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

Bluefocus Communication Group Co, Ltd. / Index Rebalance

Bluefocus Communication Group Co, Ltd. (300058 CH)

<ul>
<li>There are 8 changes for the <a href="https://www.smartkarma.com/entities/chinext-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">ChiNext Index (SZ399006 INDEX EQUITY)</a> and 5 changes for the ChiNext 50 Index at the June rebalance.</li>
<li>We correctly forecast 7/8 and 8/8 for the Chinext Index adds/deletes and were 4/5 and 5/5 for the Chinext50 Index adds/deletes.</li>
<li>Based on the estimated passive tracking AUM, the round-trip trade across both indices is estimated to be CNY 9.55bn (US$1.33bn).</li>
</ul>


There are 8 changes for the ChiNext Index (SZ399006 INDEX EQUITY) and 5 changes for the ChiNext 50 Index at the June rebalance.
We correctly forecast 7/8 and 8/8 for the Chinext Index adds/deletes and were 4/5 and 5/5 for the Chinext50 Index adds/deletes.
Based on the estimated passive tracking AUM, the round-trip trade across both indices is estimated to be CNY 9.55bn (US$1.33bn).


ChiNext/​​ChiNext 50 Index Rebalance: US$1.3bn Round-Trip Trade

<ul>
<li>With the review period complete, we forecast 10 changes for the <a href="https://www.smartkarma.com/entities/chinext-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">ChiNext Index (SZ399006 INDEX EQUITY)</a> and 5 changes for the ChiNext 50 Index in June.</li>
<li>The largest flows will be in stocks that are adds/deletes for both indices - and there are a few of those. Plus there are some overlaps with other indices.</li>
<li>While the forecast adds have outperformed the forecast deletes for both indices since January, near-term performance has not been great. That could change as we near the announcement date.</li>
</ul>


With the review period complete, we forecast 10 changes for the ChiNext Index (SZ399006 INDEX EQUITY) and 5 changes for the ChiNext 50 Index in June.
The largest flows will be in stocks that are adds/deletes for both indices - and there are a few of those. Plus there are some overlaps with other indices.
While the forecast adds have outperformed the forecast deletes for both indices since January, near-term performance has not been great. That could change as we near the announcement date.


ChiNext/​​​ChiNext50 Index Rebalance Preview: Whole Lotta Change

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Shandong Weifang Rainbow Chemi / Index Rebalance

Shandong Weifang Rainbow Chemi (301035 CH)

<ul>
<li>The ChiNext index represents the performance of the 100 largest and most liquid A-share stocks listed on the ChiNext Market of the Shenzhen Stock Exchange.</li>
<li>The ChiNext 50 index is a subset of the ChiNext index and it consists of the top 50 names in the ChiNext index with the highest daily average turnover.</li>
<li>We see 9 changes for the ChiNext index and 5 changes for the ChiNext 50 index in the next index rebal event in June 2025.</li>
</ul>


The ChiNext index represents the performance of the 100 largest and most liquid A-share stocks listed on the ChiNext Market of the Shenzhen Stock Exchange.
The ChiNext 50 index is a subset of the ChiNext index and it consists of the top 50 names in the ChiNext index with the highest daily average turnover.
We see 9 changes for the ChiNext index and 5 changes for the ChiNext 50 index in the next index rebal event in June 2025.


Quiddity Leaderboard ChiNext & ChiNext 50 Jun25: US$1.4bn Total One-Way Flows; Basket Trade Idea

<ul>
<li>The ChiNext index represents the performance of the 100 largest and most liquid A-share stocks listed on the ChiNext Market of the Shenzhen Stock Exchange.</li>
<li>The ChiNext 50 index is a subset of the ChiNext Index and it consists of the top 50 names in the ChiNext index with the highest daily average turnover.</li>
<li>We see 10 changes for the ChiNext index and 5 changes for the ChiNext 50 index in the next index rebal event. Combined it is about US$1bn to trade one-way.</li>
</ul>


The ChiNext index represents the performance of the 100 largest and most liquid A-share stocks listed on the ChiNext Market of the Shenzhen Stock Exchange.
The ChiNext 50 index is a subset of the ChiNext Index and it consists of the top 50 names in the ChiNext index with the highest daily average turnover.
We see 10 changes for the ChiNext index and 5 changes for the ChiNext 50 index in the next index rebal event. Combined it is about US$1bn to trade one-way.


Quiddity Leaderboard ChiNext & ChiNext 50 Jun 25: Great Momentum for the Exp ADDs Vs Exp DELs Trade

Jiangsu Hoperun Software / Index Rebalance

<ul>
<li>The ChiNext Index represents the performance of the 100 largest and most liquid A-share stocks listed on the ChiNext Market of the Shenzhen Stock Exchange.</li>
<li>The ChiNext 50 index is a subset of the ChiNext Index and it consists of the top 50 names in the ChiNext index with the highest daily average turnover.</li>
<li>In this insight, we have presented our final expectations for ADDs and DELs for the upcoming index rebal event in December 2024.</li>
</ul>


The ChiNext Index represents the performance of the 100 largest and most liquid A-share stocks listed on the ChiNext Market of the Shenzhen Stock Exchange.
The ChiNext 50 index is a subset of the ChiNext Index and it consists of the top 50 names in the ChiNext index with the highest daily average turnover.
In this insight, we have presented our final expectations for ADDs and DELs for the upcoming index rebal event in December 2024.


Quiddity Leaderboard ChiNext Dec 24: Several Last-Minute Surprises; New Trade Idea

China

Gambol Pet Group Co., Ltd. manufactures and distributes pet food products. The Company produces vitality pork, barf natural food, goat's milk bun, freeze dried goat milk bars, goat's milk bolognese cat strips, fregat high meat grain, dog and cat food, and other related products. Gambol Pet Group markets its products worldwide.

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Gambol Pet Group (301498 CH)

ChiNext/ChiNext 50 Index Rebalance: US$1.3bn Round-Trip Trade

There are 8 changes for the ChiNext Index and 5 changes for the ChiNext 50 Index at the June rebalance. The round-trip trade across both indices is...

Brian Freitas

ChiNext/ChiNext50 Index Rebalance Preview: Whole Lotta Change

There could be 10/5 changes for the Chinext/50 in June with 10 stocks having over 1x ADV to trade from passives. Adds have outperformed the deletes...

Brian Freitas

Quiddity Leaderboard ChiNext & ChiNext 50 Jun25: US$1.4bn Total One-Way Flows; Basket Trade Idea

There could be ~US$1.1bn and ~US$300mn one-way flows for ChiNext and ChiNext 50 respectively. There is one change in the expected ADDs/DELs for...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard ChiNext & ChiNext 50 Jun 25: Great Momentum for the Exp ADDs Vs Exp DELs Trade

The expected ADDs have been sharply outperforming the expected DELs and that could continue over the next few weeks/months.

Janaghan Jeyakumar, CFA

Quiddity Leaderboard ChiNext Dec 24: Several Last-Minute Surprises; New Trade Idea

We estimate one-way flows of US$578mn for the ChiNext index rebalance and US$171mn for the ChiNext 50 rebalance in December 2024.

Janaghan Jeyakumar, CFA

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

ChiNext/​​ChiNext 50 Index Rebalance: US$1.3bn Round-Trip Trade

There are 8 changes for the ChiNext Index and 5 changes for the ChiNext 50 Index at the June rebalance. The round-trip trade across both indices is...

Brian Freitas

ChiNext/​​​ChiNext50 Index Rebalance Preview: Whole Lotta Change

There could be 10/5 changes for the Chinext/50 in June with 10 stocks having over 1x ADV to trade from passives. Adds have outperformed the deletes...

Brian Freitas

Quiddity Leaderboard ChiNext & ChiNext 50 Jun25: US$1.4bn Total One-Way Flows; Basket Trade Idea

There could be ~US$1.1bn and ~US$300mn one-way flows for ChiNext and ChiNext 50 respectively. There is one change in the expected ADDs/DELs for...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard ChiNext & ChiNext 50 Jun 25: Great Momentum for the Exp ADDs Vs Exp DELs Trade

The expected ADDs have been sharply outperforming the expected DELs and that could continue over the next few weeks/months.

Janaghan Jeyakumar, CFA

Quiddity Leaderboard ChiNext Dec 24: Several Last-Minute Surprises; New Trade Idea

We estimate one-way flows of US$578mn for the ChiNext index rebalance and US$171mn for the ChiNext 50 rebalance in December 2024.

Janaghan Jeyakumar, CFA

ChiNext/ChiNext 50 Index Rebalance: US$1.3bn Round-Trip Trade

ChiNext/ChiNext50 Index Rebalance Preview: Whole Lotta Change