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 could be three changes for the CES China Semiconductor Chips Index at the close of trading on 13 June.</li>
<li>Based on the assets tracking the index, passive trackers will need to trade between 0.1-0.4x ADV in the stocks.</li>
<li>
<a href="https://www.smartkarma.com/entities/bestechnic-shanghai-co-ltd" target="_blank" data-smartkarma-citation="entities:33459:1" rel="noopener">Bestechnic Shanghai (688608 CH)</a> and <a href="https://www.smartkarma.com/entities/suzhou-kematek-inc" target="_blank" data-smartkarma-citation="entities:44255:1" rel="noopener">Suzhou Kematek (301611 CH)</a> will also have net inflows from passive trackers of other indices at the same time, adding to the flow.</li>
</ul>


There could be three changes for the CES China Semiconductor Chips Index at the close of trading on 13 June.
Based on the assets tracking the index, passive trackers will need to trade between 0.1-0.4x ADV in the stocks.

Bestechnic Shanghai (688608 CH) and Suzhou Kematek (301611 CH) will also have net inflows from passive trackers of other indices at the same time, adding to the flow.


CES China Semiconductor Chips Index Rebalance Preview: Multiple Adds for Some Stocks Increase Flow

<ul>
<li>There could be 1 constituent change for the STAR Chip Index at the June rebalance. There will also be a few capping changes.</li>
<li>Estimated one-way turnover is 2.1% resulting in a round-trip trade of CNY 1.04bn (US$141m). Passives need to trade between 0.65-1.65x ADV in the potential changes.</li>
<li>
<a href="https://www.smartkarma.com/entities/jinhong-gas-co-ltd" target="_blank" data-smartkarma-citation="entities:30343:1" rel="noopener">Jinhong Gas (688106 CH)</a> is also a potential delete from the STAR100 Index and that will lead to increased passive selling in the stock.</li>
</ul>


There could be 1 constituent change for the STAR Chip Index at the June rebalance. There will also be a few capping changes.
Estimated one-way turnover is 2.1% resulting in a round-trip trade of CNY 1.04bn (US$141m). Passives need to trade between 0.65-1.65x ADV in the potential changes.

Jinhong Gas (688106 CH) is also a potential delete from the STAR100 Index and that will lead to increased passive selling in the stock.


STAR Chip Index Rebalance Preview: Potential Changes in June

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 83.5% as of Mar 14th.</li>
<li>The average A-H premium changed by -0.9ppt week-on-week, led by consumer discretionary, consumer staples, energy and offset by information technology, real estate, materials.</li>
<li>We highlight weekly changes in A-H premium for CIMC, Sinotrans, Joinn Lab, Huahong Semicon, Huaneng Power, Tigermed, Asymchem Lab.</li>
</ul>


We analyse the changes of A-H premium on 150 stocks over the last week. The average A-H premium was 83.5% as of Mar 14th.
The average A-H premium changed by -0.9ppt week-on-week, led by consumer discretionary, consumer staples, energy and offset by information technology, real estate, materials.
We highlight weekly changes in A-H premium for CIMC, Sinotrans, Joinn Lab, Huahong Semicon, Huaneng Power, Tigermed, Asymchem Lab.


A-H Premium Weekly (Mar 14th): CIMC, Sinotrans, Joinn Lab, Huahong Semicon, Huaneng Power

Xiamen Amoytop Biotech Co Ltd / Index Rebalance

<ul>
<li>There are 3 constituent changes for the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50 INDEX</a> and 6 changes for the STAR100 Index at the March rebalance that will be implemented at the close on 14 March.</li>
<li>The last-minute methodology change could lead to under/over positioning on some names and those stocks could move the most over the next few days.</li>
<li>Performance has been mixed in the changes to the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50 INDEX</a> but the outright adds have continued to outperform the outright deletes for the STAR100 Index.</li>
</ul>


There are 3 constituent changes for the STAR50 INDEX and 6 changes for the STAR100 Index at the March rebalance that will be implemented at the close on 14 March.
The last-minute methodology change could lead to under/over positioning on some names and those stocks could move the most over the next few days.
Performance has been mixed in the changes to the STAR50 INDEX but the outright adds have continued to outperform the outright deletes for the STAR100 Index.


STAR50/STAR100 Index Rebalance: Methodology Changes & Some Surprises

Shenzhen Bluetrum Technology / Index Rebalance

<ul>
<li>CSI announced the changes for the March rebalance after market close on 28 February and the changes will be effective after the close of trading on 14 March.</li>
<li>As expected, <a href="https://www.smartkarma.com/entities/shenzhen-bluetrum-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:44281:1" rel="noopener">Shenzhen Bluetrum Technology (688332 CH)</a> will be added to the index while JoulWatt Technology Co (688141 CH) will be deleted.</li>
<li>
<a href="https://www.smartkarma.com/entities/shenzhen-bluetrum-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:44281:1" rel="noopener">Shenzhen Bluetrum Technology (688332 CH)</a> outperformed JoulWatt Technology Co (688141 CH) in the last quarter of 2024 and there has been a reversal of fortunes this calendar year.</li>
</ul>


CSI announced the changes for the March rebalance after market close on 28 February and the changes will be effective after the close of trading on 14 March.
As expected, Shenzhen Bluetrum Technology (688332 CH) will be added to the index while JoulWatt Technology Co (688141 CH) will be deleted.

Shenzhen Bluetrum Technology (688332 CH) outperformed JoulWatt Technology Co (688141 CH) in the last quarter of 2024 and there has been a reversal of fortunes this calendar year.


STAR Chip Index Rebalance: Shenzhen Bluetrum (688332) Replaces JoulWatt (688141)

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)

Semiconductor Manufacturing International Corporation (SMIC)

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Semiconductor Manufacturing International Corporation (SMIC) (688981 CH)

CES China Semiconductor Chips Index Rebalance Preview: Multiple Adds for Some Stocks Increase Flow

There could be 3 changes for the index in June. Most of the index changes will have inflows/outflows from other index trackers at the same time,...

Brian Freitas

STAR Chip Index Rebalance Preview: Potential Changes in June

JoulWatt Tech could replace Jinhong Gas in the index in June. There are some capping changes too. Jinhong Gas is also a potential deletion from the...

Brian Freitas

A-H Premium Weekly (Mar 14th): CIMC, Sinotrans, Joinn Lab, Huahong Semicon, Huaneng Power

We analyzed A-H premium changes in the past week and highlight A-H premium changes for CIMC, Sinotrans, Joinn Lab, Huahong Semicon, Huaneng Power,...

Ke Yan, CFA, FRM

STAR50/STAR100 Index Rebalance: Methodology Changes & Some Surprises

There are 3/6 changes for the STAR50/100 indices. Methodology changes result in a few surprises. The STAR50 adds/deletes have performed in line,...

Brian Freitas

STAR Chip Index Rebalance: Shenzhen Bluetrum (688332) Replaces JoulWatt (688141)

As expected, Shenzhen Bluetrum replaces JoulWatt Tech in the STAR Chip Index in March. Estimated one-way turnover at the rebalance is 3.75% leading...

Brian Freitas

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