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>The June rebalance of the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">HSTECH</a> and HSIII indices will use today's closing prices to cap the index constituent weights at 8%/12%. This leads to large flows.</li>
<li>The net round-trip trade across all stocks across the four indices is estimated at HK$63.55bn (US$8.1bn). There are 12 stocks with over 2x ADV to trade from passive trackers.</li>
<li>The trade size is much bigger than usual due to the inclusion of <a href="https://www.smartkarma.com/entities/byd-co-ltd-h" target="_blank" data-smartkarma-citation="entities:20962:1" rel="noopener">BYD</a> in the <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">HSTECH Index</a> and due to a change in the FAF methodology for Secondary Listings.</li>
</ul>


The June rebalance of the HSI, HSCEI, HSTECH and HSIII indices will use today's closing prices to cap the index constituent weights at 8%/12%. This leads to large flows.
The net round-trip trade across all stocks across the four indices is estimated at HK$63.55bn (US$8.1bn). There are 12 stocks with over 2x ADV to trade from passive trackers.
The trade size is much bigger than usual due to the inclusion of BYD in the HSTECH Index and due to a change in the FAF methodology for Secondary Listings.


HSI, HSCEI, HSTECH, HSIII Index Rebalance: US$8.1bn of Flows Post Capping (June 2025)

Equity Analyst, LightStream Research

Shifara Samsudeen, FCMA, CGMA

Equity Analyst

Long-Short Analysis on Japan, Asia and the World

LightStream Research

LightStream conducts quantitatively rigorous and data-driven analysis with a focus on Japan and Asia.

We consistently cover the Tech, Consumer and Industrial sectors, and provide ECM and Events coverage more broadly.

We supplement traditional qualitative insights from company relationships with a robust quantitative foundation that examines as much historical data as is available.
We further refine the accuracy of our insights and calls through the use of alternative data to flesh out current trends, and through a valuation framework that emphasises non-superficial peer group selection and a proper attempt to understand the metrics and changes that have driven security valuations in the past.

Equity Bottom-Up

<ul>
<li>AI software company SenseTime’s share price dropped more than 50% over the last one week with the expiry of lock-up period as pre-investors of the company took some profits.  </li>
<li>The company was placed in an investment blacklist by the US government prior to the IPO which forced to launch the IPO without investors from the US.</li>
<li>The company also priced the IPO at the bottom of the price range and despite all of this, shares quickly went up to HK$8.20 from IPO price of US$3.85.</li>
</ul>


AI software company SenseTime’s share price dropped more than 50% over the last one week with the expiry of lock-up period as pre-investors of the company took some profits.  
The company was placed in an investment blacklist by the US government prior to the IPO which forced to launch the IPO without investors from the US.
The company also priced the IPO at the bottom of the price range and despite all of this, shares quickly went up to HK$8.20 from IPO price of US$3.85.


SenseTime: Shares Fall with Lock-Up Expiry; Further Downside with More Selling at the Next Expiry

Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/sensetime-group-inc" target="_blank" data-smartkarma-citation="entities:34319:1" rel="noopener">SenseTime Group (20 HK)</a> currently has a float of 1.4%. That will increase to 46% at the end of June as pre-IPO and cornerstone investor lock-ups end.</li>
<li>The <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">Hang Seng Tech Index</a> FAF increase and potential inclusion 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</a> will require passive trackers to buy 700m shares early September.</li>
<li>Economic stimulus in China, outlook for China tech, lock-up expiry, inclusion in Southbound Connect and flows from passive trackers will drive the stock for few months and provide trading opportunities.</li>
</ul>



SenseTime Group (20 HK) currently has a float of 1.4%. That will increase to 46% at the end of June as pre-IPO and cornerstone investor lock-ups end.
The Hang Seng Tech Index FAF increase and potential inclusion in the Hang Seng China Enterprises Index will require passive trackers to buy 700m shares early September.
Economic stimulus in China, outlook for China tech, lock-up expiry, inclusion in Southbound Connect and flows from passive trackers will drive the stock for few months and provide trading opportunities.


SenseTime (20 HK): Lock-Up Expiry Will Bring BIG Passive Flow

<ul>
<li>
<a href="https://www.smartkarma.com/entities/sensetime-group-inc" target="_blank" data-smartkarma-citation="entities:34319:1" rel="noopener">SenseTime Group (20 HK)</a> and <a href="https://www.smartkarma.com/entities/jd-logistics-inc" target="_blank" data-smartkarma-citation="entities:31500:1" rel="noopener">JD Logistics (2618 HK)</a> are potential deletions while <a href="https://www.smartkarma.com/entities/picc-property-casualty-h" target="_blank" data-smartkarma-citation="entities:350:1" rel="noopener">PICC Property &amp; Casualty (2328 HK)</a> and <a href="https://www.smartkarma.com/entities/new-oriental-education-techn" target="_blank" data-smartkarma-citation="entities:32210:1" rel="noopener">New Oriental Education &amp; Techn (9901 HK)</a> are potential adds.</li>
<li>Estimated one-way turnover at the rebalance is 1.8% resulting in a one-way trade of HK$950m. Official capping will be based off the close of trading on 3 September.</li>
<li>There will be 1-2x ADV to buy on the adds and over 2x ADV to sell in <a href="https://www.smartkarma.com/entities/jd-logistics-inc" target="_blank" data-smartkarma-citation="entities:31500:1" rel="noopener">JD Logistics</a>. The impact on <a href="https://www.smartkarma.com/entities/sensetime-group-inc" target="_blank" data-smartkarma-citation="entities:34319:1" rel="noopener">SenseTime</a> is lower given the recent surge in volume.</li>
</ul>



SenseTime Group (20 HK) and JD Logistics (2618 HK) are potential deletions while PICC Property &amp; Casualty (2328 HK) and New Oriental Education &amp; Techn (9901 HK) are potential adds.
Estimated one-way turnover at the rebalance is 1.8% resulting in a one-way trade of HK$950m. Official capping will be based off the close of trading on 3 September.
There will be 1-2x ADV to buy on the adds and over 2x ADV to sell in JD Logistics. The impact on SenseTime is lower given the recent surge in volume.


HSCEI Index Rebalance Preview: Two Changes Likely in September

Head of Research, IPOs & Placements, Aequitas Research

Sumeet Singh

Head of Research, IPOs & Placements

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

SenseTime Group  / Equity Capital Markets

<ul>
<li>
<a href="https://www.smartkarma.com/entities/sensetime-group-inc" target="_blank" data-smartkarma-citation="entities:34319:1" rel="noopener">SenseTime Group (20 HK)</a>  aims to raise up to US$263m via selling around 4.5% stake.</li>
<li>Sensetime hasn’t had the best of times since listing, however, the shares have rebounded recently on generative AI buzz around the stock.</li>
<li>In this note, we will talk about the placement and run the deal through our ECM framework.</li>
</ul>



SenseTime Group (20 HK)  aims to raise up to US$263m via selling around 4.5% stake.
Sensetime hasn’t had the best of times since listing, however, the shares have rebounded recently on generative AI buzz around the stock.
In this note, we will talk about the placement and run the deal through our ECM framework.


Sensetime Placement - Seems Highly Opportunistic

China

SenseTime Group Inc. offers information technology services. The Company develops artificial intelligence software products, computer vision software products, and other products. SenseTime Group provides its services throughout China.

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SenseTime Group (20 HK)

HSI, HSCEI, HSTECH, HSIII Index Rebalance: US$8.1bn of Flows Post Capping (June 2025)

The June rebalance of the HSI, HSCEI, HSTECH and HSIII indices will use today's closing prices for capping. The round-trip trade across the four...

Brian Freitas

SenseTime: Shares Fall with Lock-Up Expiry; Further Downside with More Selling at the Next Expiry

SenseTime’s share price dropped more than 50% over the last one week with the expiry of lock-up period. Some shareholders have agreed to extend...

Shifara Samsudeen, FCMA, CGMA

SenseTime (20 HK): Lock-Up Expiry Will Bring BIG Passive Flow

SenseTime rallied post listing and has since dropped. Lock-up expiry in June could lead to short-term weakness but that will bring in large passive...

Brian Freitas

HSCEI Index Rebalance Preview: Two Changes Likely in September

We forecast two changes in September with a 1-way turnover of 1.8% resulting in a 1-way trade of HK$950m. There will be 1-2 days of ADV to trade on...

Brian Freitas

Sensetime Placement - Seems Highly Opportunistic

SenseTime Group (20 HK) aims to raise up to US$263m via selling around 4.5% stake. In this note, we run the deal through our ECM framework.

Sumeet Singh

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52-week Range

Market Cap (USDm)

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