Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Highly experienced ex-Delta One trader with 17 years of experience trading arbitrage and related strategies across Asian markets.

Exempt Financial Adviser (EFA) under CrossASEAN Research Pte Ltd.

It is important to note that the information provided by Periscope Analytics is based on publicly available data and own knowledge, which has been gathered and synthesized from a variety of sources. While every effort has been made to ensure the accuracy and completeness of the information provided, it is not guaranteed to be free from errors or omissions.

All forecasts and estimates are based on information that has been obtained from public sources that are considered to be reliable. The sources include, but are not limited to, company announcements, exchange filings, ETF and other passive investment vehicle holdings, and free float and volume data from third-party data providers. Periscope Analytics does not guarantee the accuracy and completeness of the forecasts, estimates and/or other information.

Pan-Asia Index Rebalances/ Events/ Delta One

HSCEI June Index Rebalance Preview: Potential Changes & Impact of 8% Cap on Dividends

Baidu (9888 HK): HSCEI, HSTECH & HSCI Fast Entry

HSCEI Dividend Futures: June Index Review, Bank Divs, HFCAA - Sell the 2021/22 Steepener

HSCEI Index Rebalance Preview: One Deletion For Sure, Could Be One More Change

HSCEI Index Rebalances - The Year of the Ox and of More Change

HSI Market Consultation - Name Changes as We Await the Conclusions

Gravity Works As WeWork Doesn't; Now Plan B

Bifurcated Chinese Express Market Developing

Event-Driven

The Hang Seng Indexes Company Limited (HSIL) announced the results of its review of the Hang Seng Family of Indexes post market close on 26 February. The constituent changes will be effective after the close of trading on 12 March.For 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>, there are 2 inclusions and 4 exclusions. This brings the number of index constituents back down to 50.The inclusions are <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/nongfu-spring" target="_blank" data-smartkarma-citation="entities:28955:1" rel="noopener">Nongfu Spring (9633 HK)</a>, while the exclusions are <a href="https://www.smartkarma.com/entities/china-conch-venture-holdings-ltd" target="_blank" data-smartkarma-citation="entities:19943:1" rel="noopener">China Conch Venture Holdings (586 HK)</a>, <a href="https://www.smartkarma.com/entities/petrochina-co-ltd-h" target="_blank" data-smartkarma-citation="entities:262:1" rel="noopener">PetroChina (857 HK)</a>, <a href="https://www.smartkarma.com/entities/hengan-intl-group-co-ltd" target="_blank" data-smartkarma-citation="entities:29:1" rel="noopener">Hengan Intl Group (1044 HK)</a> and <a href="https://www.smartkarma.com/entities/china-resources-gas-group-ltd" target="_blank" data-smartkarma-citation="entities:20525:1" rel="noopener">China Resources Gas (1193 HK)</a>.One-way turnover is estimated at 5.62% and will result in a one-way trade of HK$4.10bn. The highest impact is on <a href="https://www.smartkarma.com/entities/china-conch-venture-holdings-ltd" target="_blank" data-smartkarma-citation="entities:19943:1" rel="noopener">China Conch Venture Holdings (586 HK)</a> at 3.5 days of ADV to sell from passive funds, while <a href="https://www.smartkarma.com/entities/china-resources-gas-group-ltd" target="_blank" data-smartkarma-citation="entities:20525:1" rel="noopener">China Resources Gas (1193 HK)</a> has almost 3 days of ADV to sell.There are only 10 trading days to implementation of the changes, but the changes were largely expected. We had <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> as a lower probability inclusion and <a href="https://www.smartkarma.com/entities/china-conch-venture-holdings-ltd" target="_blank" data-smartkarma-citation="entities:19943:1" rel="noopener">China Conch Venture Holdings (586 HK)</a> as a lower probability deletion, and there could be a larger impact on these two stocks.The conclusions of the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hong Kong Hang Seng Index (HSI INDEX)</a> market consultation are scheduled to be announced on Monday, 1 March. Depending on the increase in number of index constituents and the changes to the index methodology, some of the HSCEI inclusions/ exclusions could be added to/ deleted from the HSI at the June review and could result in additional same way flow on the stocks.

The Hang Seng Indexes Company Limited (HSIL) announced the results of its review of the Hang Seng Family of Indexes post market close on 26 February. The constituent changes will be effective after the close of trading on 12 March.For the Hang Seng China Enterprises Index (HSCEI INDEX), there are 2 inclusions and 4 exclusions. This brings the number of index constituents back down to 50.The inclusions are Country Garden Services Holdings (6098 HK) and Nongfu Spring (9633 HK), while the exclusions are China Conch Venture Holdings (586 HK), PetroChina (857 HK), Hengan Intl Group (1044 HK) and China Resources Gas (1193 HK).One-way turnover is estimated at 5.62% and will result in a one-way trade of HK$4.10bn. The highest impact is on China Conch Venture Holdings (586 HK) at 3.5 days of ADV to sell from passive funds, while China Resources Gas (1193 HK) has almost 3 days of ADV to sell.There are only 10 trading days to implementation of the changes, but the changes were largely expected. We had Country Garden Services Holdings (6098 HK) as a lower probability inclusion and China Conch Venture Holdings (586 HK) as a lower probability deletion, and there could be a larger impact on these two stocks.The conclusions of the Hong Kong Hang Seng Index (HSI INDEX) market consultation are scheduled to be announced on Monday, 1 March. Depending on the increase in number of index constituents and the changes to the index methodology, some of the HSCEI inclusions/ exclusions could be added to/ deleted from the HSI at the June review and could result in additional same way flow on the stocks.

Hang Seng China Enterprises Index (HSCEI INDEX)

HSCEI Index Rebalance: Two In, Four Out Brings Us Back to 50; HSI Consultation Could Increase Flow