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

Shanghai United Imaging Health / Index Rebalance

Shanghai United Imaging Health (688271 CH)

<ul>
<li>Nearly 90% of the way through the review period, we see 4 changes using a 12 month minimum listing history, and 5 changes using a 6 month minimum listing history.</li>
<li>There are overlaps in the inclusions using 6/12 month minimum listing history, so there is less risk if the index committee switches from 6 to 12 months at the review.</li>
<li>Using a 6 month minimum listing history, one-way turnover is estimated at 5.07% and will result in a one-way trade of CNY 2,795m.</li>
</ul>


Nearly 90% of the way through the review period, we see 4 changes using a 12 month minimum listing history, and 5 changes using a 6 month minimum listing history.
There are overlaps in the inclusions using 6/12 month minimum listing history, so there is less risk if the index committee switches from 6 to 12 months at the review.
Using a 6 month minimum listing history, one-way turnover is estimated at 5.07% and will result in a one-way trade of CNY 2,795m.


STAR50 Index Rebalance Preview: Four or Five Changes in December

Beijing Roborock Technology  / Index Rebalance

Yesterday evening post market close, the Shanghai Stock Exchange and China Securities Index Company announced the changes to the <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">SSE STAR 50 (STAR50 INDEX)</a>. The changes will be effective after the close of trading on 11 December.The  inclusions are <a href="https://www.smartkarma.com/entities/national-silicon-industry-a" target="_blank" data-smartkarma-citation="entities:30349:1" rel="noopener">National Silicon Industry -A (688126 CH)</a>, <a href="https://www.smartkarma.com/entities/beijing-roborock-technolog-a" target="_blank" data-smartkarma-citation="entities:30358:1" rel="noopener">Beijing Roborock Technolog-A (688169 CH)</a>, <a href="https://www.smartkarma.com/entities/autel-intelligent-technolo-a" target="_blank" data-smartkarma-citation="entities:30369:1" rel="noopener">Autel Intelligent Technolo-A (688208 CH)</a>, <a href="https://www.smartkarma.com/entities/china-resources-microelect-a" target="_blank" data-smartkarma-citation="entities:30396:1" rel="noopener">China Resources Microelect-A (688396 CH)</a> and SMIC (688981 CH).The deletions are <a href="https://www.smartkarma.com/entities/suzhou-harmontronics-autom-a" target="_blank" data-smartkarma-citation="entities:30315:1" rel="noopener">Suzhou Harmontronics Autom-A (688022 CH)</a>, <a href="https://www.smartkarma.com/entities/beijing-worldia-diamond-tools" target="_blank" data-smartkarma-citation="entities:30319:1" rel="noopener">Beijing Worldia Diamond Tools (688028 CH)</a>, <a href="https://www.smartkarma.com/entities/beijing-tianyishangjia-new-a" target="_blank" data-smartkarma-citation="entities:30322:1" rel="noopener">Beijing Tianyishangjia New-A (688033 CH)</a>, <a href="https://www.smartkarma.com/entities/beijing-baolande-software-a" target="_blank" data-smartkarma-citation="entities:30327:1" rel="noopener">Beijing Baolande Software-A (688058 CH)</a> and <a href="https://www.smartkarma.com/entities/beijing-abt-networks-co-ltd" target="_blank" data-smartkarma-citation="entities:30357:1" rel="noopener">Beijing ABT Networks Co Ltd (688168 CH)</a>.With a little more than CNY 21bn benchmarked to the <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">SSE STAR 50 (STAR50 INDEX)</a>, there is quite an impact expected on a few stocks. One-way turnover is close to 30% and the funding flow will impact quite a few index constituents with over 1.5 days of ADV to sell. There are only 11 trading days to implementation and we do not expect a lot of pre-positions have been built up on the stocks.

Yesterday evening post market close, the Shanghai Stock Exchange and China Securities Index Company announced the changes to the SSE STAR 50 (STAR50 INDEX). The changes will be effective after the close of trading on 11 December.The  inclusions are National Silicon Industry -A (688126 CH), Beijing Roborock Technolog-A (688169 CH), Autel Intelligent Technolo-A (688208 CH), China Resources Microelect-A (688396 CH) and SMIC (688981 CH).The deletions are Suzhou Harmontronics Autom-A (688022 CH), Beijing Worldia Diamond Tools (688028 CH), Beijing Tianyishangjia New-A (688033 CH), Beijing Baolande Software-A (688058 CH) and Beijing ABT Networks Co Ltd (688168 CH).With a little more than CNY 21bn benchmarked to the SSE STAR 50 (STAR50 INDEX), there is quite an impact expected on a few stocks. One-way turnover is close to 30% and the funding flow will impact quite a few index constituents with over 1.5 days of ADV to sell. There are only 11 trading days to implementation and we do not expect a lot of pre-positions have been built up on the stocks.

STAR 50 Index Rebalance: We Thought BIG, Turns Out Its BIGGER

China

Autel Intelligent Technology Corp., Ltd manufactures automobile equipment. The Company produces automotive diagnostic and analysis systems, automotive key tools, electrical testers, code readers and scanners, and other relates equipment. Autel Intelligent Technology markets its products worldwide.

Autel Intelligent Technology C (688208 CH)

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Autel Intelligent Technology C (688208 CH)

STAR50 Index Rebalance Preview: Four or Five Changes in December

There could be 4/5 changes if a 12/6 month minimum listing history is used. Using a 6 month minimum listing history, one-way turnover is estimated...

Brian Freitas

STAR 50 Index Rebalance: We Thought BIG, Turns Out Its BIGGER

The second rebalance of the STAR50 index is going be BIG with 5 additions/deletions and one-way turnover of 30%. We do not expect a lot of pre...

Brian Freitas

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