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 December rebalance ends 31 October. We expect the changes to be announced 24 November with the implementation taking place after the close on 8 December.</li>
<li>We expect the index committee to continue using a 6-month minimum listing history resulting in one change to the index.</li>
<li>One way turnover is estimated at 1.6% resulting in a one-way trade of CNY 2,259m. The impact on the deletion will be much larger than that on the inclusion.</li>
</ul>


The review period for the December rebalance ends 31 October. We expect the changes to be announced 24 November with the implementation taking place after the close on 8 December.
We expect the index committee to continue using a 6-month minimum listing history resulting in one change to the index.
One way turnover is estimated at 1.6% resulting in a one-way trade of CNY 2,259m. The impact on the deletion will be much larger than that on the inclusion.


STAR50 Index Rebalance Preview: Bigger Tracking AUM = Bigger Impact

China

AIMA Technology Group Co., Ltd manufactures vehicles. The Company produces electric tricycles, electric four wheelers, sightseeing cars, recreational vehicles, and other equipment. AIMA Technology Group markets its products throughout China.

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AIMA Technology Group (603529 CH)

STAR50 Index Rebalance Preview: Bigger Tracking AUM = Bigger Impact

There could be one change in December resulting in a one-way turnover of 1.6% and a one-way trade of CNY 2,259m. The impact of passive trading on...

Brian Freitas

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