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

<ul>
<li>As expected, the index committee has used a 6-month minimum listing history and that results in two 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 September.</li>
<li>
<a href="https://www.smartkarma.com/entities/piotech-inc" target="_blank" data-smartkarma-citation="entities:36698:1" rel="noopener">Piotech (688072 CH)</a> and <a href="https://www.smartkarma.com/entities/hwatsing-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:36700:1" rel="noopener">Hwatsing Technology (688120 CH)</a> will replace <a href="https://www.smartkarma.com/entities/suzhou-nanomicro-technology-co" target="_blank" data-smartkarma-citation="entities:33272:1" rel="noopener">Suzhou Nanomicro Technology (688690 CH)</a> and <a href="https://www.smartkarma.com/entities/zhuhai-cosmx-battery-co-ltd" target="_blank" data-smartkarma-citation="entities:34667:1" rel="noopener">Zhuhai CosMX Battery (688772 CH)</a> in the index.</li>
<li>One-Way turnover is estimated at 2.83% and will result in a one-way trade of CNY 3,562m. There does not appear to be a lot of pre-positioning on the stocks.</li>
</ul>


As expected, the index committee has used a 6-month minimum listing history and that results in two changes to the SSE STAR50 (STAR50 INDEX) in September.

Piotech (688072 CH) and Hwatsing Technology (688120 CH) will replace Suzhou Nanomicro Technology (688690 CH) and Zhuhai CosMX Battery (688772 CH) in the index.
One-Way turnover is estimated at 2.83% and will result in a one-way trade of CNY 3,562m. There does not appear to be a lot of pre-positioning on the stocks.


STAR50 Index Rebalance: Two Changes; Pre-Positioning Appears Light

<ul>
<li>The review period for the September rebalance ends today. The changes could be announced on 25 August with the implementation taking place after the close on 8 September.</li>
<li>The upcoming launch of the STAR100 Index could result in the index committee continuing to use a 6-month minimum listing history resulting in two changes to the index.</li>
<li>One way turnover is estimated at 2.3% resulting in a one-way trade of CNY 2,658m. The impact on the deletions will be much larger than that on the inclusions.</li>
</ul>


The review period for the September rebalance ends today. The changes could be announced on 25 August with the implementation taking place after the close on 8 September.
The upcoming launch of the STAR100 Index could result in the index committee continuing to use a 6-month minimum listing history resulting in two changes to the index.
One way turnover is estimated at 2.3% resulting in a one-way trade of CNY 2,658m. The impact on the deletions will be much larger than that on the inclusions.


STAR50 Index Rebalance Preview: Potential Changes Playing Catchup

<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'

<ul>
<li>There are 6 changes for the CES China Semiconductor Chips Index that will be implemented at the close on 9 June.</li>
<li>All the inclusions are also additions to the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shanghai" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500 Index</a> and the passive flows will come from multiple trackers.</li>
<li>The adds have outperformed the deletes over the last couple of weeks and there could be further outperformance over the next two weeks.</li>
</ul>


There are 6 changes for the CES China Semiconductor Chips Index that will be implemented at the close on 9 June.
All the inclusions are also additions to the CSI 500 Index and the passive flows will come from multiple trackers.
The adds have outperformed the deletes over the last couple of weeks and there could be further outperformance over the next two weeks.


CES China Semiconductor Chips Index Rebalance: Six Changes in June

<ul>
<li>There are 50 changes a side for 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</a> at the upcoming rebalance that will be implemented at the close of trading on 9 June.</li>
<li>One way turnover at the rebalance is estimated at 9.45% leading to a one-way trade of CNY 5.93bn. The IT and Industrials sectors gain the most index spots.</li>
<li>8 adds to the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shanghai" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500 Index</a> are deletes from the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> while 3 deletes from the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shanghai" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500 Index</a> are adds to the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a>.</li>
</ul>


There are 50 changes a side for the CSI Smallcap 500 Index at the upcoming rebalance that will be implemented at the close of trading on 9 June.
One way turnover at the rebalance is estimated at 9.45% leading to a one-way trade of CNY 5.93bn. The IT and Industrials sectors gain the most index spots.
8 adds to the CSI 500 Index are deletes from the CSI 300 Index while 3 deletes from the CSI 500 Index are adds to the CSI 300 Index.


CSI500 Index Rebalance: Adds Starting to Outperform

China

Piotech Inc. manufactures and distributes semiconductor devices. The Company produces plasma enhanced chemical vapor deposition equipment, atomic layer deposition equipment, subatmospheric chemical vapor deposition equipment, and others. Piotech markets its products throughout China.

Piotech (688072 CH)

STAR50 Index Rebalance: Two Changes; Pre-Positioning Appears Light

There are 2 changes for the STAR50 in Sep. The adds/dels were expected and there has been big outperformance over the last few weeks. But,...

Brian Freitas

STAR50 Index Rebalance Preview: Potential Changes Playing Catchup

Changes will be announced after market close today. The potential adds have outperformed the potential deletes by over 10% since the end of 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

CES China Semiconductor Chips Index Rebalance: Six Changes in June

There are 6 index changes in June. All the adds are also inclusions for the CSI500 Index, so there will be passive inflows from multiple trackers....

Brian Freitas

CSI500 Index Rebalance: Adds Starting to Outperform

There are 50 changes for the CSI500 Index in June. There are 11 overlaps with the CSI300. One-way turnover is nearly 10% and the round-trip trade...

Brian Freitas