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

<ul>
<li>CSRC and SFC have approved the inclusion of eligible ETFs in Stock Connect and trading of the ETFs under Stock Connect would begin from 4 July.</li>
<li>There are 4 ETFs included in Southbound Stock Connect, while there are 83 ETFs that have been included in Northbound Stock Connect.</li>
<li>Under Stock Connect, only secondary trading is allowed in the ETFs with no creations or redemptions permitted. This will have implications for short-term and long-term repo on the HSI/HSCEI/HSTECH indices.</li>
</ul>


CSRC and SFC have approved the inclusion of eligible ETFs in Stock Connect and trading of the ETFs under Stock Connect would begin from 4 July.
There are 4 ETFs included in Southbound Stock Connect, while there are 83 ETFs that have been included in Northbound Stock Connect.
Under Stock Connect, only secondary trading is allowed in the ETFs with no creations or redemptions permitted. This will have implications for short-term and long-term repo on the HSI/HSCEI/HSTECH indices.


ETFs in Stock Connect: List Announced; Effective 4 July

<ul>
<li>On 27 May, the SFC and CSRC announced that they had agreed in principle to the inclusion of Exchange Traded Funds by mainland and Hong Kong exchanges in Stock Connect.</li>
<li>We currently see 6 ETF being eligible for inclusion in Southbound Connect and another couple that could be included at a subsequent review.</li>
<li>Increased mainland participation in the ETF market could lead to sustained premium/discount on the ETFs and this will be transmitted to index futures and affect pricing of short-term/long-term repo.</li>
</ul>


On 27 May, the SFC and CSRC announced that they had agreed in principle to the inclusion of Exchange Traded Funds by mainland and Hong Kong exchanges in Stock Connect.
We currently see 6 ETF being eligible for inclusion in Southbound Connect and another couple that could be included at a subsequent review.
Increased mainland participation in the ETF market could lead to sustained premium/discount on the ETFs and this will be transmitted to index futures and affect pricing of short-term/long-term repo.


ETFs in Stock Connect: Criteria & Potential Southbound Inclusions

Quantitative Analysis

<div><p>The Asia Short Interest weekly looks at moves in market wide short interest and highlights movements in stock specific short interest across Hong Kong, Japan, Korea and Taiwan using the last available data published by the relevant authorities.</p></div><div><p>There was no report from the SFC this week since Friday was a holiday. The report should be published on Wednesday when markets reopen. For the week from 29 March - 1 April, the highest shorts in notional terms were on <a href="https://www.smartkarma.com/entities/tencent-holdings-ltd" target="_blank" data-smartkarma-citation="entities:26:1" rel="noopener">Tencent Holdings (700 HK)</a>, <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 Ltd (2800 HK)</a>, <a href="https://www.smartkarma.com/entities/ping-an-insurance-grp-co-of-china-ltd" target="_blank" data-smartkarma-citation="entities:12880:1" rel="noopener">Ping An Insurance (H) (2318 HK)</a>, <a href="https://www.smartkarma.com/entities/meituan-dianping" target="_blank" data-smartkarma-citation="entities:26970:1" rel="noopener">Meituan (3690 HK)</a> and <a href="https://www.smartkarma.com/entities/baidu-inc-a55ca720-5968-48f0-8194-ac94390d065c" target="_blank" data-smartkarma-citation="entities:32212:1" rel="noopener">Baidu (9888 HK)</a>. </p></div><div><p>In Japan, stocks that saw the most shorts were <a href="https://www.smartkarma.com/entities/base-inc" target="_blank" data-smartkarma-citation="entities:28353:1" rel="noopener">BASE Inc (4477 JP)</a>, <a href="https://www.smartkarma.com/entities/toshiba-corp" target="_blank" data-smartkarma-citation="entities:637:1" rel="noopener">Toshiba Corp (6502 JP)</a>, <a href="https://www.smartkarma.com/entities/gmo-payment-gateway-inc" target="_blank" data-smartkarma-citation="entities:1492:1" rel="noopener">GMO Payment Gateway (3769 JP)</a>, <a href="https://www.smartkarma.com/entities/freee-kk" target="_blank" data-smartkarma-citation="entities:28424:1" rel="noopener">freee (4478 JP)</a> and <a href="https://www.smartkarma.com/entities/sanken-electric-co-ltd" target="_blank" data-smartkarma-citation="entities:6073:1" rel="noopener">Sanken Electric (6707 JP)</a> while shorts decreased on <a href="https://www.smartkarma.com/entities/eneos-holdings-inc" target="_blank" data-smartkarma-citation="entities:638:1" rel="noopener">ENEOS Holdings (5020 JP)</a>, <a href="https://www.smartkarma.com/entities/japan-airport-terminal-co" target="_blank" data-smartkarma-citation="entities:18034:1" rel="noopener">Japan Airport Terminal Co (9706 JP)</a>, <a href="https://www.smartkarma.com/entities/mitsubishi-ufj-lease-finance" target="_blank" data-smartkarma-citation="entities:1467:1" rel="noopener">Mitsubishi UFJ Lease &amp; Finance (8593 JP)</a>, <a href="https://www.smartkarma.com/entities/change-inc" target="_blank" data-smartkarma-citation="entities:27414:1" rel="noopener">Change Inc (3962 JP)</a> and <a href="https://www.smartkarma.com/entities/benext-group" target="_blank" data-smartkarma-citation="entities:17685:1" rel="noopener">BeNEXT Group (2154 JP)</a>. Shorts increased in the Information Technology and Indsutrials sectors, and decreased in the the Energy sector.</p></div><div><p>In Korea, short increased on <a href="https://www.smartkarma.com/entities/samsung-electronics-co-ltd" target="_blank" data-smartkarma-citation="entities:191:1" rel="noopener">Samsung Electronics (005930 KS)</a>, <a href="https://www.smartkarma.com/entities/sk-hynix-inc" target="_blank" data-smartkarma-citation="entities:16955:1" rel="noopener">SK Hynix (000660 KS)</a>, <a href="https://www.smartkarma.com/entities/naver-corp" target="_blank" data-smartkarma-citation="entities:16029:1" rel="noopener">Naver Corp (035420 KS)</a> and <a href="https://www.smartkarma.com/entities/hyundai-motor-co" target="_blank" data-smartkarma-citation="entities:155:1" rel="noopener">Hyundai Motor Co (005380 KS)</a> while shorts decreased on <a href="https://www.smartkarma.com/entities/celltrion-inc" target="_blank" data-smartkarma-citation="entities:991:1" rel="noopener">Celltrion Inc (068270 KS)</a>, <a href="https://www.smartkarma.com/entities/samsung-biologics-co-ltd" target="_blank" data-smartkarma-citation="entities:22932:1" rel="noopener">Samsung Biologics Co., (207940 KS)</a>, <a href="https://www.smartkarma.com/entities/netmarble-corporation" target="_blank" data-smartkarma-citation="entities:22839:1" rel="noopener">Netmarble Corporation (251270 KS)</a> and <a href="https://www.smartkarma.com/entities/posco-chemical-co-ltd" target="_blank" data-smartkarma-citation="entities:12421:1" rel="noopener">Posco Chemical Co Ltd (003670 KS)</a>. </p></div><div><p>Stocks in Taiwan that saw the highest increase in shorts were <a href="https://www.smartkarma.com/entities/inventec-corp" target="_blank" data-smartkarma-citation="entities:20856:1" rel="noopener">Inventec Corp (2356 TT)</a>, <a href="https://www.smartkarma.com/entities/yageo-corporation" target="_blank" data-smartkarma-citation="entities:13212:1" rel="noopener">Yageo Corporation (2327 TT)</a>, <a href="https://www.smartkarma.com/entities/richwave-technology-corp" target="_blank" data-smartkarma-citation="entities:18629:1" rel="noopener">Richwave Technology (4968 TT)</a> and <a href="https://www.smartkarma.com/entities/asia-cement-corp" target="_blank" data-smartkarma-citation="entities:15350:1" rel="noopener">Asia Cement (1102 TT)</a> while shorts were covered on <a href="https://www.smartkarma.com/entities/taiwan-semiconductor-manufacturing-company" target="_blank" data-smartkarma-citation="entities:11230:1" rel="noopener">TSMC (2330 TT)</a>, <a href="https://www.smartkarma.com/entities/mediatek-inc" target="_blank" data-smartkarma-citation="entities:772:1" rel="noopener">Mediatek Inc (2454 TT)</a>, <a href="https://www.smartkarma.com/entities/united-microelectronics-corp" target="_blank" data-smartkarma-citation="entities:6450:1" rel="noopener">United Microelectronics Corp (2303 TT)</a> and <a href="https://www.smartkarma.com/entities/au-optronics-corp" target="_blank" data-smartkarma-citation="entities:6704:1" rel="noopener">AU Optronics (2409 TT)</a>. </p></div>

The Asia Short Interest weekly looks at moves in market wide short interest and highlights movements in stock specific short interest across Hong Kong, Japan, Korea and Taiwan using the last available data published by the relevant authorities.There was no report from the SFC this week since Friday was a holiday. The report should be published on Wednesday when markets reopen. For the week from 29 March - 1 April, the highest shorts in notional terms were on Tencent Holdings (700 HK), Tracker Fund of Hong Kong Ltd (2800 HK), Ping An Insurance (H) (2318 HK), Meituan (3690 HK) and Baidu (9888 HK). In Japan, stocks that saw the most shorts were BASE Inc (4477 JP), Toshiba Corp (6502 JP), GMO Payment Gateway (3769 JP), freee (4478 JP) and Sanken Electric (6707 JP) while shorts decreased on ENEOS Holdings (5020 JP), Japan Airport Terminal Co (9706 JP), Mitsubishi UFJ Lease &amp; Finance (8593 JP), Change Inc (3962 JP) and BeNEXT Group (2154 JP). Shorts increased in the Information Technology and Indsutrials sectors, and decreased in the the Energy sector.In Korea, short increased on Samsung Electronics (005930 KS), SK Hynix (000660 KS), Naver Corp (035420 KS) and Hyundai Motor Co (005380 KS) while shorts decreased on Celltrion Inc (068270 KS), Samsung Biologics Co., (207940 KS), Netmarble Corporation (251270 KS) and Posco Chemical Co Ltd (003670 KS). Stocks in Taiwan that saw the highest increase in shorts were Inventec Corp (2356 TT), Yageo Corporation (2327 TT), Richwave Technology (4968 TT) and Asia Cement (1102 TT) while shorts were covered on TSMC (2330 TT), Mediatek Inc (2454 TT), United Microelectronics Corp (2303 TT) and AU Optronics (2409 TT). 

Asia Short Interest: Tencent, Ping An, Baidu, BASE, Toshiba, GMO Payment, BeNext, Inventec, Mediatek

Hong Kong

Tracker Fund of Hong Kong (TraHK) is an ETF registered in Hong Kong. The Fund seeks to provide investment results that closely correspond to the performance of the Hang Seng Index through investing all, or substantially all, of the Fund's assets in Index Shares in substantially the same weightings as they appear in the Hang Seng Index.

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Tracker Fund of Hong Kong (2800 HK)

ETFs in Stock Connect: List Announced; Effective 4 July

CSRC & SFC have approved the inclusion of eligible ETFs in Stock Connect. Trading of the ETFs under Stock Connect begins from 4 July. There are 83...

Brian Freitas

ETFs in Stock Connect: Criteria & Potential Southbound Inclusions

SFC & CSRC have agreed in principle to the inclusion of HKEX listed ETFs in Southbound Connect. We see 6 ETFs as eligible for inclusion. There will...

Brian Freitas

Asia Short Interest: Tencent, Ping An, Baidu, BASE, Toshiba, GMO Payment, BeNext, Inventec, Mediatek

The Insight looks at large short interest movements across HK, Japan, Korea and Taiwan stocks and highlights large increases/decreases in shorts to...

Brian Freitas

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52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)