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

Jiangxi Special Electric Motor A / Event-Driven

<ul>
<li>Three quarters of the way through the review period for the June rebalance of the CSI500 Index, we forecast 50 changes (the maximum permitted) at the close on 9 June.</li>
<li>There is a big sector skew in the potential changes. We estimate a one-way turnover of 11.47% at the June rebalance resulting in a one-way trade of CNY 10.11bn.</li>
<li>The potential adds have outperformed the potential deletes and the CSI500 Index over the last few weeks. There could be more outperformance till nearer the end of the review period.</li>
</ul>


Three quarters of the way through the review period for the June rebalance of the CSI500 Index, we forecast 50 changes (the maximum permitted) at the close on 9 June.
There is a big sector skew in the potential changes. We estimate a one-way turnover of 11.47% at the June rebalance resulting in a one-way trade of CNY 10.11bn.
The potential adds have outperformed the potential deletes and the CSI500 Index over the last few weeks. There could be more outperformance till nearer the end of the review period.


CSI500 Index Rebalance Preview: Potential Adds Continuing to Outperform

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

While a more cautious outlook is appropriate, as long as $77 holds (the September lows) we are constructive and would be buyers on a pullback. A move below $77 would start to get very concerning, and would leave $75 and the 200-day MA as last-ditch support. Considering the recent pullback we want to be sticking with areas that have continued to outperform in spite of recent broad market weakness. For that we look to the following leadership Sectors: Technology, Consumer Discretionary, Manufacturing, Materials, and Transportation

While a more cautious outlook is appropriate, as long as $77 holds (the September lows) we are constructive and would be buyers on a pullback. A move below $77 would start to get very concerning, and would leave $75 and the 200-day MA as last-ditch support. Considering the recent pullback we want to be sticking with areas that have continued to outperform in spite of recent broad market weakness. For that we look to the following leadership Sectors: Technology, Consumer Discretionary, Manufacturing, Materials, and Transportation

MSCI Emerging Markets Index / Technical Analysis

We are recommending a shift from developed international markets (EAFE) to emerging market equities, as the MSCI EM index is breaking topside resistance, the EM vs. EAFE ratio is bullishly inflecting, and the US dollar (DXY) exhibits signs of breaking down. Russia (RTS), Taiwan (TAIEX), and Brazil (Bovespa) are deserving of overweights in the EM realm, though China (MSCI China) appears to be bottoming as well -- add exposure. EM Sectors: Technology and Consumer Discretionary are leadership -- overweight. Communications is the next most attractive EM Sector thanks largely to improvement in Tencent (700-HK) -- add exposure. Lastly, Materials exhibits early signs of potential price and RS bottoms -- add selective exposure

We are recommending a shift from developed international markets (EAFE) to emerging market equities, as the MSCI EM index is breaking topside resistance, the EM vs. EAFE ratio is bullishly inflecting, and the US dollar (DXY) exhibits signs of breaking down. Russia (RTS), Taiwan (TAIEX), and Brazil (Bovespa) are deserving of overweights in the EM realm, though China (MSCI China) appears to be bottoming as well -- add exposure. EM Sectors: Technology and Consumer Discretionary are leadership -- overweight. Communications is the next most attractive EM Sector thanks largely to improvement in Tencent (700-HK) -- add exposure. Lastly, Materials exhibits early signs of potential price and RS bottoms -- add selective exposure

China

Zhejiang Wanliyang Transmission Co., Ltd. develops, manufactures and sells commercial vehicle transmission.  The Company's products include light duty cargo vehicle transmission, medium and heavy duty truck transmission, and commercial vehicle transmission.

Zj Wanliyang Transmission Co, Ltd. (002434 CH)

Zj Wanliyang Transmission Co, Ltd. (002434 CH)

CSI500 Index Rebalance Preview: Potential Adds Continuing to Outperform

We forecast 50 changes a side at the June rebal leading to a one-way turnover of 11.47% & in a one-way trade of CNY 10bn. The potential adds have...

Brian Freitas

Cautiously Optimistic on Global Equities

We are constructive on global equities and would be buyers on a pullback. A move below $77 would start to get very concerning, and would leave $75...

Vermilion Research

Shift Exposure From EAFE to EM

We are recommending a shift from developed international markets (EAFE) to emerging market equities, as the MSCI EM index is breaking topside...

Vermilion Research