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 is 1 constituent 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">STAR50 INDEX</a> and 4 changes for the STAR100 Index at the next rebalance that will be implemented at the close on 13 June.</li>
<li>We estimate turnover of 2.35% 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 4.9% for the STAR100 Index. The estimated round-trip trade is CNY 9.8bn (US$1.35bn).</li>
<li>There are multiple stocks that are adds or deletes for other indices and the passive flows will be a lot larger than just for the STAR50/STAR100 indices.</li>
</ul>


There is 1 constituent change for the STAR50 INDEX and 4 changes for the STAR100 Index at the next rebalance that will be implemented at the close on 13 June.
We estimate turnover of 2.35% for the SSE STAR50 (STAR50 INDEX) and 4.9% for the STAR100 Index. The estimated round-trip trade is CNY 9.8bn (US$1.35bn).
There are multiple stocks that are adds or deletes for other indices and the passive flows will be a lot larger than just for the STAR50/STAR100 indices.


STAR50/STAR100 Index Rebalance: 10 Changes and US$1.4bn Trade

Nationz Technologies Inc A / Index Rebalance

<ul>
<li>The review period for the June rebalance of the CSI All Share Semiconductor Index ended 30 April. The changes should be announced on 30 May and implemented on 13 June.</li>
<li>We forecast 4 adds and 9 deletes for the index with a one-way turnover of 2.7% and a round-trip trade of CNY 1.2bn (US$167m).</li>
<li>Some stocks have overlaps with changes to the CES China Semiconductor Chips Index and the CNI Semiconductor Chips Index and there will be increased passive flow for those stocks.</li>
</ul>


The review period for the June rebalance of the CSI All Share Semiconductor Index ended 30 April. The changes should be announced on 30 May and implemented on 13 June.
We forecast 4 adds and 9 deletes for the index with a one-way turnover of 2.7% and a round-trip trade of CNY 1.2bn (US$167m).
Some stocks have overlaps with changes to the CES China Semiconductor Chips Index and the CNI Semiconductor Chips Index and there will be increased passive flow for those stocks.


CSI All Share Semiconductor Index Rebalance Preview: 13 Potential Changes in June

<ul>
<li>With the review period complete, we forecast 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 4 changes for the STAR100 Index in June.</li>
<li>We estimate turnover of 2.26% 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 5.05% for the STAR100 Index. The estimated round-trip trade is CNY 8.1bn (US$1.11bn).</li>
<li>There are multiple stocks that are forecast adds or deletes for other indices and the passive flows will be a lot larger than just for the STAR50/STAR100 indices.</li>
</ul>


With the review period complete, we forecast 1 change for the SSE STAR50 (STAR50 INDEX) and 4 changes for the STAR100 Index in June.
We estimate turnover of 2.26% for the SSE STAR50 (STAR50 INDEX) and 5.05% for the STAR100 Index. The estimated round-trip trade is CNY 8.1bn (US$1.11bn).
There are multiple stocks that are forecast adds or deletes for other indices and the passive flows will be a lot larger than just for the STAR50/STAR100 indices.


STAR50/STAR100 Index Rebalance Preview: Strong Outperformance for STAR50 Changes

<ul>
<li>The review period for the June rebalance of the CSI All Share Semiconductor Index ends 30 April. The changes should be announced on 30 May and implemented on 13 June.</li>
<li>We forecast 4/5 adds and 8 deletes for the index with a one-way turnover of 2.4% and a round-trip trade of CNY 990m (US$136m).</li>
<li>There are many forecast adds and deletes that will have same side flows from trackers of the CES China Semiconductor Chips Index and the CNI Semiconductor Chips Index.</li>
</ul>


The review period for the June rebalance of the CSI All Share Semiconductor Index ends 30 April. The changes should be announced on 30 May and implemented on 13 June.
We forecast 4/5 adds and 8 deletes for the index with a one-way turnover of 2.4% and a round-trip trade of CNY 990m (US$136m).
There are many forecast adds and deletes that will have same side flows from trackers of the CES China Semiconductor Chips Index and the CNI Semiconductor Chips Index.


CSI All Share Semiconductor Index Rebalance Preview: Multiple Index Flows for Some Stocks

<ul>
<li>Nearing the end of the review period, we forecast 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 4 changes for the STAR100 Index in June.</li>
<li>We estimate turnover of 1.9% 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 4.5% for the STAR100 Index. The estimated round-trip trade is CNY 7.5bn (US$1.02bn).</li>
<li>Large ETF inflows could have led to the recent underperformance of a long add/ short delete trade. That could reverse once markets stabilize or when the passives trade the rebalance.</li>
</ul>


Nearing the end of the review period, we forecast 1 change for the SSE STAR50 (STAR50 INDEX) and 4 changes for the STAR100 Index in June.
We estimate turnover of 1.9% for the SSE STAR50 (STAR50 INDEX) and 4.5% for the STAR100 Index. The estimated round-trip trade is CNY 7.5bn (US$1.02bn).
Large ETF inflows could have led to the recent underperformance of a long add/ short delete trade. That could reverse once markets stabilize or when the passives trade the rebalance.


STAR50/STAR100 Index Rebalance Preview: Central Huijin's ETF Creations Skew Performance

China

Wafer Works (Shanghai) Co.,Ltd. manufactures semiconductor devices. The Company produces and sells semiconductor epitaxial wafers, polishing sheets, and more. Wafer Works (Shanghai) markets its products worldwide.

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Wafer Works Shanghai (688584 CH)

STAR50/STAR100 Index Rebalance: 10 Changes and US$1.4bn Trade

There is 1 STAR50 changes and 4 STAR100 changes. The round-trip trade across both indices is US$1.4bn. Bestechnic Shanghai will have more inflows...

Brian Freitas

STAR50/STAR100 Index Rebalance Preview: Strong Outperformance for STAR50 Changes

There could be 1/4 changes for the STAR50/100 indices. Estimated net round-trip trade is US$1.1bn. There are multiple stocks that will have same...

Brian Freitas

STAR50/STAR100 Index Rebalance Preview: Central Huijin's ETF Creations Skew Performance

There could be 1/4 changes for the STAR50/STAR100 indices. Round-trip trade is over US$1bn. The deletes have outperformed the adds as Central...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

STAR50/STAR100 Index Rebalance: 10 Changes and US$1.4bn Trade

There is 1 STAR50 changes and 4 STAR100 changes. The round-trip trade across both indices is US$1.4bn. Bestechnic Shanghai will have more inflows...

Brian Freitas

CSI All Share Semiconductor Index Rebalance Preview: 13 Potential Changes in June

There could be 4 adds/9 deletes in June. Estimated turnover is 2.7% and round-trip trade is CNY 1.2bn. There are multiple stocks with same-way flow...

Brian Freitas

STAR50/STAR100 Index Rebalance Preview: Strong Outperformance for STAR50 Changes

There could be 1/4 changes for the STAR50/100 indices. Estimated net round-trip trade is US$1.1bn. There are multiple stocks that will have same...

Brian Freitas

CSI All Share Semiconductor Index Rebalance Preview: Multiple Index Flows for Some Stocks

There could be 12-13 changes for the index in June. Some stocks will have same way flows from multiple index trackers and those stocks could...

Brian Freitas

STAR50/STAR100 Index Rebalance Preview: Central Huijin's ETF Creations Skew Performance

There could be 1/4 changes for the STAR50/STAR100 indices. Round-trip trade is over US$1bn. The deletes have outperformed the adds as Central...

Brian Freitas