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

Shanghai United Imaging Health / Index Rebalance

Shanghai United Imaging Health (688271 CH)

<ul>
<li>Two thirds of the way through the review period, we see 14 potential index changes at the December rebalance that will be implemented at the close on 8 December.</li>
<li>We estimate a one-way turnover of 1.98% at the December rebalance leading to a one-way trade of CNY 5.32bn.</li>
<li>The potential adds have outperformed the potential deletes and the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a> over the last five months, though there is some near-term underperformance.</li>
</ul>


Two thirds of the way through the review period, we see 14 potential index changes at the December rebalance that will be implemented at the close on 8 December.
We estimate a one-way turnover of 1.98% at the December rebalance leading to a one-way trade of CNY 5.32bn.
The potential adds have outperformed the potential deletes and the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) over the last five months, though there is some near-term underperformance.


CSI300 Index Rebalance Preview: Early Look at Potential Changes in December

<ul>
<li>The review period for the September rebalance ends 31 July. We expect the changes to be announced 25 August with the implementation taking place after the close on 8 September.</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 3.45% resulting in a one-way trade of CNY 3,675m. The impact on the deletions will be larger than that on the inclusions.</li>
</ul>


The review period for the September rebalance ends 31 July. We expect the changes to be announced 25 August with the implementation taking place after the close on 8 September.
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 3.45% resulting in a one-way trade of CNY 3,675m. The impact on the deletions will be larger than that on the inclusions.


STAR50 Index Rebalance Preview: One High Probability Change; One 'It Depends'

AVIC (Chengdu) UAS Co Ltd / Index Rebalance

<ul>
<li>The index committee has used a 6-month minimum listing history and that results in two changes. This is the first rebalance with less than 5 changes at a review.</li>
<li>One way turnover is estimated at 1.03% and will result in a one-way trade of CNY 1,025m. Given the adds are new listings, there will be some reverse funding flow.</li>
<li>There appears to be little pre-positioning on the adds while there is a bigger buildup on the deletes.</li>
</ul>


The index committee has used a 6-month minimum listing history and that results in two changes. This is the first rebalance with less than 5 changes at a review.
One way turnover is estimated at 1.03% and will result in a one-way trade of CNY 1,025m. Given the adds are new listings, there will be some reverse funding flow.
There appears to be little pre-positioning on the adds while there is a bigger buildup on the deletes.


STAR50 Index Rebalance: Two Changes in June (As Expected)

<ul>
<li>The review period for the June rebalance ends 28 April. We expect the changes to be announced 26 May with the implementation taking place after the close on 9 June.</li>
<li>Using a 12-month minimum listing history results in no index changes. Using a 6-month minimum listing history results in two changes - we think this is what will be used.</li>
<li>The potential adds have outperformed the potential deletes but both sets of stocks have underperformed the <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">SSE STAR50 (STAR50 INDEX)</a> and the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shanghai" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI Smallcap 500 Index - Shanghai (SH000905 INDEX)</a>. </li>
</ul>


The review period for the June rebalance ends 28 April. We expect the changes to be announced 26 May with the implementation taking place after the close on 9 June.
Using a 12-month minimum listing history results in no index changes. Using a 6-month minimum listing history results in two changes - we think this is what will be used.
The potential adds have outperformed the potential deletes but both sets of stocks have underperformed the SSE STAR50 (STAR50 INDEX) and the CSI Smallcap 500 Index - Shanghai (SH000905 INDEX). 


STAR50 Index Rebalance Preview: Changes Depend on Minimum Listing History

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

China

Hygon Information Technology Co., Ltd. manufactures and distributes computer components. The Company produces high end processors, deep computing processors, accelerators, calculator chips, and other related products. Hygon Information Technology markets its products worldwide.

Hygon Information Technology C (688041 CH)

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Hygon Information Technology C (688041 CH)

CSI300 Index Rebalance Preview: Early Look at Potential Changes in December

We currently have 14 changes for the CSI300 Index in December. Most changes are high probability and the potential adds have outperformed the...

Brian Freitas

STAR50 Index Rebalance Preview: One High Probability Change; One 'It Depends'

There could be 2 changes in September if a 6 month minimum listing history is used. Piotech was added to the CSI500 in June and there are multiple...

Brian Freitas

STAR50 Index Rebalance: Two Changes in June (As Expected)

There are 2 changes for the STAR50 Index as a 6-month minimum listing history is used. There is little increase in excess volume on the adds while...

Brian Freitas

STAR50 Index Rebalance Preview: Changes Depend on Minimum Listing History

There could be 2 index changes if a 6-month minimum listing history is used. The potential adds have outperformed the potential deletes. But both...

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

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