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

Yangtze Optical Fibre and Cable / Index Rebalance

Yangtze Optical Fibre and Cable (6869 HK)

<ul>
<li>The changes to a global index in February will be announced pre-market open tomorrow and will be implemented at the close of trading on 27 February.</li>
<li>The big market moves since the last rebalance result in many changes with the final number dependent on the day picked to compute market cap and free float market cap.</li>
<li>
<a href="https://www.smartkarma.com/entities/yangtze-optical-fibre-and-h" target="_blank" data-smartkarma-citation="entities:83:1" rel="noopener">Yangtze Optical Fibre And H (6869 HK)</a> is up 90% over the last 3 weeks and the AH premium versus <a href="https://www.smartkarma.com/entities/yangtze-optical-fibre-cable" target="_blank" data-smartkarma-citation="entities:29980:1" rel="noopener">Yangtze Optical Fibre &amp; Cable (601869 CH)</a> has dropped significantly.</li>
</ul>


The changes to a global index in February will be announced pre-market open tomorrow and will be implemented at the close of trading on 27 February.
The big market moves since the last rebalance result in many changes with the final number dependent on the day picked to compute market cap and free float market cap.

Yangtze Optical Fibre And H (6869 HK) is up 90% over the last 3 weeks and the AH premium versus Yangtze Optical Fibre &amp; Cable (601869 CH) has dropped significantly.


Global Index: Potential Changes in February for Asia Pac

Moore Threads Technology / Index Rebalance

<ul>
<li>With the review period nearly complete, we forecast 4 constituent changes for 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 10 constituent changes for the STAR100 Index in March.</li>
<li>We estimate turnover of 9.1% for 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 9.6% for the STAR100 Index. The estimated round-trip net trade is CNY 28.55bn (US$4.1bn).</li>
<li>There has been big unwinding of ETF holdings (likely the National Team at work) recently and that reduces the flow and impact for the index changes.</li>
</ul>


With the review period nearly complete, we forecast 4 constituent changes for the SSE STAR50 (STAR50 INDEX) and 10 constituent changes for the STAR100 Index in March.
We estimate turnover of 9.1% for the SSE STAR50 (STAR50 INDEX) and 9.6% for the STAR100 Index. The estimated round-trip net trade is CNY 28.55bn (US$4.1bn).
There has been big unwinding of ETF holdings (likely the National Team at work) recently and that reduces the flow and impact for the index changes.


STAR50/STAR100 Index Rebalance Preview: Huge Outperformance as National Team Redeems ETF Holdings

China

QuantumCTek Co., Ltd. produces and sells quantum information products. The Company develops and sells quantum key distribution products, quantum key management products, quantum secure communication networking products, and other products. QuantumCTek also provides quantum secure solution services.

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QuantumCTek (688027 CH)

Global Index: Potential Changes in February for Asia Pac

A global index announces tomorrow and rebalances at the close on 27 Feb. There will be a lot of changes with China leading the way. Stocks have...

Brian Freitas

STAR50/STAR100 Index Rebalance Preview: Huge Outperformance as National Team Redeems ETF Holdings

4 changes forecast for the STAR50 and 10 for the STAR100 resulting in a net round-trip trade of US$4.1bn. The National Team has been redeeming...

Brian Freitas

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