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

Jiangsu Cnano Technology  Lt / Index Rebalance

<ul>
<li>The review period for the June rebalance ends 30 April. We expect the changes to be announced 26 May with the implementation taking place after the close on 9 June.</li>
<li>We expect the index committee to continue using a 6-month minimum listing history resulting in two changes to the index.</li>
<li>One way turnover is estimated at 1.6% resulting in a one-way trade of CNY 1,442m. The impact on the deletions will be larger than that on the inclusions.</li>
</ul>


The review period for the June rebalance ends 30 April. We expect the changes to be announced 26 May with the implementation taking place after the close on 9 June.
We expect the index committee to continue using a 6-month minimum listing history resulting in two changes to the index.
One way turnover is estimated at 1.6% resulting in a one-way trade of CNY 1,442m. The impact on the deletions will be larger than that on the inclusions.


STAR50 Index Rebalance Preview: Two Changes in June (Possibly)

Jiangxi Special Electric Motor A / Index Rebalance

<ul>
<li>Three quarters of the way through the review period for the June rebalance of the CSI500 Index, we forecast 50 changes (the maximum permitted) at the close on 9 June.</li>
<li>There is a big sector skew in the potential changes. We estimate a one-way turnover of 11.47% at the June rebalance resulting in a one-way trade of CNY 10.11bn.</li>
<li>The potential adds have outperformed the potential deletes and the CSI500 Index over the last few weeks. There could be more outperformance till nearer the end of the review period.</li>
</ul>


Three quarters of the way through the review period for the June rebalance of the CSI500 Index, we forecast 50 changes (the maximum permitted) at the close on 9 June.
There is a big sector skew in the potential changes. We estimate a one-way turnover of 11.47% at the June rebalance resulting in a one-way trade of CNY 10.11bn.
The potential adds have outperformed the potential deletes and the CSI500 Index over the last few weeks. There could be more outperformance till nearer the end of the review period.


CSI500 Index Rebalance Preview: Potential Adds Continuing to Outperform

Qingdao Haier Biomedical  Lt / Index Rebalance

<ul>
<li>The review period for the March rebalance ends today. We forecast 2 changes using a 12-month minimum listing history, and 5 changes using a 6-month minimum listing history.</li>
<li>We expect the index committee to continue using a 6-month minimum listing history. The impact on the potential deletes is a lot higher than the impact on the potential adds.</li>
<li>With 5 changes to the index, estimated one-way turnover is 5.1% resulting in a one-way trade of CNY 4,549m. There is a reasonably large reverse funding trade.</li>
</ul>


The review period for the March rebalance ends today. We forecast 2 changes using a 12-month minimum listing history, and 5 changes using a 6-month minimum listing history.
We expect the index committee to continue using a 6-month minimum listing history. The impact on the potential deletes is a lot higher than the impact on the potential adds.
With 5 changes to the index, estimated one-way turnover is 5.1% resulting in a one-way trade of CNY 4,549m. There is a reasonably large reverse funding trade.


STAR50 Index Rebalance Preview: 5 Changes Forecast as Review Period Ends

Event-Driven

Beijing-Shanghai High Speed Ra / Event-Driven

<ul>
<li>On Monday, the CSRC and the SFC agreed to further deepen mutual stock market access between the Mainland and Hong Kong and promote the development of both capital markets.</li>
<li>For Northbound Stock Connect, the eligible universe has been widely expanded to include constituents of the SSE A Share Index and the SZSE Composite Index.</li>
<li>There are 1,112 stocks that join the eligible universe, and 938 stocks currently meet the criteria for Northbound Stock Connect inclusion. There are implications for inclusion in global indices.</li>
</ul>


On Monday, the CSRC and the SFC agreed to further deepen mutual stock market access between the Mainland and Hong Kong and promote the development of both capital markets.
For Northbound Stock Connect, the eligible universe has been widely expanded to include constituents of the SSE A Share Index and the SZSE Composite Index.
There are 1,112 stocks that join the eligible universe, and 938 stocks currently meet the criteria for Northbound Stock Connect inclusion. There are implications for inclusion in global indices.


Northbound Stock Connect Expansion: Potential Changes in 2023

<ul>
<li>Nearly 85% of the way through the review period, we see 2 changes using a 12-month minimum listing history, and 5 changes using a 6-month minimum listing history.</li>
<li>Given the significantly higher market cap of the inclusions using a 6-month minimum listing history, we expect the index committee will continue to use the shorter listing history requirement.</li>
<li>With 5 changes a side, one-way turnover is estimated at 5.15% and will result in a one-way trade of CNY 3,994m. Impact on some deletions is quite high.</li>
</ul>


Nearly 85% of the way through the review period, we see 2 changes using a 12-month minimum listing history, and 5 changes using a 6-month minimum listing history.
Given the significantly higher market cap of the inclusions using a 6-month minimum listing history, we expect the index committee will continue to use the shorter listing history requirement.
With 5 changes a side, one-way turnover is estimated at 5.15% and will result in a one-way trade of CNY 3,994m. Impact on some deletions is quite high.


STAR50 Index Rebalance Preview: Another Five Potential Changes in March

China

GalaxyCore Inc. develops, manufactures, and distributes emiconductor and integrated circuits. The Company produces complementary metal oxide semiconductor (CMOS) image sensor and display driver chips. GalaxyCore supplies its products in consumer electronics, mobile payment, automotive electronics, and other fields.

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GalaxyCore (688728 CH)

STAR50 Index Rebalance Preview: Two Changes in June (Possibly)

There could be 2 changes to the index in June with a higher impact on the deletes than on the adds. The potential adds have started to o/p the...

Brian Freitas

CSI500 Index Rebalance Preview: Potential Adds Continuing to Outperform

We forecast 50 changes a side at the June rebal leading to a one-way turnover of 11.47% & in a one-way trade of CNY 10bn. The potential adds have...

Brian Freitas

STAR50 Index Rebalance Preview: 5 Changes Forecast as Review Period Ends

There could be 5 index changes in March if the index committee continues using a 6-month minimum listing history. One-way turnover will be over 5%....

Brian Freitas

Northbound Stock Connect Expansion: Potential Changes in 2023

The universe for inclusion in Northbound Stock Connect has been expanded to include the SSE A Share Index and the SZSE Composite Index...

Brian Freitas

STAR50 Index Rebalance Preview: Another Five Potential Changes in March

There could be 5 changes using a 6-month minimum listing history. One-way turnover will be 5%+ resulting in a one-way trade of CNY4bn. Impact on...

Brian Freitas

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