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 is 1 constituent change for 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">STAR50 INDEX</a> and 4 changes for the STAR100 Index at the next rebalance that will be implemented at the close on 13 June.</li>
<li>We estimate turnover of 2.35% for 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 STAR50 (STAR50 INDEX)</a> and 4.9% for the STAR100 Index. The estimated round-trip trade is CNY 9.8bn (US$1.35bn).</li>
<li>There are multiple stocks that are adds or deletes for other indices and the passive flows will be a lot larger than just for the STAR50/STAR100 indices.</li>
</ul>


There is 1 constituent change for the STAR50 INDEX and 4 changes for the STAR100 Index at the next rebalance that will be implemented at the close on 13 June.
We estimate turnover of 2.35% for the SSE STAR50 (STAR50 INDEX) and 4.9% for the STAR100 Index. The estimated round-trip trade is CNY 9.8bn (US$1.35bn).
There are multiple stocks that are adds or deletes for other indices and the passive flows will be a lot larger than just for the STAR50/STAR100 indices.


STAR50/STAR100 Index Rebalance: 10 Changes and US$1.4bn Trade

Shanghai Rural Commercial Bank / Index Rebalance

<ul>
<li>There are 7 changes for the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a>, 50 changes for the CSI 500 Index and 100 changes for the CSI1000 Index that will be implemented on 13 June.</li>
<li>There are 240 unique names that are adds or deletes and the round-trip trade across all 3 indices is close to US$12bn.</li>
<li>The adds have outperformed the deletes for the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> and the CSI 1000 Index but underperformed 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>.</li>
</ul>


There are 7 changes for the CSI 300 Index, 50 changes for the CSI 500 Index and 100 changes for the CSI1000 Index that will be implemented on 13 June.
There are 240 unique names that are adds or deletes and the round-trip trade across all 3 indices is close to US$12bn.
The adds have outperformed the deletes for the CSI 300 Index and the CSI 1000 Index but underperformed for the CSI 500 Index.


CSI300/CSI500/CSI1000 Index Rebalance: Changes Lead to US$12bn Trade

<ul>
<li>There are 4 changes for the STAR Chip Index, 8 changes for the CES China Semiconductor Chips Index and 11 changes for the CSI All-Share Semiconductors &amp; Semiconductor Equipment Index.</li>
<li>There are multiple stocks that will have flows from passive trackers across the three indices. Multiple stocks will have passive flows from other index trackers across the China universe.</li>
<li>
<a href="https://www.smartkarma.com/entities/bestechnic-shanghai-co-ltd" target="_blank" data-smartkarma-citation="entities:33459:1" rel="noopener">Bestechnic Shanghai (688608 CH)</a> will have passive inflows from <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 INDEX</a>, <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>and CSI A500 Index trackers and outflows from the STAR100 Index and CSI1000 Index trackers.</li>
</ul>


There are 4 changes for the STAR Chip Index, 8 changes for the CES China Semiconductor Chips Index and 11 changes for the CSI All-Share Semiconductors &amp; Semiconductor Equipment Index.
There are multiple stocks that will have flows from passive trackers across the three indices. Multiple stocks will have passive flows from other index trackers across the China universe.

Bestechnic Shanghai (688608 CH) will have passive inflows from STAR50 INDEX, CSI 500 Index and CSI A500 Index trackers and outflows from the STAR100 Index and CSI1000 Index trackers.


STAR Chip/ CES Chips/ All Share Semi Index Rebalance: Multiple Index Flows for Some Stocks

Suzhou Maxwell Technologies  / Index Rebalance

<ul>
<li>There is one constituent change for the STAR&amp;CHINEXT 50 Index in June with AVIC Chengdu Aircraft Co (302132 CH) replacing <a href="https://www.smartkarma.com/entities/suzhou-maxwell-technologies-co" target="_blank" data-smartkarma-citation="entities:29819:1" rel="noopener">Suzhou Maxwell Technologies (300751 CH)</a>.</li>
<li>Passive trackers will need to buy 0.15x ADV in AVIC Chengdu Aircraft Co (302132 CH) and sell 0.4x ADV in <a href="https://www.smartkarma.com/entities/suzhou-maxwell-technologies-co" target="_blank" data-smartkarma-citation="entities:29819:1" rel="noopener">Suzhou Maxwell Technologies (300751 CH)</a>. </li>
<li>AVIC Chengdu Aircraft Co (302132 CH) is a <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> to <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> migration in June, so there will be more buying in the stock.</li>
</ul>


There is one constituent change for the STAR&amp;CHINEXT 50 Index in June with AVIC Chengdu Aircraft Co (302132 CH) replacing Suzhou Maxwell Technologies (300751 CH).
Passive trackers will need to buy 0.15x ADV in AVIC Chengdu Aircraft Co (302132 CH) and sell 0.4x ADV in Suzhou Maxwell Technologies (300751 CH). 
AVIC Chengdu Aircraft Co (302132 CH) is a CSI 500 Index to CSI 300 Index migration in June, so there will be more buying in the stock.


STAR&CHINEXT 50 Index Rebalance: One Change in June Adds to Other (Larger) Index Flows

<ul>
<li>It has been a decent year for the index rebalance strategy, though there have been some big hiccups along the way.</li>
<li>Forecasting the index changes and impacts has been important, but timing (especially momentum/value regime changes) and hedge selection have also been major factors affecting the returns of the strategy.</li>
<li>As passive AUM continues to increase, we expect focus on the strategy to continue in 2025 with market players taking different approaches to trading the potential and announced index changes.</li>
</ul>


It has been a decent year for the index rebalance strategy, though there have been some big hiccups along the way.
Forecasting the index changes and impacts has been important, but timing (especially momentum/value regime changes) and hedge selection have also been major factors affecting the returns of the strategy.
As passive AUM continues to increase, we expect focus on the strategy to continue in 2025 with market players taking different approaches to trading the potential and announced index changes.


How Has the Index Rebalance Strategy Performed in 2024?

China

CSI 500 index aims to comprehensively reflect the price fluctuation and performance of the small-cap companies in Shanghai and Shenzhen securities market. The index has a base value of 1000 as of December 31, 2004.

CSI Smallcap 500 Index - Shang (SH000905 INDEX EQUITY)

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

CSI Smallcap 500 Index - Shang (SH000905 INDEX EQUITY)

STAR50/STAR100 Index Rebalance: 10 Changes and US$1.4bn Trade

There is 1 STAR50 changes and 4 STAR100 changes. The round-trip trade across both indices is US$1.4bn. Bestechnic Shanghai will have more inflows...

Brian Freitas

CSI300/CSI500/CSI1000 Index Rebalance: Changes Lead to US$12bn Trade

The 314 changes to the CSI300/500/1000 indices lead to 240 unique names. The round-trip trade across all three indices is around US$12bn. Some...

Brian Freitas

STAR&CHINEXT 50 Index Rebalance: One Change in June Adds to Other (Larger) Index Flows

AVIC Chengdu Aircraft replaces Suzhou Maxwell Technologies. AVIC Chengdu Aircraft is also a CSI500 to CSI300 migration (net inflows) while Suzhou...

Brian Freitas

How Has the Index Rebalance Strategy Performed in 2024?

The index rebalance strategy has performed reasonably well this year. Accurate forecasting of index changes and optimal hedge selection have played...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

STAR50/STAR100 Index Rebalance: 10 Changes and US$1.4bn Trade

There is 1 STAR50 changes and 4 STAR100 changes. The round-trip trade across both indices is US$1.4bn. Bestechnic Shanghai will have more inflows...

Brian Freitas

CSI300/CSI500/CSI1000 Index Rebalance: Changes Lead to US$12bn Trade

The 314 changes to the CSI300/500/1000 indices lead to 240 unique names. The round-trip trade across all three indices is around US$12bn. Some...

Brian Freitas

STAR Chip/ CES Chips/ All Share Semi Index Rebalance: Multiple Index Flows for Some Stocks

There are 4 changes for the STAR Chip Index, 8 changes for the CES China Semiconductor Chips Index and 11 changes for the CSI All-Share...

Brian Freitas

STAR&CHINEXT 50 Index Rebalance: One Change in June Adds to Other (Larger) Index Flows

AVIC Chengdu Aircraft replaces Suzhou Maxwell Technologies. AVIC Chengdu Aircraft is also a CSI500 to CSI300 migration (net inflows) while Suzhou...

Brian Freitas

How Has the Index Rebalance Strategy Performed in 2024?

The index rebalance strategy has performed reasonably well this year. Accurate forecasting of index changes and optimal hedge selection have played...

Brian Freitas