Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Equity Derivatives

<ul>
<li>A quick synoptic look at the tactical models for some key indices, stocks, commodities and bonds we cover, for the week June 30 - July 4.</li>
<li>US Markets will be closed for Independence Day celebrations on July 4th.</li>
<li>Most stocks and global indices appear to be overbought or nearly overbought. 10-year US Treasuries Futures are also overbought. Commodities like Gold and Crude Oil are down. </li>
</ul>


A quick synoptic look at the tactical models for some key indices, stocks, commodities and bonds we cover, for the week June 30 - July 4.
US Markets will be closed for Independence Day celebrations on July 4th.
Most stocks and global indices appear to be overbought or nearly overbought. 10-year US Treasuries Futures are also overbought. Commodities like Gold and Crude Oil are down. 


Global Markets Tactical Outlook: Week of June 30 – July 4

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

Event-Driven

Hygon Information Technology C / Event-Driven

<ul>
<li>On 26 May, <a href="https://www.smartkarma.com/entities/hygon-information-technology-c" target="_blank" data-smartkarma-citation="entities:36366:1" rel="noopener">Hygon Information Technology (688041 CH)</a> and <a href="https://www.smartkarma.com/entities/dawning-information-industry-c" target="_blank" data-smartkarma-citation="entities:25380:1" rel="noopener">Dawning Information Industry (603019 CH)</a> announced a merger in a sign of consolidation in China's chipmaking industry.</li>
<li>For each share of <a href="https://www.smartkarma.com/entities/dawning-information-industry-c" target="_blank" data-smartkarma-citation="entities:25380:1" rel="noopener">Dawning</a> held, shareholders will receive 0.5525 shares of <a href="https://www.smartkarma.com/entities/hygon-information-technology-c" target="_blank" data-smartkarma-citation="entities:36366:1" rel="noopener">Hygon</a>. With uncertainty on the timeline for merger completion, <a href="https://www.smartkarma.com/entities/dawning-information-industry-c" target="_blank" data-smartkarma-citation="entities:25380:1" rel="noopener">Dawning</a> is trading at a 10% discount.</li>
<li>On completion of the merger, passive trackers will need to buy over US$1.1bn of <a href="https://www.smartkarma.com/entities/hygon-information-technology-c" target="_blank" data-smartkarma-citation="entities:36366:1" rel="noopener">Hygon Information Technology C (688041 CH)</a> with nearly of that from local index trackers.</li>
</ul>


On 26 May, Hygon Information Technology (688041 CH) and Dawning Information Industry (603019 CH) announced a merger in a sign of consolidation in China's chipmaking industry.
For each share of Dawning held, shareholders will receive 0.5525 shares of Hygon. With uncertainty on the timeline for merger completion, Dawning is trading at a 10% discount.
On completion of the merger, passive trackers will need to buy over US$1.1bn of Hygon Information Technology C (688041 CH) with nearly of that from local index trackers.


Hygon/Sugon Merger: BIG Index Flows on Completion

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.

<ul>
<li>Most major indices extended their April rally through May, but seasonal patterns suggest caution from here.</li>
<li>Implied volatility declined across most markets, but remains above historical medians in several key regions.</li>
<li>Vol premium analysis highlights a few standouts where short vol has historically outperformed.</li>
</ul>


Most major indices extended their April rally through May, but seasonal patterns suggest caution from here.
Implied volatility declined across most markets, but remains above historical medians in several key regions.
Vol premium analysis highlights a few standouts where short vol has historically outperformed.


Global Macro Outlook (June): From Rally to Reversal? Macro Trends Shift as June Unfolds

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 analysed the earning revision of component stocks of CSI 300 in the past month.</li>
<li>We tabulated stocks with the top impact on index's EPS, stocks' EPS revision, and revenue revision.</li>
<li>We highlighted EPS revision on Cosco Shipping, Longi Green, Tongwei, China Railway, Trina Solar, Xinjiang Daqo, TCL Zhonghuan, Jiangsu Eastern Shenghong.</li>
</ul>


We analysed the earning revision of component stocks of CSI 300 in the past month.
We tabulated stocks with the top impact on index's EPS, stocks' EPS revision, and revenue revision.
We highlighted EPS revision on Cosco Shipping, Longi Green, Tongwei, China Railway, Trina Solar, Xinjiang Daqo, TCL Zhonghuan, Jiangsu Eastern Shenghong.


CSI 300 Earning Revision Analysis (May): Cosco Shipping, Longi Green, Tongwei, China Railway

Index Rebalance

Shanghai Rural Commercial Bank / Index Rebalance

<ul>
<li>There are 7 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 CSI 500 Index and 100 changes for the CSI1000 Index that will be implemented on 13 June.</li>
<li>There are 240 unique names that are adds or deletes and the round-trip trade across all 3 indices is close to US$12bn.</li>
<li>The adds have outperformed the deletes 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> and the CSI 1000 Index but underperformed 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>.</li>
</ul>


There are 7 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 June.
There are 240 unique names that are adds or deletes and the round-trip trade across all 3 indices is close to US$12bn.
The adds have outperformed the deletes for the CSI 300 Index and the CSI 1000 Index but underperformed for the CSI 500 Index.


CSI300/CSI500/CSI1000 Index Rebalance: Changes Lead to US$12bn 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)

Global Markets Tactical Outlook: Week of June 30 – July 4

Many Asian/Pacific indices and stocks are overbought, US stocks are not yet overbought (apart from NVDA), Gold and Crude oil are down, 10-Year US...

Nico Rosti

Hygon/Sugon Merger: BIG Index Flows on Completion

Hygon and Dawning have announced an all-stock merger. Uncertainty over the timeline has Dawning trading at 10% discount to the merger ratio. There...

Brian Freitas

Global Macro Outlook (June): From Rally to Reversal? Macro Trends Shift as June Unfolds

Major indices continued their rally in May, but caution is advised due to seasonal patterns. Implied volatility has decreased but remains high in...

John Ley

CSI 300 Earning Revision Analysis (May): Cosco Shipping, Longi Green, Tongwei, China Railway

We analyzed CSI 300's consensus for May 2025 and highlighted changes of EPS in Cosco Shipping (601919 CH), Longi Green (601012 CH), Tongwei (600438...

Ke Yan, CFA, FRM

CSI300/CSI500/CSI1000 Index Rebalance: Changes Lead to US$12bn Trade

The 314 changes to the CSI300/500/1000 indices lead to 240 unique names. The round-trip trade across all three indices is around US$12bn. Some...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Global Markets Tactical Outlook: Week of June 30 – July 4

Many Asian/Pacific indices and stocks are overbought, US stocks are not yet overbought (apart from NVDA), Gold and Crude oil are down, 10-Year US...

Nico Rosti

Hygon/Sugon Merger: BIG Index Flows on Completion

Hygon and Dawning have announced an all-stock merger. Uncertainty over the timeline has Dawning trading at 10% discount to the merger ratio. There...

Brian Freitas

Global Macro Outlook (June): From Rally to Reversal? Macro Trends Shift as June Unfolds

​Major indices continued their rally in May, but caution is advised due to seasonal patterns. Implied volatility has decreased but remains high in...

John Ley

CSI 300 Earning Revision Analysis (May): Cosco Shipping, Longi Green, Tongwei, China Railway

We analyzed CSI 300's consensus for May 2025 and highlighted changes of EPS in Cosco Shipping (601919 CH), Longi Green (601012 CH), Tongwei (600438...

Ke Yan, CFA, FRM

CSI300/CSI500/CSI1000 Index Rebalance: Changes Lead to US$12bn Trade

The 314 changes to the CSI300/500/1000 indices lead to 240 unique names. The round-trip trade across all three indices is around US$12bn. Some...

Brian Freitas

Major indices continued their rally in May, but caution is advised due to seasonal patterns. Implied volatility has decreased but remains high in...