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

Victory Giant Technology -A / Index Rebalance

<ul>
<li>With 70% of the review period now complete, we forecast 50 changes (the maximum permitted) for the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI Smallcap 500 Index</a> at the close on 13 December.</li>
<li>We estimate a one-way turnover of 11.3% at the rebalance resulting in a one-way trade of CNY12.08bn (US$1.7bn). The Information Technology and HealthCare sectors gain at the expense of Industrials.</li>
<li>The potential adds have outperformed the potential deletes and the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI Smallcap 500 Index (SH000905 INDEX</a>) since the start of the year with the outperformance gradually picking up.</li>
</ul>


With 70% of the review period now complete, we forecast 50 changes (the maximum permitted) for the CSI Smallcap 500 Index at the close on 13 December.
We estimate a one-way turnover of 11.3% at the rebalance resulting in a one-way trade of CNY12.08bn (US$1.7bn). The Information Technology and HealthCare sectors gain at the expense of Industrials.
The potential adds have outperformed the potential deletes and the CSI Smallcap 500 Index (SH000905 INDEX) since the start of the year with the outperformance gradually picking up.


CSI500 Index Rebalance Preview: 50 Changes; 11% Turnover; US$3.4bn Round-Trip Trade

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Guangzhou Great Power Ener-A / Index Rebalance

<ul>
<li>The June 2024 index review results for the ChiNext and ChiNext 50 indices were announced yesterday.</li>
<li>There will be seven changes for the ChiNext index and five changes for the ChiNext 50 index. Some of these names surprised us.</li>
<li>In this insight, we take a look at our final flow expectations for the confirmed index changes and our thoughts on the selection process.</li>
</ul>


The June 2024 index review results for the ChiNext and ChiNext 50 indices were announced yesterday.
There will be seven changes for the ChiNext index and five changes for the ChiNext 50 index. Some of these names surprised us.
In this insight, we take a look at our final flow expectations for the confirmed index changes and our thoughts on the selection process.


Quiddity ChiNext/ChiNext 50 Jun 24 Rebalance: ~US$700mn One-Way Flows; Thoughts on Surprises

<ul>
<li>There are 7 changes for the <a href="https://www.smartkarma.com/entities/chinext-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">ChiNext Index (SZ399006 INDEX)</a> and 5 changes for the ChiNext 50 Index at the June rebalance.</li>
<li>We correctly forecast 5/7 and 7/7 for the Chinext Index adds/deletes and were 3/5 and 5/5 for the Chinext50 Index adds/deletes.</li>
<li>Based on the estimated passive tracking AUM, the one-way trade across both indices is estimated to be CNY 3.69bn (US$508m).</li>
</ul>


There are 7 changes for the ChiNext Index (SZ399006 INDEX) and 5 changes for the ChiNext 50 Index at the June rebalance.
We correctly forecast 5/7 and 7/7 for the Chinext Index adds/deletes and were 3/5 and 5/5 for the Chinext50 Index adds/deletes.
Based on the estimated passive tracking AUM, the one-way trade across both indices is estimated to be CNY 3.69bn (US$508m).


ChiNext/​​ChiNext 50 Index Rebalance: US$1bn Round-Trip Trade

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 weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of July 21st.</li>
<li>We estimate the weekly outflows to be US$1,012.2 million, led by information technology, financials, and offset by consumer discretionary, communication services, real estate.</li>
<li>We highlight flows for ZTE, Moutai, Zhongji Innolight, Longi Green, CATL.</li>
</ul>


We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of July 21st.
We estimate the weekly outflows to be US$1,012.2 million, led by information technology, financials, and offset by consumer discretionary, communication services, real estate.
We highlight flows for ZTE, Moutai, Zhongji Innolight, Longi Green, CATL.


Northbound Flows (Jul 21st): ZTE, Moutai, Zhongji Innolight, Longi Green, CATL

<ul>
<li>We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.</li>
<li>Inflows into industrials, energy, and utilities were offset by outflows from financials, and information technology.</li>
<li>We highlight flows for COSCO Shipping, Shenzhen Inovance, Zhejiang Jingsheng, Ningbo Tuopu, Wuliangye, Ping An Insurance, Moutai, East Money, CMB, Midea.</li>
</ul>


We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
Inflows into industrials, energy, and utilities were offset by outflows from financials, and information technology.
We highlight flows for COSCO Shipping, Shenzhen Inovance, Zhejiang Jingsheng, Ningbo Tuopu, Wuliangye, Ping An Insurance, Moutai, East Money, CMB, Midea.


Northbound Flows Monthly (April): Inflows into Industrials Offset by Outflows from Financials

China

Victory Giant Technology (Huizhou) Co., Ltd. manufactures electronic products. The Company specializes in high-density PCB development, production and sales.

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Victory Giant Technology -A (300476 CH)

CSI500 Index Rebalance Preview: 50 Changes; 11% Turnover; US$3.4bn Round-Trip Trade

We forecast 50 changes in December leading to one-way turnover of 11.3% and one-way trade of CNY12bn. There will be over 1x ADV to trade on 53...

Brian Freitas

Quiddity ChiNext/ChiNext 50 Jun 24 Rebalance: ~US$700mn One-Way Flows; Thoughts on Surprises

ChiNext and ChiNext 50 "double" DEL Guangzhou Great Power Energy could underperform peers CATL and Gotion High-tec until the Inclusion event.

Janaghan Jeyakumar, CFA

ChiNext/ChiNext 50 Index Rebalance: US$1bn Round-Trip Trade

There are 7 changes for the Chinext and 5 changes for the Chinext50. Beijing Ultrapower and Victory Giant are surprise adds for both indices. The...

Brian Freitas

Northbound Flows (Jul 21st): ZTE, Moutai, Zhongji Innolight, Longi Green, CATL

We analyzed northbound Shanghai/Shenzhen connect flows in the past week and highlight flows for ZTE, Moutai, Zhongji Innolight, Longi Green, CATL.

Ke Yan, CFA, FRM

Northbound Flows Monthly (April): Inflows into Industrials Offset by Outflows from Financials

We analyzed the Shanghai/Shenzhen Connect Scheme for April and highlight flows for COSCO Shipping, Inovance, Jingsheng, Tuopu, Wuliangye, Ping An...

Ke Yan, CFA, FRM

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

CSI500 Index Rebalance Preview: 50 Changes; 11% Turnover; US$3.4bn Round-Trip Trade

We forecast 50 changes in December leading to one-way turnover of 11.3% and one-way trade of CNY12bn. There will be over 1x ADV to trade on 53...

Brian Freitas

Quiddity ChiNext/ChiNext 50 Jun 24 Rebalance: ~US$700mn One-Way Flows; Thoughts on Surprises

ChiNext and ChiNext 50 "double" DEL Guangzhou Great Power Energy could underperform peers CATL and Gotion High-tec until the Inclusion event.

Janaghan Jeyakumar, CFA

ChiNext/​​ChiNext 50 Index Rebalance: US$1bn Round-Trip Trade

There are 7 changes for the Chinext and 5 changes for the Chinext50. Beijing Ultrapower and Victory Giant are surprise adds for both indices. The...

Brian Freitas

Northbound Flows (Jul 21st): ZTE, Moutai, Zhongji Innolight, Longi Green, CATL

We analyzed northbound Shanghai/Shenzhen connect flows in the past week and highlight flows for ZTE, Moutai, Zhongji Innolight, Longi Green, CATL.

Ke Yan, CFA, FRM

Northbound Flows Monthly (April): Inflows into Industrials Offset by Outflows from Financials

We analyzed the Shanghai/Shenzhen Connect Scheme for April and highlight flows for COSCO Shipping, Inovance, Jingsheng, Tuopu, Wuliangye, Ping An...

Ke Yan, CFA, FRM

ChiNext/ChiNext 50 Index Rebalance: US$1bn Round-Trip Trade