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 announcement of the inclusion of <a href="https://www.smartkarma.com/entities/uber-technologies-inc" target="_blank" data-smartkarma-citation="entities:430:1" rel="noopener">Uber Technologies (UBER US)</a> in the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX</a> was a big one last week. There were announcements for some other indices too.</li>
<li>There are many indices in China that will be rebalanced at the close on Friday, the biggest being the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300</a>, <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500</a>, <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</a>, <a href="https://www.smartkarma.com/entities/shanghai-stock-exchange-sse-50-a-share-index" target="_blank" data-smartkarma-citation="entities:31073:1" rel="noopener">SSE50</a> and <a href="https://www.smartkarma.com/entities/kraneshares-csi-china-internet-etf" target="_blank" data-smartkarma-citation="entities:28208:1" rel="noopener">KWEB US</a>.</li>
<li>Relatively quiet in ETF world with net inflows to China focused ETFs and net outflows for Japan.</li>
</ul>


The announcement of the inclusion of Uber Technologies (UBER US) in the S&amp;P 500 INDEX was a big one last week. There were announcements for some other indices too.
There are many indices in China that will be rebalanced at the close on Friday, the biggest being the CSI 300, CSI 500, STAR50, SSE50 and KWEB US.
Relatively quiet in ETF world with net inflows to China focused ETFs and net outflows for Japan.


Index Rebalance & ETF Flow Recap: KWEB, CSI300/500, STAR50, SSE50, ChiNext, SET50, Chips, Denso, SPX

<ul>
<li>There are 4 changes for the CSI Medical Service Index that will be implemented at the close on 8 December.</li>
<li>The constituent changes plus capping result in one-way turnover of 5.9% and in a one-way trade of CNY 1.86bn (US$261m).</li>
<li>Some stocks will have passive flows from global trackers at the end of November while there will be flows from other local passive trackers at the close on 8 December.</li>
</ul>


There are 4 changes for the CSI Medical Service Index that will be implemented at the close on 8 December.
The constituent changes plus capping result in one-way turnover of 5.9% and in a one-way trade of CNY 1.86bn (US$261m).
Some stocks will have passive flows from global trackers at the end of November while there will be flows from other local passive trackers at the close on 8 December.


CSI Medical Service Index Rebalance: Chunky Flows for Some Stocks

Western Superconducting Techno / Index Rebalance

Western Superconducting Techno (688122 CH)

<ul>
<li>Over 85% of the way through the review period for the December rebalance of the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI500 Index</a>, we forecast 50 changes (the maximum permitted) at the close on 8 December.</li>
<li>There is a big sector skew in the potential changes. We estimate a one-way turnover of 9.4% at the December rebalance resulting in a one-way trade of CNY 7.22bn.</li>
<li>With the market being stabilised through the ETF route, the index constituents have outperformed the non-index constituents over the last 6-7 weeks. That could reverse over the near term.</li>
</ul>


Over 85% of the way through the review period for the December rebalance of the CSI500 Index, we forecast 50 changes (the maximum permitted) at the close on 8 December.
There is a big sector skew in the potential changes. We estimate a one-way turnover of 9.4% at the December rebalance resulting in a one-way trade of CNY 7.22bn.
With the market being stabilised through the ETF route, the index constituents have outperformed the non-index constituents over the last 6-7 weeks. That could reverse over the near term.


CSI500 Index Rebalance Preview: ETF Inflows Lead to Performance Skew

<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

China

Sansure Biotech Inc. operates as an in vitro diagnostic solution provider. The Company develops and sells upstream nucleic acid extraction kits, novel coronavirus nucleic acid detection kits, and other products. Sansure Biotech markets its products worldwide.

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Sansure Biotech (688289 CH)

Index Rebalance & ETF Flow Recap: KWEB, CSI300/500, STAR50, SSE50, ChiNext, SET50, Chips, Denso, SPX

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

CSI Medical Service Index Rebalance: Chunky Flows for Some Stocks

There are 4 changes for the CSI Medical Service Index in Dec. There are chunky flows on some stocks. There is overlap between global and local...

Brian Freitas

CSI500 Index Rebalance Preview: ETF Inflows Lead to Performance Skew

There should be 50 changes in Dec with a big sector skew. Turnover is ~10% and 31 stocks will have 1x ADV to trade. Huge ETF inflows have led to...

Brian Freitas

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

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