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

<ul>
<li>There are 4 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 June.</li>
<li>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> deletes were in line with forecasts, and the index committee has used some discretion while picking the index inclusions.</li>
<li>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</a> adds have outperformed the deletes over the last few months and there could be a further move higher in the 'surprise' adds to the index.</li>
</ul>


There are 4 changes for the SSE50 Index (SSE50 INDEX) and 18 changes for the SSE180 Index that will be implemented at the close on 13 June.
The SSE50 Index (SSE50 INDEX) deletes were in line with forecasts, and the index committee has used some discretion while picking the index inclusions.
The SSE50 Index adds have outperformed the deletes over the last few months and there could be a further move higher in the 'surprise' adds to the index.


SSE50/SSE180 Index Rebalance: Some Surprises Among the Adds; Deletes as Expected

Dawning Information Industry C / Index Rebalance

<ul>
<li>With the review period complete, there are 2 non-constituents in direct inclusion zone and 4 current constituents in direct deletion zone.</li>
<li>4 changes result in a one-way turnover of 5.7%, leading to a round-trip trade of CNY 21.8bn (US$3bn). Index arb balances will increase the impact on the stocks.</li>
<li>After drifting in a range, the forecast adds have outperformed the forecast deletes over the last month. There could be further outperformance as we near the announcement date.</li>
</ul>


With the review period complete, there are 2 non-constituents in direct inclusion zone and 4 current constituents in direct deletion zone.
4 changes result in a one-way turnover of 5.7%, leading to a round-trip trade of CNY 21.8bn (US$3bn). Index arb balances will increase the impact on the stocks.
After drifting in a range, the forecast adds have outperformed the forecast deletes over the last month. There could be further outperformance as we near the announcement date.


SSE50 Index Rebalance Preview: 4 Potential Changes in June

Chief Executive Officer, Emmer Capital Partners Limited

Manishi Raychaudhuri

Chief Executive Officer

Emmer Capital Partners Limited

Emmer Capital Partners is an Asia Pacific focused financial advisory firm engaging in strategic financial asset allocation advice, bespoke thematic research and advising early-stage companies and connecting them to investors. Emmer Capital provides macro-economic and multi-asset investment strategy inputs to institutions, family offices, private wealth managers, private equity, and corporate boards directly and through independent research platforms. Emmer Capital also advises a wide range of startup companies on fund raising and business strategy. Emmer Capital's active engagement with the print and electronic media reaches a broad spectrum of investors across the globe.

Cross Asset Strategy

<ul>
<li>We use quantamental screens to identify overvalued stocks in Asia, with weak fundamentals – consistently low earnings growth, forecast return ratios less than cost of capital, and over-leveraged balance sheets.</li>
<li>We screen Asia-listed stocks above US$1bn market cap on declining EPS CAGR over next 2 years, less than 10% ROE, higher than 1x PEG and P/BV, more than 80% D/E.</li>
<li>We identify 30 stocks: 11 from HK/China, 9 from Japan, 4 from Taiwan, 3 from India, and one each from Korea, Malaysia and Singapore. Financials, property, industrials dominate the list.</li>
</ul>


We use quantamental screens to identify overvalued stocks in Asia, with weak fundamentals – consistently low earnings growth, forecast return ratios less than cost of capital, and over-leveraged balance sheets.
We screen Asia-listed stocks above US$1bn market cap on declining EPS CAGR over next 2 years, less than 10% ROE, higher than 1x PEG and P/BV, more than 80% D/E.
We identify 30 stocks: 11 from HK/China, 9 from Japan, 4 from Taiwan, 3 from India, and one each from Korea, Malaysia and Singapore. Financials, property, industrials dominate the list.


Asian Equities: The Overvalued, Low Growth, Over-Leveraged Stocks

Articles from Caixin Global, Caixin Global

Caixin Global

Articles from Caixin Global

Caixin is a media group dedicated to providing financial and business news through periodicals, online content, mobile apps, conferences, books and TV/video programs. Caixin aims to blaze a trail that helps traditional media prosper in the new media age through integrated multimedia platforms.

News from Caixin

<ul><li>Canals / In Depth: Canal fever grips China amid slowing growth</li><li>Hong Kong /In Depth: Hong Kong IPO market stages comeback after dismal 2023</li><li>BYD /: Brazil halts work on BYD factory over workers’ living conditions</li></ul>

Canals / In Depth: Canal fever grips China amid slowing growthHong Kong /In Depth: Hong Kong IPO market stages comeback after dismal 2023BYD /: Brazil halts work on BYD factory over workers’ living conditions

CX Daily: Canal Fever Grips China Amid Slowing Growth 

Thematic (Sector/Industry)

<ul><li>China’s solar manufacturers have seen their bottom line severely hit by a deepening industry glut that has triggered a brutal price war.</li><li>Several companies published first-half results on Friday, showing worsening profitability as the industry grapples with plunging prices.</li><li><strong>Longi Green Energy Technology Co. Ltd.</strong>, China’s largest solar wafer producer, reported a net loss of 5.2 billion yuan ($732 million) for the first six months, a sharp reversal from the 9.2 billion-yuan net profit recorded a year earlier.</li></ul>

China’s solar manufacturers have seen their bottom line severely hit by a deepening industry glut that has triggered a brutal price war.Several companies published first-half results on Friday, showing worsening profitability as the industry grapples with plunging prices.Longi Green Energy Technology Co. Ltd., China’s largest solar wafer producer, reported a net loss of 5.2 billion yuan ($732 million) for the first six months, a sharp reversal from the 9.2 billion-yuan net profit recorded a year earlier.

Chinese Solar Firms Bleed Losses Amid Worsening Glut and Falling Prices 

China

Tongwei Co., Ltd. produces and markets aquatic and animal feeds. The Company also sells animal medicines.

Price Gauge
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Tongwei Co Ltd A (600438 CH)

SSE50/SSE180 Index Rebalance: Some Surprises Among the Adds; Deletes as Expected

There are 4 changes for the SSE50 and 18 for the SSE180. There are a couple of surprise adds for the SSE50. Basket performance has been consistent...

Brian Freitas

SSE50 Index Rebalance Preview: 4 Potential Changes in June

There could be up to 4 changes for the SSE50 in June. Estimated 1-way turnover is 5.7% leading to a round-trip trade of US$3bn. The forecast adds...

Brian Freitas

Asian Equities: The Overvalued, Low Growth, Over-Leveraged Stocks

Quantamental screens reveal overvalued Asian stocks with low earnings growth, low return ratios, and high leverage. 30 stocks identified across...

Manishi Raychaudhuri

CX Daily: Canal Fever Grips China Amid Slowing Growth

Canals / In Depth: Canal fever grips China amid slowing growth China is in the grip of canal fever. As the government steps up its long-term...

Caixin Global

Chinese Solar Firms Bleed Losses Amid Worsening Glut and Falling Prices

China’s solar manufacturers have seen their bottom line severely hit by a deepening industry glut that has triggered a brutal price war. Several...

Caixin Global

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

SSE50/SSE180 Index Rebalance: Some Surprises Among the Adds; Deletes as Expected

There are 4 changes for the SSE50 and 18 for the SSE180. There are a couple of surprise adds for the SSE50. Basket performance has been consistent...

Brian Freitas

SSE50 Index Rebalance Preview: 4 Potential Changes in June

There could be up to 4 changes for the SSE50 in June. Estimated 1-way turnover is 5.7% leading to a round-trip trade of US$3bn. The forecast adds...

Brian Freitas

Asian Equities: The Overvalued, Low Growth, Over-Leveraged Stocks

​Quantamental screens reveal overvalued Asian stocks with low earnings growth, low return ratios, and high leverage. 30 stocks identified across...

Manishi Raychaudhuri

CX Daily: Canal Fever Grips China Amid Slowing Growth

Canals / In Depth: Canal fever grips China amid slowing growth China is in the grip of canal fever. As the government steps up its long-term...

Caixin Global

Chinese Solar Firms Bleed Losses Amid Worsening Glut and Falling Prices

China’s solar manufacturers have seen their bottom line severely hit by a deepening industry glut that has triggered a brutal price war. Several...

Caixin Global

Quantamental screens reveal overvalued Asian stocks with low earnings growth, low return ratios, and high leverage. 30 stocks identified across...