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>With 85% of the review period now complete, we forecast 50 changes (the maximum permitted) 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 Smallcap 500 Index</a> at the close on 13 June.</li>
<li>We estimate a one-way turnover of 10% at the rebalance resulting in a round-trip trade of CNY26.4bn (US$3.6bn). The Information Technology gains at the expense of Healthcare and Consumer Staples.</li>
<li>The forecast adds have outperformed the forecast deletes and the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI Smallcap500 Index</a> over the last 6 months. The best part is that the volatility of the trade is very low.</li>
</ul>


With 85% of the review period now complete, we forecast 50 changes (the maximum permitted) for the CSI Smallcap 500 Index at the close on 13 June.
We estimate a one-way turnover of 10% at the rebalance resulting in a round-trip trade of CNY26.4bn (US$3.6bn). The Information Technology gains at the expense of Healthcare and Consumer Staples.
The forecast adds have outperformed the forecast deletes and the CSI Smallcap500 Index over the last 6 months. The best part is that the volatility of the trade is very low.


CSI500 Index Rebalance Preview: 50 Changes; 10% Turnover; US$3.6bn Round-Trip Trade

Kuang-Chi Technologies   / Index Rebalance

<ul>
<li>There could be 7 changes at the June rebalance with the Information Technology sector gaining 3 index spots and the Materials sector losing 3 spots.</li>
<li>We estimate one-way turnover of 1.45% at the rebalance leading to a round-trip trade of CNY 28.1bn (US$3.9bn). There are 6 stocks with over 2x ADV to trade.</li>
<li>There have been redemptions in mainland China ETFs over the last couple of months and that leads to a lower impact on the stocks compared to the last rebalance.</li>
</ul>


There could be 7 changes at the June rebalance with the Information Technology sector gaining 3 index spots and the Materials sector losing 3 spots.
We estimate one-way turnover of 1.45% at the rebalance leading to a round-trip trade of CNY 28.1bn (US$3.9bn). There are 6 stocks with over 2x ADV to trade.
There have been redemptions in mainland China ETFs over the last couple of months and that leads to a lower impact on the stocks compared to the last rebalance.


CSI300 Index Rebalance Preview: 7 Changes a Side as Market Trades in a Range

<ul>
<li>We look at the performance of the index rebalance strategy over the year using weekly forecasts. In short, it has been a mixed bag for Asia.</li>
<li>India and China have been among the worst performing markets in the region while Australia and Korea have been among the better performers.</li>
<li>A lot of the outperformance appears to be front loaded, so getting the forecasts right early in the review period is of paramount importance.</li>
</ul>


We look at the performance of the index rebalance strategy over the year using weekly forecasts. In short, it has been a mixed bag for Asia.
India and China have been among the worst performing markets in the region while Australia and Korea have been among the better performers.
A lot of the outperformance appears to be front loaded, so getting the forecasts right early in the review period is of paramount importance.


Index Rebalance Strategy YTD Performance: Not Many Places to Hide in Asia

Sieyuan Electric Co Ltd A / Index Rebalance

<ul>
<li>There are 16 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 <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 100 changes for the CSI1000 Index that will be implemented on 13 December.</li>
<li>There are 257 unique names that are adds or deletes and the round-trip trade across all 3 indices is close to US$9bn.</li>
<li>Stocks with the largest inflows and impact have outperformed stocks with the largest outflows and impact over the last few weeks. That could continue for the next couple of weeks.</li>
</ul>


There are 16 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 December.
There are 257 unique names that are adds or deletes and the round-trip trade across all 3 indices is close to US$9bn.
Stocks with the largest inflows and impact have outperformed stocks with the largest outflows and impact over the last few weeks. That could continue for the next couple of weeks.


CSI300/CSI500/CSI1000 Index Rebalance: US$9bn Round-Trip Trade

Asia L/S Equity PM/Macro/Thematic Idea Generation

Rikki Malik

Cross Asset Strategy

<ul>
<li>A monthly review of how the markets and our themes are currently performing</li>
<li>Analysing what went wrong and what went right in stocks and sectors</li>
<li>Highlighting positions added or removed from the thematic investment portfolio</li>
</ul>


A monthly review of how the markets and our themes are currently performing
Analysing what went wrong and what went right in stocks and sectors
Highlighting positions added or removed from the thematic investment portfolio


November Themes and Thematic Portfolio Review

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
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CSI Smallcap 500 Index - Shang (SH000905 INDEX EQUITY)

CSI500 Index Rebalance Preview: 50 Changes; 10% Turnover; US$3.6bn Round-Trip Trade

There should be 50 changes in June. Estimated 1-way turnover is 10% and the round-trip trade is US$3.6bn. The forecast adds have outperformed the...

Brian Freitas

CSI300 Index Rebalance Preview: 7 Changes a Side as Market Trades in a Range

There could be 7 changes for the CSI300 in June with a one-way turnover of 1.45% and a round-trip trade of US$3.9bn. The adds and deletes have...

Brian Freitas

Index Rebalance Strategy YTD Performance: Not Many Places to Hide in Asia

A positive start to the year for Asia index rebals has turned negative as the momentum/ value unwind began a few weeks ago. Higher volatility and a...

Brian Freitas

CSI300/CSI500/CSI1000 Index Rebalance: US$9bn Round-Trip Trade

The CSI indices (and a bunch of others) rebalance at the close today - it's going to be a big volume day in China. The CSI300 adds have...

Brian Freitas

November Themes and Thematic Portfolio Review

We review overall market performance, our investment themes, highlighting additions and substractions in the thematic portfolio.

Rikki Malik

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)