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

Shanghai Allist Pharmaceuticals / Index Rebalance

Shanghai Allist Pharmaceuticals (688578 CH)

<ul>
<li>With the review period complete, we forecast 3 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 8 changes for the STAR100 Index. There are a few migrations between the indices.</li>
<li>We estimate turnover of 3.8% 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 9.9% for the STAR100 Index. The estimated net round-trip trade is CNY 13bn (US$1.8bn).</li>
<li>The forecast adds to 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> have underperformed the forecast deletes. For the STAR100 Index outright changes, the forecast adds have outperformed the forecast deletes by a lot.</li>
</ul>


With the review period complete, we forecast 3 changes for the SSE STAR50 (STAR50 INDEX) and 8 changes for the STAR100 Index. There are a few migrations between the indices.
We estimate turnover of 3.8% for the SSE STAR50 (STAR50 INDEX) and 9.9% for the STAR100 Index. The estimated net round-trip trade is CNY 13bn (US$1.8bn).
The forecast adds to the STAR50 INDEX have underperformed the forecast deletes. For the STAR100 Index outright changes, the forecast adds have outperformed the forecast deletes by a lot.


STAR50/STAR100 Index Rebalance Preview: One Is Meh; The Other Is👍

Xiamen Amoytop Biotech Co Ltd / Index Rebalance

Xiamen Amoytop Biotech Co Ltd (688278 CH)

<ul>
<li>95% of the way through the review period, there could be 3 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 8 changes for the STAR100 Index.</li>
<li>We estimate turnover of 4.1% 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 9.3% for the STAR100 Index. The net round-trip trade is CNY 14.1bn (US$1.9bn).</li>
<li>The forecast adds to 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> have outperformed the forecast deletes with steady outperformance over the last 3 months; the performance for the STAR100 Index is a lot better.</li>
</ul>


95% of the way through the review period, there could be 3 changes for the SSE STAR50 (STAR50 INDEX) and 8 changes for the STAR100 Index.
We estimate turnover of 4.1% for the STAR50 INDEX and 9.3% for the STAR100 Index. The net round-trip trade is CNY 14.1bn (US$1.9bn).
The forecast adds to the STAR50 INDEX have outperformed the forecast deletes with steady outperformance over the last 3 months; the performance for the STAR100 Index is a lot better.


STAR50/STAR100 Index Rebalance Preview: Migrations & Outright Changes Lead to Outperformance

Hainan Jinpan Smart Technology / Index Rebalance

Hainan Jinpan Smart Technology (688676 CH)

<ul>
<li>As forecast, there are no 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> in December while there are 4 changes for the STAR100 Index.</li>
<li>There will be big outflows for <a href="https://www.smartkarma.com/entities/semiconductor-manufacturing-in" target="_blank" data-smartkarma-citation="entities:31062:1" rel="noopener">Semiconductor Manufacturing International Corporation (SMIC) (688981 CH)</a> due to <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> capping. There will be selling from other index trackers too.</li>
<li>
<a href="https://www.smartkarma.com/entities/hainan-jinpan-smart-technology" target="_blank" data-smartkarma-citation="entities:40864:1" rel="noopener">Hainan Jinpan Smart Technology (688676 CH)</a> had been ignored by the index committee at the September rebalance, so this inclusion in the STAR100 Index could come as a surprise.</li>
</ul>


As forecast, there are no changes for the SSE STAR50 (STAR50 INDEX) in December while there are 4 changes for the STAR100 Index.
There will be big outflows for Semiconductor Manufacturing International Corporation (SMIC) (688981 CH) due to SSE STAR50 (STAR50 INDEX) capping. There will be selling from other index trackers too.

Hainan Jinpan Smart Technology (688676 CH) had been ignored by the index committee at the September rebalance, so this inclusion in the STAR100 Index could come as a surprise.


STAR50/STAR100 Index Rebalance: No Changes for STAR50; 4 Changes for STAR100

Chengdu Sino Microelectronics / Index Rebalance

Chengdu Sino Microelectronics (688709 CH)

<ul>
<li>There could be 3 constituent changes for the STAR Chip Index at the December rebalance. There will also be a couple of capping changes.</li>
<li>Estimated one-way turnover is 5.05% resulting in a one-way trade of CNY 1.6bn (US$225m). Passives need to trade between 0.6-1x ADV in the potential changes.</li>
<li>The forecast adds have underperformed the forecast deletes over the last month but there has been a marked improvement in performance in the last week. Watch out for more.</li>
</ul>


There could be 3 constituent changes for the STAR Chip Index at the December rebalance. There will also be a couple of capping changes.
Estimated one-way turnover is 5.05% resulting in a one-way trade of CNY 1.6bn (US$225m). Passives need to trade between 0.6-1x ADV in the potential changes.
The forecast adds have underperformed the forecast deletes over the last month but there has been a marked improvement in performance in the last week. Watch out for more.


STAR Chip Index Rebalance Preview: 3 Potential Changes in December; US$450m Round-Trip Trade

<ul>
<li>The big price moves for China stocks in the last month have resulted in quite a few changes to the potential index inclusions and deletions in December.</li>
<li>We now forecast no 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 5 changes for the STAR100 Index in December.</li>
<li>There will be big selling in <a href="https://www.smartkarma.com/entities/semiconductor-manufacturing-in" target="_blank" data-smartkarma-citation="entities:31062:1" rel="noopener">Semiconductor Manufacturing International Corporation (SMIC) (688981 CH)</a> due to capping and that results in buying in the other <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> constituents.</li>
</ul>


The big price moves for China stocks in the last month have resulted in quite a few changes to the potential index inclusions and deletions in December.
We now forecast no changes for the SSE STAR50 (STAR50 INDEX) and 5 changes for the STAR100 Index in December.
There will be big selling in Semiconductor Manufacturing International Corporation (SMIC) (688981 CH) due to capping and that results in buying in the other SSE STAR50 (STAR50 INDEX) constituents.


STAR50/STAR100 Index Rebalance Preview: No Changes for STAR50; 5 for STAR100; US$2bn Trade

China

SSE Science and Technology Innovation Board 50 Index consists of 50 securities with largest market capitalization and good liquidity listed on SSE Science and Technology Innovation Board. The index aims to reflect the overall performance of leading technological innovation-based enterprises’ securities.

SSE STAR50 (STAR50 INDEX)

STAR50/STAR100 Index Rebalance Preview: One Is Meh; The Other Is👍

Over the last 3 weeks, the outright adds to the STAR50 and STAR100 indices have underperformed the outright deletes by 6.36% in both cases....

Brian Freitas

STAR50/STAR100 Index Rebalance Preview: Migrations & Outright Changes Lead to Outperformance

There could be 16 changes across the STAR50/100 in March with passives trading nearly US$2bn round-trip. The forecast adds have outperformed the...

Brian Freitas

STAR50/STAR100 Index Rebalance: No Changes for STAR50; 4 Changes for STAR100

As forecast, there are no changes for STAR50 and 4 for STAR100. Big selling in SMIC due to capping. Hainan Jinpan's inclusion could surprise the...

Brian Freitas

STAR Chip Index Rebalance Preview: 3 Potential Changes in December; US$450m Round-Trip Trade

There could be 3 constituent changes in December. Estimated one-way turnover is 5.05% resulting in a one-way trade of CNY1.6bn. Passives need to...

Brian Freitas

STAR50/STAR100 Index Rebalance Preview: No Changes for STAR50; 5 for STAR100; US$2bn Trade

We forecast no changes for the STAR50 and 5 changes for the STAR100. Capping will result in passives selling SMIC. The forecast adds to the STAR100...

Brian Freitas