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

Xiamen Amoytop Biotech Co Ltd / Index Rebalance

Xiamen Amoytop Biotech Co Ltd (688278 CH)

<ul>
<li>90% of the way through the review period, there could be 1 change 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.</li>
<li>We estimate turnover of 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 5.5% for the STAR100 Index. The net round-trip trade is CNY 3.2bn (US$453m).</li>
<li>The forecast add 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">SSE STAR50 (STAR50 INDEX)</a> has massively outperformed the forecast deletion from the index over the last two months.</li>
</ul>


90% of the way through the review period, there could be 1 change for the SSE STAR50 (STAR50 INDEX) and 5 changes for the STAR100 Index.
We estimate turnover of 1% for the STAR50 INDEX and 5.5% for the STAR100 Index. The net round-trip trade is CNY 3.2bn (US$453m).
The forecast add to the SSE STAR50 (STAR50 INDEX) has massively outperformed the forecast deletion from the index over the last two months.


STAR50/STAR100 Index Rebalance Preview: Massive Outperformance in Last Two Months; Time to Unwind?

Asia Pac ECM and Index Rebal, Shenton Research

Ke Yan, CFA, FRM

Asia Pac ECM and Index Rebal

Asia Pac IPO & Placement Research, China Biotech

DZT Research

DZT Research is an independent Asia Pacific equity specialist. Our quantitative research covers index rebalancing flows, alongside exchange data analytics accross Asia Pacific. On the equity capital markets side, we focus on Asia Pacific ECM, especially biotech and TMT. Our lead analyst is frequently cited by international media.

Quantitative Analysis

<ul>
<li>We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.</li>
<li>We estimate the outflows to be $12.8bn in August and consumer staples, and financials sectors led the outflows.</li>
<li>We highlight flows for CATL, Wuxi Wapptec, Fuyao Glass, Foxconn Industrial, CMB, Wuliangye, Mindray, Moutai, Longi Green.</li>
</ul>


We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
We estimate the outflows to be $12.8bn in August and consumer staples, and financials sectors led the outflows.
We highlight flows for CATL, Wuxi Wapptec, Fuyao Glass, Foxconn Industrial, CMB, Wuliangye, Mindray, Moutai, Longi Green.


Northbound Flows Monthly (August): $12.8bn Outflows

Post market close on 28 May, the Shanghai Stock Exchange and China Securities Index Company announced the changes 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">SSE STAR 50 (STAR50 INDEX)</a>. The changes will be effective after the close of trading on 11 June.Just as we forecast, the inclusions are <a href="https://www.smartkarma.com/entities/ninebot-ltd" target="_blank" data-smartkarma-citation="entities:32180:1" rel="noopener">Ninebot Ltd (689009 CH)</a>, <a href="https://www.smartkarma.com/entities/sansure-biotech-inc" target="_blank" data-smartkarma-citation="entities:32182:1" rel="noopener">Sansure Biotech Inc (688289 CH)</a>, <a href="https://www.smartkarma.com/entities/cansino-biologics-inc-cc0c90b7-e854-4ba3-929b-914be1bd0d89" target="_blank" data-smartkarma-citation="entities:32181:1" rel="noopener">CanSino Biologics Inc (688185 CH)</a>, <a href="https://www.smartkarma.com/entities/verisilicon-microelectronics" target="_blank" data-smartkarma-citation="entities:32183:1" rel="noopener">VeriSilicon Microelectronics (688521 CH)</a> and <a href="https://www.smartkarma.com/entities/cathay-biotech-inc" target="_blank" data-smartkarma-citation="entities:32184:1" rel="noopener">Cathay Biotech Inc (688065 CH)</a>, while <a href="https://www.smartkarma.com/entities/suntar-environmental-techn-a" target="_blank" data-smartkarma-citation="entities:30342:1" rel="noopener">Suntar Environmental Techn-A (688101 CH)</a>, <a href="https://www.smartkarma.com/entities/shenzhen-qingyi-photomask-ltd" target="_blank" data-smartkarma-citation="entities:30351:1" rel="noopener">Shenzhen Qingyi Photomask Ltd (688138 CH)</a>, <a href="https://www.smartkarma.com/entities/traffic-control-technology-co" target="_blank" data-smartkarma-citation="entities:30309:1" rel="noopener">Traffic Control Technology Co (688015 CH)</a>, <a href="https://www.smartkarma.com/entities/hillstone-networks-co-ltd" target="_blank" data-smartkarma-citation="entities:30321:1" rel="noopener">Hillstone Networks Co Ltd (688030 CH)</a> and <a href="https://www.smartkarma.com/entities/ningbo-solartron-technolog-a" target="_blank" data-smartkarma-citation="entities:30380:1" rel="noopener">Ningbo Solartron Technolog-A (688299 CH)</a> have been deleted from the index.The changes imply that a 6 month minimum listing was used. Given the increase in number of stocks that are listed for more than 1 year, this could be last review where a 6 month minimum listing history is used.Inflows into the ETFs have continued and the impact on the inclusions and exclusions will be a few days of ADV with estimated one-way turnover at 5.3%.The inclusions have outperformed the deletions over the last couple of months and there has been an increase in excess volume over the last couple of weeks. We would use any sharp moves in the stock to pare down existing positions in the trade.

Post market close on 28 May, the Shanghai Stock Exchange and China Securities Index Company announced the changes to the SSE STAR 50 (STAR50 INDEX). The changes will be effective after the close of trading on 11 June.Just as we forecast, the inclusions are Ninebot Ltd (689009 CH), Sansure Biotech Inc (688289 CH), CanSino Biologics Inc (688185 CH), VeriSilicon Microelectronics (688521 CH) and Cathay Biotech Inc (688065 CH), while Suntar Environmental Techn-A (688101 CH), Shenzhen Qingyi Photomask Ltd (688138 CH), Traffic Control Technology Co (688015 CH), Hillstone Networks Co Ltd (688030 CH) and Ningbo Solartron Technolog-A (688299 CH) have been deleted from the index.The changes imply that a 6 month minimum listing was used. Given the increase in number of stocks that are listed for more than 1 year, this could be last review where a 6 month minimum listing history is used.Inflows into the ETFs have continued and the impact on the inclusions and exclusions will be a few days of ADV with estimated one-way turnover at 5.3%.The inclusions have outperformed the deletions over the last couple of months and there has been an increase in excess volume over the last couple of weeks. We would use any sharp moves in the stock to pare down existing positions in the trade.

STAR Board - STAR50 Index Rebalance: Inclusions Outperform Exclusions as Positioning Jumps

<div>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 STAR 50 (STAR50 INDEX)</a> is a free float market cap weighted and is made up of the 50 largest stocks based on full market cap that are listed on the STAR Market.</div><div>The review period for the June rebalance ends on 30 April, the results of the rebalance will be announced towards the end of May and will be implemented at the close of trading on 11 June.</div><div>
A maximum of 5 changes are permitted in a single review.
<a href="https://www.smartkarma.com/entities/suntar-environmental-techn-a" target="_blank" data-smartkarma-citation="entities:30342:1" rel="noopener">Suntar Environmental Techn-A (688101 CH)</a>, <a href="https://www.smartkarma.com/entities/shenzhen-qingyi-photomask-ltd" target="_blank" data-smartkarma-citation="entities:30351:1" rel="noopener">Shenzhen Qingyi Photomask Ltd (688138 CH)</a>, <a href="https://www.smartkarma.com/entities/traffic-control-technology-co" target="_blank" data-smartkarma-citation="entities:30309:1" rel="noopener">Traffic Control Technology Co (688015 CH)</a>, <a href="https://www.smartkarma.com/entities/hillstone-networks-co-ltd" target="_blank" data-smartkarma-citation="entities:30321:1" rel="noopener">Hillstone Networks Co Ltd (688030 CH)</a> and <a href="https://www.smartkarma.com/entities/ningbo-solartron-technolog-a" target="_blank" data-smartkarma-citation="entities:30380:1" rel="noopener">Ningbo Solartron Technolog-A (688299 CH)</a> are high probability deletions from the index at the June review.
There is a high probability of <a href="https://www.smartkarma.com/entities/ninebot-ltd" target="_blank" data-smartkarma-citation="entities:32180:1" rel="noopener">Ninebot Ltd (689009 CH)</a>, <a href="https://www.smartkarma.com/entities/sansure-biotech-inc" target="_blank" data-smartkarma-citation="entities:32182:1" rel="noopener">Sansure Biotech Inc (688289 CH)</a>, <a href="https://www.smartkarma.com/entities/cansino-biologics-inc-cc0c90b7-e854-4ba3-929b-914be1bd0d89" target="_blank" data-smartkarma-citation="entities:32181:1" rel="noopener">CanSino Biologics Inc (688185 CH)</a>, <a href="https://www.smartkarma.com/entities/verisilicon-microelectronics" target="_blank" data-smartkarma-citation="entities:32183:1" rel="noopener">VeriSilicon Microelectronics (688521 CH)</a> and <a href="https://www.smartkarma.com/entities/cathay-biotech-inc" target="_blank" data-smartkarma-citation="entities:32184:1" rel="noopener">Cathay Biotech Inc (688065 CH)</a> being included in the index.
An alternate list of possible inclusions (with a lower probability) are <a href="https://www.smartkarma.com/entities/beijing-huafeng-test-con-a" target="_blank" data-smartkarma-citation="entities:30367:1" rel="noopener">Beijing Huafeng Test &amp; Con-A (688200 CH)</a>, <a href="https://www.smartkarma.com/entities/zhejiang-orient-gene-biotech-a" target="_blank" data-smartkarma-citation="entities:30379:1" rel="noopener">Zhejiang Orient Gene Biotech-A (688298 CH)</a>, <a href="https://www.smartkarma.com/entities/bio-thera-solutions-ltd" target="_blank" data-smartkarma-citation="entities:29127:1" rel="noopener">Bio-Thera Solutions Ltd (688177 CH)</a>, <a href="https://www.smartkarma.com/entities/hangzhou-raycloud-technolo-a" target="_blank" data-smartkarma-citation="entities:30391:1" rel="noopener">Hangzhou Raycloud Technolo-A (688365 CH)</a> and <a href="https://www.smartkarma.com/entities/hitgen-inc" target="_blank" data-smartkarma-citation="entities:30371:1" rel="noopener">HitGen Inc (688222 CH)</a>.
The expected inclusions and exclusions have been performing poorly over the last couple of months. The price falls have been accompanied by shrinking volume and the passive flow could have a larger impact on the stocks than what we had estimated earlier.
We recommend buying the expected inclusions and selling a highly correlated hedge basket to take advantage of the expected passive flows into the stocks.

</div>

The SSE STAR 50 (STAR50 INDEX) is a free float market cap weighted and is made up of the 50 largest stocks based on full market cap that are listed on the STAR Market.The review period for the June rebalance ends on 30 April, the results of the rebalance will be announced towards the end of May and will be implemented at the close of trading on 11 June.
A maximum of 5 changes are permitted in a single review.
Suntar Environmental Techn-A (688101 CH), Shenzhen Qingyi Photomask Ltd (688138 CH), Traffic Control Technology Co (688015 CH), Hillstone Networks Co Ltd (688030 CH) and Ningbo Solartron Technolog-A (688299 CH) are high probability deletions from the index at the June review.
There is a high probability of Ninebot Ltd (689009 CH), Sansure Biotech Inc (688289 CH), CanSino Biologics Inc (688185 CH), VeriSilicon Microelectronics (688521 CH) and Cathay Biotech Inc (688065 CH) being included in the index.
An alternate list of possible inclusions (with a lower probability) are Beijing Huafeng Test &amp; Con-A (688200 CH), Zhejiang Orient Gene Biotech-A (688298 CH), Bio-Thera Solutions Ltd (688177 CH), Hangzhou Raycloud Technolo-A (688365 CH) and HitGen Inc (688222 CH).
The expected inclusions and exclusions have been performing poorly over the last couple of months. The price falls have been accompanied by shrinking volume and the passive flow could have a larger impact on the stocks than what we had estimated earlier.
We recommend buying the expected inclusions and selling a highly correlated hedge basket to take advantage of the expected passive flows into the stocks.



STAR Board - STAR50 Index Rebalance June Preview: Falling Volumes Increasing Impact

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 STAR 50 (STAR50 INDEX)</a> is a free float market cap weighted and is made up of the 50 largest stocks based on full market cap that are listed on the STAR Market.The review period for the June rebalance ends on 30 April, the results of the rebalance will be announced towards the end of May and will be implemented at the close of trading on 11 June.A maximum of 5 changes are permitted in a single review.At the June review, we see <a href="https://www.smartkarma.com/entities/suntar-environmental-techn-a" target="_blank" data-smartkarma-citation="entities:30342:1" rel="noopener">Suntar Environmental Techn-A (688101 CH)</a>, <a href="https://www.smartkarma.com/entities/shenzhen-qingyi-photomask-ltd" target="_blank" data-smartkarma-citation="entities:30351:1" rel="noopener">Shenzhen Qingyi Photomask Ltd (688138 CH)</a>, <a href="https://www.smartkarma.com/entities/traffic-control-technology-co" target="_blank" data-smartkarma-citation="entities:30309:1" rel="noopener">Traffic Control Technology Co (688015 CH)</a>, <a href="https://www.smartkarma.com/entities/hillstone-networks-co-ltd" target="_blank" data-smartkarma-citation="entities:30321:1" rel="noopener">Hillstone Networks Co Ltd (688030 CH)</a> and <a href="https://www.smartkarma.com/entities/ningbo-solartron-technolog-a" target="_blank" data-smartkarma-citation="entities:30380:1" rel="noopener">Ningbo Solartron Technolog-A (688299 CH)</a> being deleted from the index.With index rules that are not specific, there are two sets of possible inclusions depending on the minimum listing history for the stocks.The likelier inclusions are <a href="https://www.smartkarma.com/entities/ninebot-ltd" target="_blank" data-smartkarma-citation="entities:32180:1" rel="noopener">Ninebot Ltd (689009 CH)</a>, <a href="https://www.smartkarma.com/entities/cansino-biologics-inc-cc0c90b7-e854-4ba3-929b-914be1bd0d89" target="_blank" data-smartkarma-citation="entities:32181:1" rel="noopener">CanSino Biologics Inc (688185 CH)</a>, <a href="https://www.smartkarma.com/entities/sansure-biotech-inc" target="_blank" data-smartkarma-citation="entities:32182:1" rel="noopener">Sansure Biotech Inc (688289 CH)</a>, <a href="https://www.smartkarma.com/entities/verisilicon-microelectronics" target="_blank" data-smartkarma-citation="entities:32183:1" rel="noopener">VeriSilicon Microelectronics (688521 CH)</a> and <a href="https://www.smartkarma.com/entities/cathay-biotech-inc" target="_blank" data-smartkarma-citation="entities:32184:1" rel="noopener">Cathay Biotech Inc (688065 CH)</a>.The less likely inclusions are <a href="https://www.smartkarma.com/entities/beijing-huafeng-test-con-a" target="_blank" data-smartkarma-citation="entities:30367:1" rel="noopener">Beijing Huafeng Test &amp; Con-A (688200 CH)</a>, <a href="https://www.smartkarma.com/entities/zhejiang-orient-gene-biote-a" target="_blank" data-smartkarma-citation="entities:30379:1" rel="noopener">Zhejiang Orient Gene Biote-A (688298 CH)</a>, <a href="https://www.smartkarma.com/entities/bio-thera-solutions-ltd" target="_blank" data-smartkarma-citation="entities:29127:1" rel="noopener">Bio-Thera Solutions Ltd (688177 CH)</a>, <a href="https://www.smartkarma.com/entities/hangzhou-raycloud-technolo-a" target="_blank" data-smartkarma-citation="entities:30391:1" rel="noopener">Hangzhou Raycloud Technolo-A (688365 CH)</a> and <a href="https://www.smartkarma.com/entities/hitgen-inc" target="_blank" data-smartkarma-citation="entities:30371:1" rel="noopener">HitGen Inc (688222 CH)</a>.The recent selloff in growth stocks has led to the potential inclusions underperforming the potential deletions. A turn in momentum stocks could lead to the potential inclusions outperforming.

The SSE STAR 50 (STAR50 INDEX) is a free float market cap weighted and is made up of the 50 largest stocks based on full market cap that are listed on the STAR Market.The review period for the June rebalance ends on 30 April, the results of the rebalance will be announced towards the end of May and will be implemented at the close of trading on 11 June.A maximum of 5 changes are permitted in a single review.At the June review, we see Suntar Environmental Techn-A (688101 CH), Shenzhen Qingyi Photomask Ltd (688138 CH), Traffic Control Technology Co (688015 CH), Hillstone Networks Co Ltd (688030 CH) and Ningbo Solartron Technolog-A (688299 CH) being deleted from the index.With index rules that are not specific, there are two sets of possible inclusions depending on the minimum listing history for the stocks.The likelier inclusions are Ninebot Ltd (689009 CH), CanSino Biologics Inc (688185 CH), Sansure Biotech Inc (688289 CH), VeriSilicon Microelectronics (688521 CH) and Cathay Biotech Inc (688065 CH).The less likely inclusions are Beijing Huafeng Test &amp; Con-A (688200 CH), Zhejiang Orient Gene Biote-A (688298 CH), Bio-Thera Solutions Ltd (688177 CH), Hangzhou Raycloud Technolo-A (688365 CH) and HitGen Inc (688222 CH).The recent selloff in growth stocks has led to the potential inclusions underperforming the potential deletions. A turn in momentum stocks could lead to the potential inclusions outperforming.

STAR50 Index Rebalance June Preview: Selloff Presents Opportunity

China

Verisilicon Microelectronics (Shanghai) Co., Ltd. manufactures and distributes chips. The Company provides chips designing, production, testing, marketing, and other related services. Verisilicon Microelectronics (Shanghai) markets its products worldwide.

Verisilicon Microelectronics S (688521 CH)

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Verisilicon Microelectronics S (688521 CH)

STAR50/STAR100 Index Rebalance Preview: Massive Outperformance in Last Two Months; Time to Unwind?

We forecast 1 change for the STAR50 and 5 changes for the STAR100. There is over 9x ADV to trade on the STAR50 changes. The net round-trip trade is...

Brian Freitas

Northbound Flows Monthly (August): $12.8bn Outflows

We analyzed the Shanghai/Shenzhen Connect Scheme for August and highlight flows for CATL, Wuxi Wapptec, Fuyao Glass, Foxconn Industrial, CMB,...

Ke Yan, CFA, FRM

STAR Board - STAR50 Index Rebalance: Inclusions Outperform Exclusions as Positioning Jumps

There are 5 changes to the STAR50 Index at the June review. The inclusions have outperformed the deletions and positioning has jumped sharply in...

Brian Freitas

STAR Board - STAR50 Index Rebalance June Preview: Falling Volumes Increasing Impact

We see 5 changes to the STAR50 Index at the June review. The deletions are high probability, but there is uncertainty on the inclusions due to a...

Brian Freitas

STAR50 Index Rebalance June Preview: Selloff Presents Opportunity

While the deletions at the STAR50 June review can be picked fairly easily, index rules that are not specific give rise to two sets of potential...

Brian Freitas

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