Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Index Rebalance

<ul>
<li>The HSCEI Review for Sep 2023 was announced on Friday 18 August. There is one ADD <a href="https://www.smartkarma.com/entities/trip-com-group-ltd-23a341d0-4f63-4175-a8c5-ee990906cacd" target="_blank" data-smartkarma-citation="entities:36424:1" rel="noopener">Trip.com Group (9961 HK)</a> and one DELETE <a href="https://www.smartkarma.com/entities/country-garden-services-holdin" target="_blank" data-smartkarma-citation="entities:27343:1" rel="noopener">Country Garden Services (6098 HK)</a>. </li>
<li>Neither of these two are a surprise. Neither are hugely impactful. </li>
<li>There is about 2.5% one-way to trade. Alibaba (ADR) (BABA US) is a sell across all three major indices.</li>
</ul>


The HSCEI Review for Sep 2023 was announced on Friday 18 August. There is one ADD Trip.com Group (9961 HK) and one DELETE Country Garden Services (6098 HK). 
Neither of these two are a surprise. Neither are hugely impactful. 
There is about 2.5% one-way to trade. Alibaba (ADR) (BABA US) is a sell across all three major indices.


HSCEI Sep23 Index Review/​Flows - Trip.Com (9961) Added, CG Svcs (6098) Deleted; ~2.5% One Way

<ul>
<li>On Friday, Hang Seng Indices announced the changes to the benchmark Hang Seng Index, the index in the family with the largest AUM.</li>
<li>
<a href="https://www.smartkarma.com/entities/sinopharm-group-co-ltd-h" target="_blank" data-smartkarma-citation="entities:32:1" rel="noopener">Sinopharm Group Co Ltd H (1099 HK)</a> is ADDED, <a href="https://www.smartkarma.com/entities/country-garden-holdings-co" target="_blank" data-smartkarma-citation="entities:5225:1" rel="noopener">Country Garden Holdings Co (2007 HK)</a> - in no surprise, is deleted. </li>
<li>I see HK$4bn a side to trade, and the only "compelling" trade by ADV here is Sinopharm, but correlations with a Peer Basket are low.</li>
</ul>


On Friday, Hang Seng Indices announced the changes to the benchmark Hang Seng Index, the index in the family with the largest AUM.

Sinopharm Group Co Ltd H (1099 HK) is ADDED, Country Garden Holdings Co (2007 HK) - in no surprise, is deleted. 
I see HK$4bn a side to trade, and the only "compelling" trade by ADV here is Sinopharm, but correlations with a Peer Basket are low.


HSI Sep23 Index Review/​Flows - Sinopharm (1099) IN, CoGard (2007) OUT; 100 Names a Loooong Way Off

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

<ul>
<li>As expected, <a href="https://www.smartkarma.com/entities/trip-com-group-ltd-23a341d0-4f63-4175-a8c5-ee990906cacd" target="_blank" data-smartkarma-citation="entities:36424:1" rel="noopener">Trip.com Group (9961 HK)</a> replaces <a href="https://www.smartkarma.com/entities/country-garden-services-holdin" target="_blank" data-smartkarma-citation="entities:27343:1" rel="noopener">Country Garden Services (6098 HK)</a> in the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">Hang Seng China Enterprises Index (HSCEI INDEX)</a> at the close on 1 September.</li>
<li>
<a href="https://www.smartkarma.com/entities/beigene-ltd" target="_blank" data-smartkarma-citation="entities:27352:1" rel="noopener">BeiGene (6160 HK)</a> fails the Velocity Test and misses inclusion, while an increase in <a href="https://www.smartkarma.com/entities/zhongsheng-group-holdings" target="_blank" data-smartkarma-citation="entities:10573:1" rel="noopener">Zhongsheng Group (881 HK)</a>'s float keeps it in the index.</li>
<li>Using prices from the close on 18 August, estimated one-way turnover is 2.78% leading to a one-way trade of HK$1.73bn (US$221m).</li>
</ul>


As expected, Trip.com Group (9961 HK) replaces Country Garden Services (6098 HK) in the Hang Seng China Enterprises Index (HSCEI INDEX) at the close on 1 September.

BeiGene (6160 HK) fails the Velocity Test and misses inclusion, while an increase in Zhongsheng Group (881 HK)'s float keeps it in the index.
Using prices from the close on 18 August, estimated one-way turnover is 2.78% leading to a one-way trade of HK$1.73bn (US$221m).


HSCEI Index Rebalance: Trip.com (9961 HK) Replaces CG Services (6098 HK)

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

<ul>
<li>In three more weeks, the index changes and the indicative capping changes for the September 2023 rebalance will be officially announced. </li>
<li>We first looked at the potential HSCEI index changes and the resultant capping flows for September 2023 in <a href="https://www.smartkarma.com/insights/quiddity-hscei-sep-23-flow-expectations-two-changes-likely-us-276mn-one-way" target="_blank" data-smartkarma-citation="insights:104329" rel="noopener">Quiddity HSCEI Sep 23 Flow Expectations: Two Changes Likely, US$276mn One-Way</a> </li>
<li>In this insight, we take a look at Quiddity's updated flow expectations which account for the changes in prices in the last ~1.5 months.</li>
</ul>


In three more weeks, the index changes and the indicative capping changes for the September 2023 rebalance will be officially announced. 
We first looked at the potential HSCEI index changes and the resultant capping flows for September 2023 in Quiddity HSCEI Sep 23 Flow Expectations: Two Changes Likely, US$276mn One-Way 
In this insight, we take a look at Quiddity's updated flow expectations which account for the changes in prices in the last ~1.5 months.


Quiddity HSCEI Sep 23 Flow Expectations Update: US$367mn One-Way, Beigene Vs Peers Interesting

<ul>
<li>
<a href="https://www.smartkarma.com/entities/country-garden-services-holdings-company-limited" target="_blank" data-smartkarma-citation="entities:27343:1" rel="noopener">Country Garden Services Holdings (6098 HK)</a> and <a href="https://www.smartkarma.com/entities/zhongsheng-group-holdings" target="_blank" data-smartkarma-citation="entities:10573:1" rel="noopener">Zhongsheng Group (881 HK)</a> are high probability deletions in September, while <a href="https://www.smartkarma.com/entities/trip-com-group-ltd-23a341d0-4f63-4175-a8c5-ee990906cacd" target="_blank" data-smartkarma-citation="entities:36424:1" rel="noopener">Trip.com (9961 HK)</a> is a high probability inclusion.</li>
<li>The second add could be <a href="https://www.smartkarma.com/entities/beigene-ltd" target="_blank" data-smartkarma-citation="entities:27352:1" rel="noopener">BeiGene Ltd (6160 HK)</a> if it passes the velocity test. If not, <a href="https://www.smartkarma.com/entities/chow-tai-fook-jewellery-group" target="_blank" data-smartkarma-citation="entities:549:1" rel="noopener">Chow Tai Fook Jewellery (1929 HK)</a> will be added.</li>
<li>With the exception of <a href="https://www.smartkarma.com/entities/zhongsheng-group-holdings" target="_blank" data-smartkarma-citation="entities:10573:1" rel="noopener">Zhongsheng Group (881 HK)</a>, short interest has been rising on all the other stocks and could affect how the stocks trade close to implementation date.</li>
</ul>



Country Garden Services Holdings (6098 HK) and Zhongsheng Group (881 HK) are high probability deletions in September, while Trip.com (9961 HK) is a high probability inclusion.
The second add could be BeiGene Ltd (6160 HK) if it passes the velocity test. If not, Chow Tai Fook Jewellery (1929 HK) will be added.
With the exception of Zhongsheng Group (881 HK), short interest has been rising on all the other stocks and could affect how the stocks trade close to implementation date.


HSCEI Index Rebalance Preview: Deletions Fairly Certain; Uncertainty Among the Adds

China

Zhongsheng Group is a leading national automobile dealership group in China, specializing in the sale of new and used luxury and mid-to-high-end automobiles, including brands like Mercedes-Benz, Lexus, and Audi. The company also provides comprehensive after-sales services, such as repair, maintenance, spare parts, accessories, and related auto finance and insurance services. It was founded in 1998 and is headquartered in Dalian, China.

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Zhongsheng (881 HK)

HSCEI Sep23 Index Review/Flows - Trip.Com (9961) Added, CG Svcs (6098) Deleted; ~2.5% One Way

The Sep 2023 HSCEI rebal is something of a damp squib. Nothing that big. Capping contributes to the BABA sell. And watch for big moves the next few...

Travis Lundy

HSI Sep23 Index Review/Flows - Sinopharm (1099) IN, CoGard (2007) OUT; 100 Names a Loooong Way Off

The Hang Seng Index Sep 2023 review is a little disappointing. The DELETE is obvious. The ADD wasn't so much. And Hang Seng is highly...

Travis Lundy

HSCEI Index Rebalance: Trip.com (9961 HK) Replaces CG Services (6098 HK)

As expected, Trip.com replaces CG Services in the HSCEI. Beigene fails liquidity and Zhongsheng's float increases. Float and capping changes result...

Brian Freitas

Quiddity HSCEI Sep 23 Flow Expectations Update: US$367mn One-Way, Beigene Vs Peers Interesting

I see BeiGene Ltd (6160 HK) as a high conviction ADD and Country Garden Services Holdings (6098 HK) as a high conviction DEL. Separately, I see...

Janaghan Jeyakumar, CFA

HSCEI Index Rebalance Preview: Deletions Fairly Certain; Uncertainty Among the Adds

The two potential adds have outperformed the two potential deletes by 42% since end May and by 52% since end June. Shorts have jumped on Beigene...

Brian Freitas

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HSCEI Sep23 Index Review/​Flows - Trip.Com (9961) Added, CG Svcs (6098) Deleted; ~2.5% One Way

The Sep 2023 HSCEI rebal is something of a damp squib. Nothing that big. Capping contributes to the BABA sell. And watch for big moves the next few...

Travis Lundy

HSI Sep23 Index Review/​Flows - Sinopharm (1099) IN, CoGard (2007) OUT; 100 Names a Loooong Way Off

The Hang Seng Index Sep 2023 review is a little disappointing. The DELETE is obvious. The ADD wasn't so much. And Hang Seng is highly...

Travis Lundy

HSCEI Index Rebalance: Trip.com (9961 HK) Replaces CG Services (6098 HK)

As expected, Trip.com replaces CG Services in the HSCEI. Beigene fails liquidity and Zhongsheng's float increases. Float and capping changes result...

Brian Freitas

Quiddity HSCEI Sep 23 Flow Expectations Update: US$367mn One-Way, Beigene Vs Peers Interesting

I see BeiGene Ltd (6160 HK) as a high conviction ADD and Country Garden Services Holdings (6098 HK) as a high conviction DEL. Separately, I see...

Janaghan Jeyakumar, CFA

HSCEI Index Rebalance Preview: Deletions Fairly Certain; Uncertainty Among the Adds

The two potential adds have outperformed the two potential deletes by 42% since end May and by 52% since end June. Shorts have jumped on Beigene...

Brian Freitas

HSCEI Sep23 Index Review/Flows - Trip.Com (9961) Added, CG Svcs (6098) Deleted; ~2.5% One Way

HSI Sep23 Index Review/Flows - Sinopharm (1099) IN, CoGard (2007) OUT; 100 Names a Loooong Way Off