Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Event-Driven

Korea Stock Exchange KOSPI 200 / Event-Driven

<ul>
<li>
As the year comes to its end, the trading calendar is impacted by two shortened weeks, with the Christmas holiday and New Year’s Day both falling midweek.</li>
<li>Holidays market trends can be affected by various non-market factors but it's always good to check the indexes probability of trend reversals, to avoid surprises.
</li>
<li>In this insight, we’ll take a quick look at the major Asia-Pacific market indices—a 'Christmas Carousel of Odds' for Asian markets, if you will.</li>
</ul>



As the year comes to its end, the trading calendar is impacted by two shortened weeks, with the Christmas holiday and New Year’s Day both falling midweek.
Holidays market trends can be affected by various non-market factors but it's always good to check the indexes probability of trend reversals, to avoid surprises.

In this insight, we’ll take a quick look at the major Asia-Pacific market indices—a 'Christmas Carousel of Odds' for Asian markets, if you will.


HSI, Nikkei 225, NIFTY 50, Kospi 200, ASX 200, CSI 300: Year-End Trends and Holiday Market Moves!

HK/China Equity Long-Short

Osbert Tang, CFA

Thematic (Sector/Industry)

<ul>
<li>CSRC's Market Value Management Guidelines will indirectly benefit the H-share stocks with their A-share counterparts with a P/B of below 1x.  </li>
<li>Chinese banks dominated the list with below-book A-shares. <a href="https://www.smartkarma.com/entities/china-everbright-bank-co-ltd" target="_blank" data-smartkarma-citation="entities:16221:1" rel="noopener">China Everbright Bank (6818 HK)</a>, <a href="https://www.smartkarma.com/entities/china-citic-bank-corp-ltd-ea6c25fd-4b20-45cb-a4a6-df7a60136f03" target="_blank" data-smartkarma-citation="entities:653:1" rel="noopener">China Citic Bank H (998 HK)</a>, and <a href="https://www.smartkarma.com/entities/industrial-and-commercial-bank-of-china-limited" target="_blank" data-smartkarma-citation="entities:1119:1" rel="noopener">ICBC (H) (1398 HK)</a> are the prime beneficiaries.</li>
<li>Infrastructure construction companies <a href="https://www.smartkarma.com/entities/china-railway-construction-corp-limited" target="_blank" data-smartkarma-citation="entities:263:1" rel="noopener">China Railway Cons Corp (1186 HK)</a>, <a href="https://www.smartkarma.com/entities/china-railway-group-ltd-h" target="_blank" data-smartkarma-citation="entities:264:1" rel="noopener">China Railway Group H (390 HK)</a>, and <a href="https://www.smartkarma.com/entities/china-communications-construction-co-ltd" target="_blank" data-smartkarma-citation="entities:265:1" rel="noopener">China Comm Cons (1800 HK)</a> are also well-positioned to gain.</li>
</ul>


CSRC's Market Value Management Guidelines will indirectly benefit the H-share stocks with their A-share counterparts with a P/B of below 1x.  
Chinese banks dominated the list with below-book A-shares. China Everbright Bank (6818 HK), China Citic Bank H (998 HK), and ICBC (H) (1398 HK) are the prime beneficiaries.
Infrastructure construction companies China Railway Cons Corp (1186 HK), China Railway Group H (390 HK), and China Comm Cons (1800 HK) are also well-positioned to gain.


China & HK Strategy: Names to Watch for Market Value Management

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

Sieyuan Electric Co Ltd A / Index Rebalance

<ul>
<li>There are 16 changes for the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a>, 50 changes for the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500 Index</a> and 100 changes for the CSI1000 Index that will be implemented on 13 December.</li>
<li>There are 257 unique names that are adds or deletes and the round-trip trade across all 3 indices is close to US$9bn.</li>
<li>Stocks with the largest inflows and impact have outperformed stocks with the largest outflows and impact over the last few weeks. That could continue for the next couple of weeks.</li>
</ul>


There are 16 changes for the CSI 300 Index, 50 changes for the CSI 500 Index and 100 changes for the CSI1000 Index that will be implemented on 13 December.
There are 257 unique names that are adds or deletes and the round-trip trade across all 3 indices is close to US$9bn.
Stocks with the largest inflows and impact have outperformed stocks with the largest outflows and impact over the last few weeks. That could continue for the next couple of weeks.


CSI300/CSI500/CSI1000 Index Rebalance: US$9bn Round-Trip Trade

Equity Derivatives and Volatility Specialist, Clifton Derivatives

John Ley

Equity Derivatives and Volatility Specialist

Clifton Derivatives

Independent derivative and volatility research firm focusing on events/catalysts, earnings, relative value and cross asset volatility strategies.

Equity Derivatives

<ul>
<li>We introduce a new section this month showing implied vol vs average absolute December price movement. A good way to screen for straddle candidates for the month ahead.</li>
<li>Implied vols came in hard in November with the US election and the FOMC in the rear-view mirror.</li>
<li>Price performance across markets especially strong in the final week of the month with SP500, Nifty and SPASX200 postive on the month ~ 70% of the time. </li>
</ul>


We introduce a new section this month showing implied vol vs average absolute December price movement. A good way to screen for straddle candidates for the month ahead.
Implied vols came in hard in November with the US election and the FOMC in the rear-view mirror.
Price performance across markets especially strong in the final week of the month with SP500, Nifty and SPASX200 postive on the month ~ 70% of the time. 


EQD | Asia December Vol Roadmap - The Big Exhale

<ul>
<li>There are 5 changes for the <a href="https://www.smartkarma.com/entities/shanghai-stock-exchange-sse-50-a-share-index" target="_blank" data-smartkarma-citation="entities:31073:1" rel="noopener">SSE50 Index (SSE50 INDEX)</a> and 18 changes for the SSE180 Index that will be implemented at the close on 13 December.</li>
<li>
<a href="https://www.smartkarma.com/entities/seres-group-co-ltd" target="_blank" data-smartkarma-citation="entities:29951:1" rel="noopener">Seres Group (601127 CH)</a> is an add to both indices, plus the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a>, and passive trackers will need to buy over US$900m of the stock.</li>
<li>The adds have outperformed the deletes with a lot of the outperformance coming in the last couple of months. Trim positions in the expected adds/deletes and build positions in surprises.</li>
</ul>


There are 5 changes for the SSE50 Index (SSE50 INDEX) and 18 changes for the SSE180 Index that will be implemented at the close on 13 December.

Seres Group (601127 CH) is an add to both indices, plus the CSI 300 Index, and passive trackers will need to buy over US$900m of the stock.
The adds have outperformed the deletes with a lot of the outperformance coming in the last couple of months. Trim positions in the expected adds/deletes and build positions in surprises.


SSE50/SSE180 Index Rebalance: Couple of Surprises; Seres Group's Multiple Inclusions; US$3.2bn Trade

China

The CSI 300 Index is a free-float weighted index that consists of 300 A-share stocks listed on the Shanghai or Shenzhen Stock Exchanges. Index has a base level of 1000 on 12/31/2004. * Due to our agreement with CSI, shares in the index is restricted, please visit SSIS<go> for more information and access. This ticker holds prices fed from Shenzhen Stock Exchange.

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

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

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

HSI, Nikkei 225, NIFTY 50, Kospi 200, ASX 200, CSI 300: Year-End Trends and Holiday Market Moves!

Trading calendar has 2 upcoming shortened weeks, this insight is offer analysis of the major Asia/Pacific indices to highlight potential sudden...

Nico Rosti

China & HK Strategy: Names to Watch for Market Value Management

SASAC issued "Several opinions on improving and strengthening the market value management of listed companies controlled by central enterprises"...

Osbert Tang, CFA

CSI300/CSI500/CSI1000 Index Rebalance: US$9bn Round-Trip Trade

The CSI indices (and a bunch of others) rebalance at the close today - it's going to be a big volume day in China. The CSI300 adds have...

Brian Freitas

EQD | Asia December Vol Roadmap - The Big Exhale

New section introduced to compare implied volatility with average price movement in December, useful for identifying straddle candidates. Implied...

John Ley

SSE50/SSE180 Index Rebalance: Couple of Surprises; Seres Group's Multiple Inclusions; US$3.2bn Trade

5/18 changes for the SSE50/180 in Dec. Seres Group is an add to both indices and the CSI300, so plenty to buy there. Couple of other surprises. The...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

HSI, Nikkei 225, NIFTY 50, Kospi 200, ASX 200, CSI 300: Year-End Trends and Holiday Market Moves!

​Trading calendar has 2 upcoming shortened weeks, this insight is offer analysis of the major Asia/Pacific indices to highlight potential sudden...

Nico Rosti

China & HK Strategy: Names to Watch for Market Value Management

SASAC issued "Several opinions on improving and strengthening the market value management of listed companies controlled by central enterprises"...

Osbert Tang, CFA

CSI300/CSI500/CSI1000 Index Rebalance: US$9bn Round-Trip Trade

The CSI indices (and a bunch of others) rebalance at the close today - it's going to be a big volume day in China. The CSI300 adds have...

Brian Freitas

EQD | Asia December Vol Roadmap - The Big Exhale

​New section introduced to compare implied volatility with average price movement in December, useful for identifying straddle candidates. Implied...

John Ley

SSE50/SSE180 Index Rebalance: Couple of Surprises; Seres Group's Multiple Inclusions; US$3.2bn Trade

5/18 changes for the SSE50/180 in Dec. Seres Group is an add to both indices and the CSI300, so plenty to buy there. Couple of other surprises. The...

Brian Freitas

Trading calendar has 2 upcoming shortened weeks, this insight is offer analysis of the major Asia/Pacific indices to highlight potential sudden...

New section introduced to compare implied volatility with average price movement in December, useful for identifying straddle candidates. Implied...