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>The review period for the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY</a> family of indices, <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a>, <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</a>, the KRX New Deal Index and a global index ends on 31 January.</li>
<li>The January rebalance of the IDX30 and LQ45 indices will be implemented at the close of trading on 31 January.</li>
<li>There have been huge inflows into the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> ETFs for another week. This will increase the impact on the index changes at the next rebalance.</li>
</ul>


The review period for the NIFTY family of indices, Nikkei 225, STAR50, the KRX New Deal Index and a global index ends on 31 January.
The January rebalance of the IDX30 and LQ45 indices will be implemented at the close of trading on 31 January.
There have been huge inflows into the CSI 300 Index ETFs for another week. This will increase the impact on the index changes at the next rebalance.


Index Rebalance & ETF Flow Recap: CSI300, CSI500, SSE50, ChiNext, KOSPI200, Renesas, IDX30/LQ45

<ul>
<li>With three-quarters of the review period nearly 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 500 Index</a> at the close on 14 June.</li>
<li>There is a big sector skew in the potential changes. We estimate a one-way turnover of 9.1% at the June rebalance resulting in a one-way trade of CNY 5.34bn.</li>
<li>The potential adds and 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 500 Index</a> have performed in line since August and the current setup appears attractive.</li>
</ul>


With three-quarters of the review period nearly complete, we forecast 50 changes (the maximum permitted) for the CSI 500 Index at the close on 14 June.
There is a big sector skew in the potential changes. We estimate a one-way turnover of 9.1% at the June rebalance resulting in a one-way trade of CNY 5.34bn.
The potential adds and deletes and the CSI 500 Index have performed in line since August and the current setup appears attractive.


CSI500 Index Rebalance Preview: High Turnover & Big Flow

Jiangsu Zhongtian Technologies Co, Ltd. / Index Rebalance

<ul>
<li>With three-quarters of the review period nearly complete, there could be 12 changes for the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX)</a> in June.</li>
<li>We estimate one-way turnover of 1.3% at the June rebalance leading to a one-way trade of CNY 5.06bn. There are a lot of stocks with over 1x ADV to trade.</li>
<li>There have been big ETF inflows to the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> trackers, but the potential adds have still outperformed the index and the potential deletes.</li>
</ul>


With three-quarters of the review period nearly complete, there could be 12 changes for the Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX) in June.
We estimate one-way turnover of 1.3% at the June rebalance leading to a one-way trade of CNY 5.06bn. There are a lot of stocks with over 1x ADV to trade.
There have been big ETF inflows to the CSI 300 Index trackers, but the potential adds have still outperformed the index and the potential deletes.


CSI300 Index Rebalance Preview: A Dozen Changes for June

Articles from Caixin Global, Caixin Global

Caixin Global

Articles from Caixin Global

Caixin is a media group dedicated to providing financial and business news through periodicals, online content, mobile apps, conferences, books and TV/video programs. Caixin aims to blaze a trail that helps traditional media prosper in the new media age through integrated multimedia platforms.

News from Caixin

Thematic (Sector/Industry)

<ul><li>Chinese regulators are pressing banks to step up lending and ease financing for developers as part of efforts to boost the ailing property sector.</li><li>At a meeting with China’s most important financial institutions last Friday, regulators brought up three new requirements for banks’ real estate loans to developers and homebuyers, people from several state-owned large banks attending the meeting told Caixin.</li><li>The banks were told to keep their real estate loan growth at a level no lower than the banking sector’s average real estate loan growth, loan growth to non-state-owned developers no lower than each bank’s real estate loan growth, and mortgage growth to individuals buying housing from non-state-owned developers no lower than each bank’s mortgage growth, the people said.</li></ul>

Chinese regulators are pressing banks to step up lending and ease financing for developers as part of efforts to boost the ailing property sector.At a meeting with China’s most important financial institutions last Friday, regulators brought up three new requirements for banks’ real estate loans to developers and homebuyers, people from several state-owned large banks attending the meeting told Caixin.The banks were told to keep their real estate loan growth at a level no lower than the banking sector’s average real estate loan growth, loan growth to non-state-owned developers no lower than each bank’s real estate loan growth, and mortgage growth to individuals buying housing from non-state-owned developers no lower than each bank’s mortgage growth, the people said.

China Drafts List of Developers Eligible for Funding, Asks Banks to Boost Real Estate Lending 

<ul><li>Investment in Chinese real estate contracted 9.1% in the first nine months of 2023 from a year earlier, official data showed Wednesday, a bigger drop than in the first eight months of the year.</li><li>The decline means developers are spending less buying land and building housing. Construction starts measured by floor area fell 23.4% year-on-year, and total ongoing construction area dropped 7.1%, according to data released by the National Bureau of Statistics (NBS).</li><li>The declines reflect developers’ lack of confidence amid a prolonged crisis in the sector. Property sales by floor area decreased 7.5% in January-September from a year earlier, compared with a 7.1% contraction in the first eight months.</li></ul>

Investment in Chinese real estate contracted 9.1% in the first nine months of 2023 from a year earlier, official data showed Wednesday, a bigger drop than in the first eight months of the year.The decline means developers are spending less buying land and building housing. Construction starts measured by floor area fell 23.4% year-on-year, and total ongoing construction area dropped 7.1%, according to data released by the National Bureau of Statistics (NBS).The declines reflect developers’ lack of confidence amid a prolonged crisis in the sector. Property sales by floor area decreased 7.5% in January-September from a year earlier, compared with a 7.1% contraction in the first eight months.

Investment in Chinese Real Estate Dropped 9.1% in First Three Quarters

China

Seazen Holdings Co., Ltd. operates as a real estate development company. The Company develops residential buildings, office buildings, commercial buildings, infrastructure facilities, and more. Seazen Holdings also provides market research, information consulting, and other services.

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Index Rebalance & ETF Flow Recap: CSI300, CSI500, SSE50, ChiNext, KOSPI200, Renesas, IDX30/LQ45

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

CSI500 Index Rebalance Preview: High Turnover & Big Flow

We forecast 50 changes in June leading to one-way turnover of 9.1% and one-way trade of CNY 5.34bn. There will be over 1x ADV to trade on 28...

Brian Freitas

CSI300 Index Rebalance Preview: A Dozen Changes for June

We forecast 12 changes for the CSI300 Index in June with a one-way turnover of 1.3% and one-way trade of US$703m. The potential adds have...

Brian Freitas

China Drafts List of Developers Eligible for Funding, Asks Banks to Boost Real Estate Lending

Chinese regulators are pressing banks to step up lending and ease financing for developers as part of efforts to boost the ailing property...

Caixin Global

Investment in Chinese Real Estate Dropped 9.1% in First Three Quarters

Investment in Chinese real estate contracted 9.1% in the first nine months of 2023 from a year earlier, official data showed Wednesday, a bigger...

Caixin Global

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