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>There will be 10 changes for the <a href="https://www.smartkarma.com/entities/chinext-price-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">Chinext Price Index (SZ399006 INDEX)</a> and 5 changes for the ChiNext 50 Index. Implementation is at the close on 9 June.</li>
<li>One-Way turnover for the <a href="https://www.smartkarma.com/entities/chinext-price-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">Chinext Price Index</a> is estimated at 3.17% while the one-way turnover for the ChiNext50 Index is 6.61%. The one-way trade across both indices is CNY 2.72bn.</li>
<li>The adds have outperformed the deletes by a huge margin over the last 3 months and there could be profit taking into implementation.</li>
</ul>


There will be 10 changes for the Chinext Price Index (SZ399006 INDEX) and 5 changes for the ChiNext 50 Index. Implementation is at the close on 9 June.
One-Way turnover for the Chinext Price Index is estimated at 3.17% while the one-way turnover for the ChiNext50 Index is 6.61%. The one-way trade across both indices is CNY 2.72bn.
The adds have outperformed the deletes by a huge margin over the last 3 months and there could be profit taking into implementation.


ChiNext/​​ChiNext 50 Index Rebalance: On Expected Lines as Adds Outperform Deletes

<ul>
<li>With 1 trading day left in the review period, we forecast 10 changes for the <a href="https://www.smartkarma.com/entities/chinext-price-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">Chinext Price Index (SZ399006 INDEX)</a> and 5 changes for the ChiNext 50 Index in June.</li>
<li>Passive trackers are estimated to trade around +/-0.5 days ADV on most of the potential adds/deletes, though there are some deletes that will have over 1 day ADV to sell.</li>
<li>The potential inclusion to one or both indices have outperformed the potential deletes by a huge margin in the last month. We'd be inclined to trim positions.</li>
</ul>


With 1 trading day left in the review period, we forecast 10 changes for the Chinext Price Index (SZ399006 INDEX) and 5 changes for the ChiNext 50 Index in June.
Passive trackers are estimated to trade around +/-0.5 days ADV on most of the potential adds/deletes, though there are some deletes that will have over 1 day ADV to sell.
The potential inclusion to one or both indices have outperformed the potential deletes by a huge margin in the last month. We'd be inclined to trim positions.


ChiNext/​​ChiNext50 Index Rebalance Preview: Outperformance Maintained

<ul>
<li>Three quarters of the way through the review period, we forecast 10 changes for the <a href="https://www.smartkarma.com/entities/chinext-price-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">Chinext Price Index (SZ399006 INDEX)</a> and 5 changes for the ChiNext 50 Index in June.</li>
<li>Passive trackers will need to buy +/-0.5 days of ADV for most inclusions and exclusions from the indices. On average, the impact on the potential deletions is higher.</li>
<li>The potential adds have outperformed the potential deletes over the last six months, and there has been a sharp widening of the gap over the last few weeks.</li>
</ul>


Three quarters of the way through the review period, we forecast 10 changes for the Chinext Price Index (SZ399006 INDEX) and 5 changes for the ChiNext 50 Index in June.
Passive trackers will need to buy +/-0.5 days of ADV for most inclusions and exclusions from the indices. On average, the impact on the potential deletions is higher.
The potential adds have outperformed the potential deletes over the last six months, and there has been a sharp widening of the gap over the last few weeks.


ChiNext/​ChiNext50 Index Rebalance Preview: Overlapping Stocks & Recent Outperformance

Hunan Zhongke Electric Co,Ltd. / Index Rebalance

<ul>
<li>There will be 10 changes for the <a href="https://www.smartkarma.com/entities/chinext-price-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">Chinext Price Index</a> and 5 changes for the ChiNext 50 Index. Implementation is at the close on 9 December.</li>
<li>One surprise is the inclusion of <a href="https://www.smartkarma.com/entities/hunan-zhongke-electric-co-ltd" target="_blank" data-smartkarma-citation="entities:13009:1" rel="noopener">Hunan Zhongke Electric Co,Ltd. (300035 CH)</a> in both indices. Four stocks are adds to both indices while two stocks are deletes from both indices.</li>
<li>The adds have outperformed the deletes over the last 8 months but have given up some of the gains over the last month. There is a big sector skew.</li>
</ul>


There will be 10 changes for the Chinext Price Index and 5 changes for the ChiNext 50 Index. Implementation is at the close on 9 December.
One surprise is the inclusion of Hunan Zhongke Electric Co,Ltd. (300035 CH) in both indices. Four stocks are adds to both indices while two stocks are deletes from both indices.
The adds have outperformed the deletes over the last 8 months but have given up some of the gains over the last month. There is a big sector skew.


ChiNext/​ChiNext 50 Index Rebalance: Materials & Industrials Take Spots from IT, Health Care

Hubei Feilihua Quartz Glass  / Index Rebalance

<ul>
<li>At the end of the review period, we forecast 10 changes for the <a href="https://www.smartkarma.com/entities/chinext-price-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">Chinext Price Index (SZ399006 INDEX)</a> and 5 changes for the ChiNext 50 Index in December.</li>
<li>Passive trackers will need to buy +/-0.5 days of ADV for most inclusions and exclusions from the indices. The impact on the potential deletions is higher on average.</li>
<li>The potential adds have outperformed the potential deletes over the last six months, though there has been a sharp narrowing of the gap over the last few weeks.</li>
</ul>


At the end of the review period, we forecast 10 changes for the Chinext Price Index (SZ399006 INDEX) and 5 changes for the ChiNext 50 Index in December.
Passive trackers will need to buy +/-0.5 days of ADV for most inclusions and exclusions from the indices. The impact on the potential deletions is higher on average.
The potential adds have outperformed the potential deletes over the last six months, though there has been a sharp narrowing of the gap over the last few weeks.


ChiNext/ChiNext50 Index Rebalance Preview: Overlapping Stocks & Mean Reversion

China

ChiNext is an independent market, offering a platform for the needs of enterprises engaged in independent innovation and other growing venture enterprises. The ChiNext board indices comprehensively and objectively reflect the overall price move of ChiNext board stocks. It is launched and released on 06/01/2010

Price Gauge
52-week Range	0.00 - 0.00
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Dividend (Yield)	0.00

ChiNext Index (SZ399006 INDEX EQUITY)

ChiNext/ChiNext 50 Index Rebalance: On Expected Lines as Adds Outperform Deletes

There are 10 changes for the Chinext & 5 changes for the Chinext50. The adds have outperformed the deletes by a huge margin over the last 3 months...

Brian Freitas

ChiNext/ChiNext50 Index Rebalance Preview: Outperformance Maintained

We forecast 10 changes for the Chinext and 5 for the Chinext50. Impact is not large but these are liquid stocks that are moving. The potential adds...

Brian Freitas

ChiNext/ChiNext50 Index Rebalance Preview: Overlapping Stocks & Recent Outperformance

We forecast 10 changes to the ChiNext & 5 changes to the ChiNext50 in June. There are a few overlapping stocks & the potential adds have...

Brian Freitas

ChiNext/ChiNext 50 Index Rebalance: Materials & Industrials Take Spots from IT, Health Care

10 changes for Chinext and 5 for Chinext 50. Most changes were expected and there is a big sector skew. One surprise is the inclusion of Hunan...

Brian Freitas

ChiNext/ChiNext50 Index Rebalance Preview: Overlapping Stocks & Mean Reversion

We forecast 10 changes to the ChiNext & 5 changes to the ChiNext50 in Dec. There are a few overlapping stocks and the potential adds have...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

ChiNext/​​ChiNext 50 Index Rebalance: On Expected Lines as Adds Outperform Deletes

There are 10 changes for the Chinext & 5 changes for the Chinext50. The adds have outperformed the deletes by a huge margin over the last 3 months...

Brian Freitas

ChiNext/​​ChiNext50 Index Rebalance Preview: Outperformance Maintained

We forecast 10 changes for the Chinext and 5 for the Chinext50. Impact is not large but these are liquid stocks that are moving. The potential adds...

Brian Freitas

ChiNext/​ChiNext50 Index Rebalance Preview: Overlapping Stocks & Recent Outperformance

We forecast 10 changes to the ChiNext & 5 changes to the ChiNext50 in June. There are a few overlapping stocks & the potential adds have...

Brian Freitas

ChiNext/​ChiNext 50 Index Rebalance: Materials & Industrials Take Spots from IT, Health Care

10 changes for Chinext and 5 for Chinext 50. Most changes were expected and there is a big sector skew. One surprise is the inclusion of Hunan...

Brian Freitas

ChiNext/ChiNext50 Index Rebalance Preview: Overlapping Stocks & Mean Reversion

We forecast 10 changes to the ChiNext & 5 changes to the ChiNext50 in Dec. There are a few overlapping stocks and the potential adds have...

Brian Freitas

ChiNext/ChiNext 50 Index Rebalance: On Expected Lines as Adds Outperform Deletes

ChiNext/ChiNext50 Index Rebalance Preview: Outperformance Maintained

ChiNext/ChiNext50 Index Rebalance Preview: Overlapping Stocks & Recent Outperformance

ChiNext/ChiNext 50 Index Rebalance: Materials & Industrials Take Spots from IT, Health Care