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

Zijin Mining Group Co Ltd H / Index Rebalance

<ul>
<li>
<a href="https://www.smartkarma.com/entities/zijin-mining-group-co-ltd-h" target="_blank" data-smartkarma-citation="entities:6358:1" rel="noopener">Zijin Mining Group Co Ltd H (2899 HK)</a> will replace <a href="https://www.smartkarma.com/entities/xinyi-solar-holdings-ltd" target="_blank" data-smartkarma-citation="entities:318:1" rel="noopener">Xinyi Solar Holdings (968 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 on 7 June.</li>
<li>An increase in the FAF for <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> results in the stock avoiding deletion at the June rebalance.</li>
<li>Estimated one-way turnover at the rebalance is 2.9% resulting in a round-trip trade of HK$3.8bn with over 1x ADV to trade on the add and delete.</li>
</ul>



Zijin Mining Group Co Ltd H (2899 HK) will replace Xinyi Solar Holdings (968 HK) in the Hang Seng China Enterprises Index (HSCEI INDEX) after the close on 7 June.
An increase in the FAF for SenseTime Group (20 HK) results in the stock avoiding deletion at the June rebalance.
Estimated one-way turnover at the rebalance is 2.9% resulting in a round-trip trade of HK$3.8bn with over 1x ADV to trade on the add and delete.


HSCEI Index Rebalance: Zijin Mining In; Xinyi Solar Out; SenseTime 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 analyze the weekly Hong Kong Connect flows with our data engine for holding position as of May 17th.</li>
<li>The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.</li>
<li>We highlight flows for BOC, Sinopec, CNOOC, HSBC, Kuaishou Technology, Tencent.</li>
</ul>


We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of May 17th.
The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
We highlight flows for BOC, Sinopec, CNOOC, HSBC, Kuaishou Technology, Tencent.


Hong Kong Connect Flows (May 17th): BOC, Sinopec, CNOOC, HSBC, Kuaishou Technology, Tencent

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

<ul>
<li>The Hang Seng Tech Index is more widely-followed than many think, and it is reasonably concentrated, so outperformance and underperformance by big names means capping and re-capping.</li>
<li>This time, those flows are worth about 8% of the index in terms of one-way flows. Meituan, Xiaomi, JD.com, Tencent and Kuaishou Tech DOWN. Li Auto back up. </li>
<li>Those who have pre-positioned on the big buy have recently gotten hurt. There are some FAF changes which are less predictable and may be interesting.</li>
</ul>


The Hang Seng Tech Index is more widely-followed than many think, and it is reasonably concentrated, so outperformance and underperformance by big names means capping and re-capping.
This time, those flows are worth about 8% of the index in terms of one-way flows. Meituan, Xiaomi, JD.com, Tencent and Kuaishou Tech DOWN. Li Auto back up. 
Those who have pre-positioned on the big buy have recently gotten hurt. There are some FAF changes which are less predictable and may be interesting.


HSTECH June 2024 Rebal - No Changes But Big Capping Flows, As Expected; 8% US$1.6bn One-Way

Zijin Mining Group Co Ltd H / Event-Driven

<ul>
<li>The HSCEI is well-known and well-followed but sees less passive tracking than you might expect. Quiddity teammember Janaghan had expected up to two ADDs and two DELETEs.</li>
<li>We got one ADD and one DELETE instead as <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> was "saved" from deletion by a FFW/FAF increase. </li>
<li>Relatively smaller flows here at 3% one-way with the big flows on the name changes.</li>
</ul>


The HSCEI is well-known and well-followed but sees less passive tracking than you might expect. Quiddity teammember Janaghan had expected up to two ADDs and two DELETEs.
We got one ADD and one DELETE instead as SenseTime Group (20 HK) was "saved" from deletion by a FFW/FAF increase. 
Relatively smaller flows here at 3% one-way with the big flows on the name changes.


HSCEI June 2024 Rebal - Zijin Mining (2899) ADDed, Xinyi Solar (968) DELETEd

Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Pan-Asia Index Flows & Special Situations

<ul>
<li>The HSCEI serves as a benchmark to reflect the overall performance of the top 50 "Mainland China" securities listed in Hong Kong.</li>
<li>The index changes and indicative weights for the June 2024 index rebal event will be announced after market close on Friday 17th May 2024.</li>
<li>In this insight, we take a look at the potential index changes and our latest flow expectations.</li>
</ul>


The HSCEI serves as a benchmark to reflect the overall performance of the top 50 "Mainland China" securities listed in Hong Kong.
The index changes and indicative weights for the June 2024 index rebal event will be announced after market close on Friday 17th May 2024.
In this insight, we take a look at the potential index changes and our latest flow expectations.


Quiddity HSCEI Jun 24 Final Expectations: 2 Changes Likely; US$496mn One-Way Flow

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)

HSCEI Index Rebalance: Zijin Mining In; Xinyi Solar Out; SenseTime Survives (For Now)

Zijin Mining will replace Xinyi Glass in the HSCEI at the close on 7 June. Zijin Mining has jumped over the last few months but still trades...

Brian Freitas

Hong Kong Connect Flows (May 17th): BOC, Sinopec, CNOOC, HSBC, Kuaishou Technology, Tencent

We analyzed southbound Hong Kong connect flows in the past week and highlight flows for BOC, Sinopec, CNOOC, HSBC, Kuaishou Technology, Tencent.

Ke Yan, CFA, FRM

HSTECH June 2024 Rebal - No Changes But Big Capping Flows, As Expected; 8% US$1.6bn One-Way

Quiddity did not expect any name changes to the HSTECH index in June 2024 but we expected big flows because of significant capping impact, mostly...

Travis Lundy

HSCEI June 2024 Rebal - Zijin Mining (2899) ADDed, Xinyi Solar (968) DELETEd

The HSCEI Index sees one add and one delete. The ADD of Zijin was expected. Quiddity expected Xinyi Solar to be deleted, and Sensetime too, but it...

Travis Lundy

Quiddity HSCEI Jun 24 Final Expectations: 2 Changes Likely; US$496mn One-Way Flow

SenseTime Group (20 HK) and Xinyi Solar Holdings (968 HK) are Expected DELs while Zijin Mining Group Co Ltd H (2899 HK) and PICC Property &...

Janaghan Jeyakumar, CFA

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