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

Hygon Information Technology C / Index Rebalance

Hygon Information Technology C (688041 CH)

<ul>
<li>The 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">SSE STAR50 (STAR50 INDEX)</a> and STAR100 Index were announced post market close on Friday.</li>
<li>The coming week is a full one with capping cutoffs, review cutoffs, announcements and implementations apart from futures expiries.</li>
<li>With China open after Lunar New Year, the National Team is back pouring money into ETFs with the largest inflows to the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300</a>, <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500</a>, <a href="https://www.smartkarma.com/entities/chinext-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">ChiNext</a> and <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</a> indices.</li>
</ul>


The changes for the SSE STAR50 (STAR50 INDEX) and STAR100 Index were announced post market close on Friday.
The coming week is a full one with capping cutoffs, review cutoffs, announcements and implementations apart from futures expiries.
With China open after Lunar New Year, the National Team is back pouring money into ETFs with the largest inflows to the CSI 300, CSI 500, ChiNext and STAR50 indices.


Index Rebalance & ETF Flow Recap: HSCEI, HSCI, HSTECH, HSIII, STTF, Top50, Div+, FXI, FnGuide

<ul>
<li>
<a href="https://www.smartkarma.com/entities/emperador-inc-1be53f2f-f106-4f4f-b9be-5cf1341e76ae" target="_blank" data-smartkarma-citation="entities:36111:1" rel="noopener">Emperador (EMI SP)</a> fails the liquidity test and could be sold by the <a href="https://www.smartkarma.com/entities/spdr-straits-times-index-etf" target="_blank" data-smartkarma-citation="entities:35880:1" rel="noopener">SPDR Straits Times Index ETF (STTF SP)</a> in March.</li>
<li>
<a href="https://www.smartkarma.com/entities/emperador-inc" target="_blank" data-smartkarma-citation="entities:3485:1" rel="noopener">Emperador (EMP PM)</a> will also be sold by global index trackers in March and the stock should remain under pressure for the next few weeks.</li>
<li>
<a href="https://www.smartkarma.com/entities/frasers-centrepoint-trust" target="_blank" data-smartkarma-citation="entities:2870:1" rel="noopener">Frasers Centrepoint Trust (FCT SP)</a> is ranked ahead of <a href="https://www.smartkarma.com/entities/capitaland-ascott-trust" target="_blank" data-smartkarma-citation="entities:6560:1" rel="noopener">CapitaLand Ascott Trust (CLAS SP)</a> by 9% on full market cap and should be added to the ETF in March.</li>
</ul>



Emperador (EMI SP) fails the liquidity test and could be sold by the SPDR Straits Times Index ETF (STTF SP) in March.

Emperador (EMP PM) will also be sold by global index trackers in March and the stock should remain under pressure for the next few weeks.

Frasers Centrepoint Trust (FCT SP) is ranked ahead of CapitaLand Ascott Trust (CLAS SP) by 9% on full market cap and should be added to the ETF in March.


STTF Index Rebalance Preview: One High Probability Change in March

<ul>
<li>There were index review announcements for 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 INDEX</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">HSTECH</a>, HSCI, HSIII and some global indices last week.</li>
<li>There are a bunch of review cutoffs early in the coming week followed by announcements 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 STAR100 Index later in the week.</li>
<li>Another week of outflows for <a href="https://www.smartkarma.com/entities/tracker-fund-of-hong-kong-ltd" target="_blank" data-smartkarma-citation="entities:29257:1" rel="noopener">Tracker Fund of Hong Kong (2800 HK)</a> and <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index-etf" target="_blank" data-smartkarma-citation="entities:25:1" rel="noopener">Hang Seng H Share ETF (2828 HK)</a> as inflows to <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets-223f5da3-7054-4e4f-bc55-b7f0852c2581" target="_blank" data-smartkarma-citation="entities:31998:1" rel="noopener">iShares Emerging Markets ex-China (EMXC US)</a> continue.</li>
</ul>


There were index review announcements for the HSI, HSCEI INDEX, HSTECH, HSCI, HSIII and some global indices last week.
There are a bunch of review cutoffs early in the coming week followed by announcements for the STAR50 INDEX and STAR100 Index later in the week.
Another week of outflows for Tracker Fund of Hong Kong (2800 HK) and Hang Seng H Share ETF (2828 HK) as inflows to iShares Emerging Markets ex-China (EMXC US) continue.


Index Rebalance & ETF Flow Recap: HSI, Screen Holdings, GMRI, SEA EM, MVIS, SET50, JP Positioning

Budweiser Brewing Company APAC / Index Rebalance

<ul>
<li>The review period for a global index commenced last week and will run through this week as well.</li>
<li>The announcement of the changes for the LQ45 Index should be announced in the coming week and will be implemented at the close on 31 January.</li>
<li>Huge inflows to <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> trackers during the week while there was a big outflow from <a href="https://www.smartkarma.com/entities/tracker-fund-of-hong-kong-ltd" target="_blank" data-smartkarma-citation="entities:29257:1" rel="noopener">Tracker Fund of Hong Kong (2800 HK)</a>. </li>
</ul>


The review period for a global index commenced last week and will run through this week as well.
The announcement of the changes for the LQ45 Index should be announced in the coming week and will be implemented at the close on 31 January.
Huge inflows to CSI 300 Index trackers during the week while there was a big outflow from Tracker Fund of Hong Kong (2800 HK). 


Index Rebalance & ETF Flow Recap: ASX, KS200, KQ150, HSIII, STTF, L&F, Costa Group, Japan, Bud APAC

Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/emperador-inc-1be53f2f-f106-4f4f-b9be-5cf1341e76ae" target="_blank" data-smartkarma-citation="entities:36111:1" rel="noopener">Emperador (EMI SP)</a> currently fails the liquidity test and could be removed from the <a href="https://www.smartkarma.com/entities/spdr-straits-times-index-etf" target="_blank" data-smartkarma-citation="entities:35880:1" rel="noopener">SPDR Straits Times Index ETF (STTF SP)</a> in March.</li>
<li>
<a href="https://www.smartkarma.com/entities/frasers-centrepoint-trust" target="_blank" data-smartkarma-citation="entities:2870:1" rel="noopener">Frasers Centrepoint Trust (FCT SP)</a> is currently the highest ranked non-constituent and could be added to the ETF. FCT has a 6% higher market cap compared to <a href="https://www.smartkarma.com/entities/olam-group" target="_blank" data-smartkarma-citation="entities:765:1" rel="noopener">Olam (OLG SP)</a>.</li>
<li>We estimate trackers will need to buy 5 days of ADV in <a href="https://www.smartkarma.com/entities/frasers-centrepoint-trust" target="_blank" data-smartkarma-citation="entities:2870:1" rel="noopener">Frasers Centrepoint Trust (FCT SP)</a> and sell over 37 days of ADV in <a href="https://www.smartkarma.com/entities/emperador-inc-1be53f2f-f106-4f4f-b9be-5cf1341e76ae" target="_blank" data-smartkarma-citation="entities:36111:1" rel="noopener">Emperador (EMI SP)</a>. </li>
</ul>



Emperador (EMI SP) currently fails the liquidity test and could be removed from the SPDR Straits Times Index ETF (STTF SP) in March.

Frasers Centrepoint Trust (FCT SP) is currently the highest ranked non-constituent and could be added to the ETF. FCT has a 6% higher market cap compared to Olam (OLG SP).
We estimate trackers will need to buy 5 days of ADV in Frasers Centrepoint Trust (FCT SP) and sell over 37 days of ADV in Emperador (EMI SP). 


STTF Rebalance Preview: One Potential Change in March

Singapore

SPDR Straits Times Index ETF is an exchange-traded fund established in Singapore . The Fund's objective is to replicate as closely as possible, before expenses, the performance of the Straits Times Index. The Fund invests all, or substantially all, of its assets in Index Shares in substantially the same weightings as reflected in the Straits Times Index.SGX Trading Name: STI ETF 100

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SPDR Straits Times Index ETF (STTF SP)

Index Rebalance & ETF Flow Recap: HSCEI, HSCI, HSTECH, HSIII, STTF, Top50, Div+, FXI, FnGuide

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

STTF Index Rebalance Preview: One High Probability Change in March

Emperador could be deleted from the STTF at the March rebalance and replaced with Frasers Centrepoint Trust. Emperador (EMP PM) will also be...

Brian Freitas

Index Rebalance & ETF Flow Recap: HSI, Screen Holdings, GMRI, SEA EM, MVIS, SET50, JP Positioning

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

Index Rebalance & ETF Flow Recap: ASX, KS200, KQ150, HSIII, STTF, L&F, Costa Group, Japan, Bud APAC

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

STTF Rebalance Preview: One Potential Change in March

Emperador currently fails liquidity and could be deleted from the STTF in March. Frasers Centrepoint Trust (FCT) is a potential inclusion. There is...

Brian Freitas

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52-week Range

Market Cap (USDm)

P/E

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