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

Jiangxi Special Electric Motor A / Event-Driven

<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

Hunan Zhongke Electric Co,Ltd. / Event-Driven

<ul>
<li>There will be 10 changes for the <a href="https://www.smartkarma.com/entities/chinext-price-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">Chinext Price Index</a> and 5 changes for the ChiNext 50 Index. Implementation is at the close on 9 December.</li>
<li>One surprise is the inclusion of <a href="https://www.smartkarma.com/entities/hunan-zhongke-electric-co-ltd" target="_blank" data-smartkarma-citation="entities:13009:1" rel="noopener">Hunan Zhongke Electric Co,Ltd. (300035 CH)</a> in both indices. Four stocks are adds to both indices while two stocks are deletes from both indices.</li>
<li>The adds have outperformed the deletes over the last 8 months but have given up some of the gains over the last month. There is a big sector skew.</li>
</ul>


There will be 10 changes for the Chinext Price Index and 5 changes for the ChiNext 50 Index. Implementation is at the close on 9 December.
One surprise is the inclusion of Hunan Zhongke Electric Co,Ltd. (300035 CH) in both indices. Four stocks are adds to both indices while two stocks are deletes from both indices.
The adds have outperformed the deletes over the last 8 months but have given up some of the gains over the last month. There is a big sector skew.


ChiNext/​ChiNext 50 Index Rebalance: Materials & Industrials Take Spots from IT, Health Care

Hubei Feilihua Quartz Glass  / Event-Driven

<ul>
<li>At the end of the review period, we forecast 10 changes for the <a href="https://www.smartkarma.com/entities/chinext-price-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">Chinext Price Index (SZ399006 INDEX)</a> and 5 changes for the ChiNext 50 Index in December.</li>
<li>Passive trackers will need to buy +/-0.5 days of ADV for most inclusions and exclusions from the indices. The impact on the potential deletions is higher on average.</li>
<li>The potential adds have outperformed the potential deletes over the last six months, though there has been a sharp narrowing of the gap over the last few weeks.</li>
</ul>


At the end of the review period, we forecast 10 changes for the Chinext Price Index (SZ399006 INDEX) and 5 changes for the ChiNext 50 Index in December.
Passive trackers will need to buy +/-0.5 days of ADV for most inclusions and exclusions from the indices. The impact on the potential deletions is higher on average.
The potential adds have outperformed the potential deletes over the last six months, though there has been a sharp narrowing of the gap over the last few weeks.


ChiNext/ChiNext50 Index Rebalance Preview: Overlapping Stocks & Mean Reversion

China

Hubei Feilihua Quartz Glass Co., Ltd. manufactures quartz materials and quartz fiber. The Company offers its products to the aviation and aerospace, semiconductor, solar energy, fiber optics, and defense industries in China.

Hubei Feilihua Quartz Glass (300395 CH)

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

ChiNext/ChiNext 50 Index Rebalance: Materials & Industrials Take Spots from IT, Health Care

10 changes for Chinext and 5 for Chinext 50. Most changes were expected and there is a big sector skew. One surprise is the inclusion of Hunan...

Brian Freitas

ChiNext/ChiNext50 Index Rebalance Preview: Overlapping Stocks & Mean Reversion

We forecast 10 changes to the ChiNext & 5 changes to the ChiNext50 in Dec. There are a few overlapping stocks and the potential adds have...

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

ChiNext/​ChiNext 50 Index Rebalance: Materials & Industrials Take Spots from IT, Health Care

10 changes for Chinext and 5 for Chinext 50. Most changes were expected and there is a big sector skew. One surprise is the inclusion of Hunan...

Brian Freitas

ChiNext/ChiNext50 Index Rebalance Preview: Overlapping Stocks & Mean Reversion

We forecast 10 changes to the ChiNext & 5 changes to the ChiNext50 in Dec. There are a few overlapping stocks and the potential adds have...

Brian Freitas

ChiNext/ChiNext 50 Index Rebalance: Materials & Industrials Take Spots from IT, Health Care