 Changes; US$413m Round-Trip Trade

There are 3 changes for the index. Estimated 1-way turnover is 4.8% leading to a round-trip trade of CNY 3bn (US$413m). The adds have outperformed...

Brian Freitas

Quiddity STAR 50/100 Dec 24 Results: US$793mn Capping Outflow for SMIC; 4 Changes for STAR 100

SMIC is currently above the 10% cap for individual names in STAR 50 and we expect US$793mn outflow for SMIC during the December 2024 index rebal...

Janaghan Jeyakumar, CFA

A-H Premium Weekly (Nov 29th): Goldwind, GAC, Cosco Shipping Energy, Flat Glass, Shanghai Electric

We analyzed A-H premium changes in the past week and highlight A-H premium changes for Goldwind, GAC, Cosco Shipping Energy, Flat Glass, Shanghai...

Ke Yan, CFA, FRM

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)