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>The index committee has continued to use a 6 month minimum listing history leading to five changes to 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> in June.</li>
<li>One way turnover is estimated at 8.56% and will result in a one-way trade of CNY 3,496m. Passive trackers will need to trade between 2-6 days ADV on the adds/deletes.</li>
<li>The inclusions have outperformed the deletions and the CSI500 Index since the end of the review period with all inclusions moving higher over the period.</li>
</ul>


The index committee has continued to use a 6 month minimum listing history leading to five changes to the SSE STAR50 (STAR50 INDEX) in June.
One way turnover is estimated at 8.56% and will result in a one-way trade of CNY 3,496m. Passive trackers will need to trade between 2-6 days ADV on the adds/deletes.
The inclusions have outperformed the deletions and the CSI500 Index since the end of the review period with all inclusions moving higher over the period.


STAR50 Index Rebalance: Dear Index Committee...

<ul>
<li>There could be 3 or 5 changes to 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">STAR50 INDEX</a> in June depending on the minimum listing history (6 months or 12 months) used by the index committee.</li>
<li>
<a href="https://www.smartkarma.com/entities/jinko-solar-co-ltd" target="_blank" data-smartkarma-citation="entities:35715:1" rel="noopener">Jinko Solar (688223 CH)</a> is a high probability inclusion while <a href="https://www.smartkarma.com/entities/shanghai-microport-endovascular-medtech-a" target="_blank" data-smartkarma-citation="entities:30310:1" rel="noopener">Shanghai Microport Endovascular MedTech (688016 CH)</a>, <a href="https://www.smartkarma.com/entities/arcsoft-corp-ltd" target="_blank" data-smartkarma-citation="entities:30335:1" rel="noopener">ArcSoft Corp Ltd (688088 CH)</a> and <a href="https://www.smartkarma.com/entities/dbapp-security-ltd" target="_blank" data-smartkarma-citation="entities:30316:1" rel="noopener">DBAPP Security Ltd (688023)</a> are high probability deletions.</li>
<li>Stocks performance over the last couple of months indicates the market is assigning a higher probability to the index committee using a 12 month minimum listing history.</li>
</ul>


There could be 3 or 5 changes to the STAR50 INDEX in June depending on the minimum listing history (6 months or 12 months) used by the index committee.

Jinko Solar (688223 CH) is a high probability inclusion while Shanghai Microport Endovascular MedTech (688016 CH), ArcSoft Corp Ltd (688088 CH) and DBAPP Security Ltd (688023) are high probability deletions.
Stocks performance over the last couple of months indicates the market is assigning a higher probability to the index committee using a 12 month minimum listing history.


STAR50 Index Rebalance Preview: 3 Changes or 5? It Depends...

<ul>
<li>There could be 3 or 5 changes to 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">STAR50 INDEX</a> in June depending on the minimum listing history (6 months or 12 months) used by the index committee.</li>
<li>
<a href="https://www.smartkarma.com/entities/jinko-solar-co-ltd" target="_blank" data-smartkarma-citation="entities:35715:1" rel="noopener">Jinko Solar (688223 CH)</a> is a high probability inclusion while <a href="https://www.smartkarma.com/entities/shanghai-microport-endovascular-medtech-a" target="_blank" data-smartkarma-citation="entities:30310:1" rel="noopener">Shanghai Microport Endovascular MedTech (688016 CH)</a>, <a href="https://www.smartkarma.com/entities/arcsoft-corp-ltd" target="_blank" data-smartkarma-citation="entities:30335:1" rel="noopener">ArcSoft Corp Ltd (688088 CH)</a> and <a href="https://www.smartkarma.com/entities/dbapp-security-ltd" target="_blank" data-smartkarma-citation="entities:30316:1" rel="noopener">DBAPP Security Ltd (688023)</a> are high probability deletions.</li>
<li>The March rebalance will be implemented at the close tomorrow. The adds have outperformed the deletes post announcement and there could be a reversal from next week.</li>
</ul>


There could be 3 or 5 changes to the STAR50 INDEX in June depending on the minimum listing history (6 months or 12 months) used by the index committee.

Jinko Solar (688223 CH) is a high probability inclusion while Shanghai Microport Endovascular MedTech (688016 CH), ArcSoft Corp Ltd (688088 CH) and DBAPP Security Ltd (688023) are high probability deletions.
The March rebalance will be implemented at the close tomorrow. The adds have outperformed the deletes post announcement and there could be a reversal from next week.


STAR50 Index Rebalance Preview (June): Back to the All Important Question

China

Jinko Solar Co., Ltd. manufactures photovoltaic products. The Company develops, manufactures, and markets crystalline ingots, wafers, mono-crystalline photovoltaic panels, and multi-crystalline photovoltaic panels. Jinko Solar markets its products worldwide.

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Jinko Solar (688223 CH)

STAR50 Index Rebalance: Dear Index Committee...

There are 5 changes to the STAR50 Index in June as the index committee continues to use a 6 month minimum listing history. The adds have...

Brian Freitas

STAR50 Index Rebalance Preview: 3 Changes or 5? It Depends...

There could be 3/5 changes in June depending on whether the index committee uses a 12/6 month minimum listing history. The market is assigning a...

Brian Freitas

STAR50 Index Rebalance Preview (June): Back to the All Important Question

Depending on the minimum listing history used, there will be 3 or 5 changes. JinkoSolar is a high probability inclusion. The March rebalance will...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)