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

Event-Driven

<ul>
<li>Over US$55bn has been redeemed from mainland China ETFs over the last 3 weeks. Headline ETFs take the largest hit while there have been inflows to sector ETFs.</li>
<li>The large-scale redemptions across a variety of indices point to the National Team unwinding holdings that have been built up over the last year. </li>
<li>Margin trading rules have been tightened, and this could be another way of ensuring that markets do not run-up too far in the short-term.</li>
</ul>


Over US$55bn has been redeemed from mainland China ETFs over the last 3 weeks. Headline ETFs take the largest hit while there have been inflows to sector ETFs.
The large-scale redemptions across a variety of indices point to the National Team unwinding holdings that have been built up over the last year. 
Margin trading rules have been tightened, and this could be another way of ensuring that markets do not run-up too far in the short-term.


China ETF: Huge Outflows; National Team Unwinding?

Smartkarma AI Primers, Smartkarma

αSK Primers

Smartkarma AI Primers

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Equity Bottom-Up

CSI Smallcap 500 Index - Shang / Equity Bottom-Up

CSI Smallcap 500 Index - Shang (SH000905 INDEX EQUITY)

<ul>
  <li>The CSI Smallcap 500 Index offers diversified exposure to 500 of the leading small- to mid-capitalization companies in China's A-share market, providing a key benchmark for this dynamic segment of the world's second-largest economy.</li>
  <li>Characterized by a focus on 'new economy' sectors such as healthcare, information technology, and industrials, the index presents significant growth potential, driven by China's ongoing economic transformation and policy support for innovation.</li>
  <li>Investors should be cognizant of the inherent risks, including heightened volatility typical of small-cap equities, the opaque and evolving regulatory landscape in China, and the macroeconomic headwinds that could impact corporate earnings and market sentiment.</li>
</ul><p><em>This content is AI-generated and displayed for general informational purposes only. Please verify independently before use.</em></p>


  The CSI Smallcap 500 Index offers diversified exposure to 500 of the leading small- to mid-capitalization companies in China's A-share market, providing a key benchmark for this dynamic segment of the world's second-largest economy.
  Characterized by a focus on 'new economy' sectors such as healthcare, information technology, and industrials, the index presents significant growth potential, driven by China's ongoing economic transformation and policy support for innovation.
  Investors should be cognizant of the inherent risks, including heightened volatility typical of small-cap equities, the opaque and evolving regulatory landscape in China, and the macroeconomic headwinds that could impact corporate earnings and market sentiment.
This content is AI-generated and displayed for general informational purposes only. Please verify independently before use.

Primer: CSI Smallcap 500 Index - Shang (SH000905 INDEX) - Aug 2026

Index Rebalance

<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?

<ul>
<li>
<a href="https://www.smartkarma.com/entities/ping-an-insurance-group-co-of-c2975d60-47cd-4246-a7a6-25297586242b" target="_blank" data-smartkarma-citation="entities:24682:1" rel="noopener">Ping An Insurance (601318 CH)</a> trades at a 40% premium to <a href="https://www.smartkarma.com/entities/ping-an-insurance-grp-co-of-china-ltd" target="_blank" data-smartkarma-citation="entities:12880:1" rel="noopener">Ping An Insurance (2318 HK)</a>. The premium has blown out the last week and there could be a reversal.</li>
<li>The difference in Ping An's AH premium versus the HSAHP Index has shrunk to its narrowest level in the last 10 years.</li>
<li>Shareholding in <a href="https://www.smartkarma.com/entities/ping-an-insurance-group-co-of-c2975d60-47cd-4246-a7a6-25297586242b" target="_blank" data-smartkarma-citation="entities:24682:1" rel="noopener">Ping An Insurance Group of (601318 CH)</a> via Northbound Connect has dropped and shareholding in <a href="https://www.smartkarma.com/entities/ping-an-insurance-grp-co-of-china-ltd" target="_blank" data-smartkarma-citation="entities:12880:1" rel="noopener">Ping An Insurance (H) (2318 HK)</a> via Southbound Connect has increased steadily.</li>
</ul>



Ping An Insurance (601318 CH) trades at a 40% premium to Ping An Insurance (2318 HK). The premium has blown out the last week and there could be a reversal.
The difference in Ping An's AH premium versus the HSAHP Index has shrunk to its narrowest level in the last 10 years.
Shareholding in Ping An Insurance Group of (601318 CH) via Northbound Connect has dropped and shareholding in Ping An Insurance (H) (2318 HK) via Southbound Connect has increased steadily.


Ping An A/​H Premium: Blow Out Could Lead to Sharp Reversal

Hong Kong Exchanges and Clearing / Index Rebalance

Hong Kong Exchanges and Clearing (388 HK)

<ul>
<li>The FRTIB benchmark switch from the EAFE Index to the ACWI IMI ex-USA ex-China ex-Hong Kong Index will result in a round trip trade of around US$56bn.</li>
<li>The 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">CSI 300</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</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>, <a href="https://www.smartkarma.com/entities/shanghai-stock-exchange-sse-50-a-share-index" target="_blank" data-smartkarma-citation="entities:31073:1" rel="noopener">SSE50</a> and a bunch of other mainland China indices will be announced after market close on Friday.</li>
<li>Relatively quiet week for ETF flows with no major creations or redemptions during the week.</li>
</ul>


The FRTIB benchmark switch from the EAFE Index to the ACWI IMI ex-USA ex-China ex-Hong Kong Index will result in a round trip trade of around US$56bn.
The changes for the CSI 300, CSI 500, STAR50, SSE50 and a bunch of other mainland China indices will be announced after market close on Friday.
Relatively quiet week for ETF flows with no major creations or redemptions during the week.


Index Rebalance & ETF Flow Recap: FRTIB, Japan, CSI300, CSI500, STAR50, WuXi XDC, Asahi

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.

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

CSI Smallcap 500 Index - Shang (SH000905 INDEX EQUITY)

China ETF: Huge Outflows; National Team Unwinding?

Our numbers indicate over US$55bn of redemptions from mainland China ETFs in the last 3 weeks. All fingers point to the National Team and this...

Brian Freitas

Primer: CSI Smallcap 500 Index - Shang (SH000905 INDEX) - Aug 2026

The CSI Smallcap 500 Index offers diversified exposure to 500 of the leading small- to mid-capitalization companies in China's A-share market,...

αSK Primers

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

Ping An A/H Premium: Blow Out Could Lead to Sharp Reversal

The Ping An AH premium has dropped from the highs of 40% mid last week. There should be a further drop in the AH premium, but it could be a bumpy...

Brian Freitas

Index Rebalance & ETF Flow Recap: FRTIB, Japan, CSI300, CSI500, STAR50, WuXi XDC, Asahi

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

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

China ETF: Huge Outflows; National Team Unwinding?

Our numbers indicate over US$55bn of redemptions from mainland China ETFs in the last 3 weeks. All fingers point to the National Team and this...

Brian Freitas

Primer: CSI Smallcap 500 Index - Shang (SH000905 INDEX) - Aug 2026

The CSI Smallcap 500 Index offers diversified exposure to 500 of the leading small- to mid-capitalization companies in China's A-share market,...

αSK Primers

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

Ping An A/​H Premium: Blow Out Could Lead to Sharp Reversal

The Ping An AH premium has dropped from the highs of 40% mid last week. There should be a further drop in the AH premium, but it could be a bumpy...

Brian Freitas

Index Rebalance & ETF Flow Recap: FRTIB, Japan, CSI300, CSI500, STAR50, WuXi XDC, Asahi

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

Brian Freitas

Ping An A/H Premium: Blow Out Could Lead to Sharp Reversal