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 JPX Nikkei 400 index rebalance will take place on Wednesday, MSIC on Thursday and <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">HSTECH</a> and HSCI on Friday.</li>
<li>There are review cutoffs for the MVIS family of indices, and multiple announcements of changes to various indices during the week.</li>
<li>There were inflows to mainland China ETFs, <a href="https://www.smartkarma.com/entities/ishares-msci-india-etf" target="_blank" data-smartkarma-citation="entities:282:1" rel="noopener">iShares India ETF (INDA)</a>, <a href="https://www.smartkarma.com/entities/ishares-msci-india-small-cap" target="_blank" data-smartkarma-citation="entities:32064:1" rel="noopener">Ishares India Small-Cap (SMIN)</a> and <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets-223f5da3-7054-4e4f-bc55-b7f0852c2581" target="_blank" data-smartkarma-citation="entities:31998:1" rel="noopener">iShares EmergingMarkets ex China (EMXC)</a> while there were outflows for <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets" target="_blank" data-smartkarma-citation="entities:438:1" rel="noopener">iShares Emerging Markets (EEM)</a>.</li>
</ul>


The JPX Nikkei 400 index rebalance will take place on Wednesday, MSIC on Thursday and HSI, HSCEI, HSTECH and HSCI on Friday.
There are review cutoffs for the MVIS family of indices, and multiple announcements of changes to various indices during the week.
There were inflows to mainland China ETFs, iShares India ETF (INDA), Ishares India Small-Cap (SMIN) and iShares EmergingMarkets ex China (EMXC) while there were outflows for iShares Emerging Markets (EEM).


Index Rebalance & ETF Flow Recap: HSCEI, HSI, HSTECH, Yuanta ETFs, China ETFs, REMX, KOSPI

Event-Driven

<ul>
<li>Based on the close of 21 August, there could be two changes for the <a href="https://www.smartkarma.com/entities/ishares-ftse-a50-china-index-etf" target="_blank" data-smartkarma-citation="entities:249:1" rel="noopener">iShares A50 China (2823 HK)</a>/ <a href="https://www.smartkarma.com/entities/csop-ftse-china-a50-etf-26e3b671-fa47-4165-a12e-bf841640c5a3" target="_blank" data-smartkarma-citation="entities:23664:1" rel="noopener">CSOP A50 (HKD) (2822 HK)</a> in September.</li>
<li>
<a href="https://www.smartkarma.com/entities/nari-technology-co-ltd-a" target="_blank" data-smartkarma-citation="entities:4364:1" rel="noopener">NARI Technology Co Ltd A (600406 CH)</a> and <a href="https://www.smartkarma.com/entities/csc-financial-co-ltd" target="_blank" data-smartkarma-citation="entities:27823:1" rel="noopener">CSC Financial (601066 CH)</a> should replace <a href="https://www.smartkarma.com/entities/tongwei-co-ltd-a" target="_blank" data-smartkarma-citation="entities:14405:1" rel="noopener">Tongwei Co Ltd A (600438 CH)</a> and <a href="https://www.smartkarma.com/entities/shaanxi-coal-industry-co-ltd" target="_blank" data-smartkarma-citation="entities:11254:1" rel="noopener">Shaanxi Coal Industry (601225 CH)</a> in the ETFs.</li>
<li>There are couple of stocks with over 1x ADV to trade from the ETFs. Plus there are cash and carry positions that will need to be rebalanced, adding to flow.</li>
</ul>


Based on the close of 21 August, there could be two changes for the iShares A50 China (2823 HK)/ CSOP A50 (HKD) (2822 HK) in September.

NARI Technology Co Ltd A (600406 CH) and CSC Financial (601066 CH) should replace Tongwei Co Ltd A (600438 CH) and Shaanxi Coal Industry (601225 CH) in the ETFs.
There are couple of stocks with over 1x ADV to trade from the ETFs. Plus there are cash and carry positions that will need to be rebalanced, adding to flow.


Offshore China ETFs Rebalance Preview: Two Changes Expected in September

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>SSE 50 and SSE180, respectively, aim to represent the performance of the 50 and 180 largest and most liquid A-share stocks listed on Shanghai Stock Exchange. </li>
<li>SSE 380 consists of 380 mid-cap stocks which are selected from the remaining Shanghai listed A-shares after the constituents of SSE 180 Index. </li>
<li>In this insight, we take a brief look at the index selection methodology and the historical price and volume performance of the SSE 50/180/380 index rebalance baskets.</li>
</ul>


SSE 50 and SSE180, respectively, aim to represent the performance of the 50 and 180 largest and most liquid A-share stocks listed on Shanghai Stock Exchange. 
SSE 380 consists of 380 mid-cap stocks which are selected from the remaining Shanghai listed A-shares after the constituents of SSE 180 Index. 
In this insight, we take a brief look at the index selection methodology and the historical price and volume performance of the SSE 50/180/380 index rebalance baskets.


Quiddity Primer for SSE 50/180/380 Index Rebalance Events

<ul>
<li>The review period for a bunch of indices ended early last week and the announcement of the changes will be made in the next few weeks.</li>
<li>
<a href="https://www.smartkarma.com/entities/hydro-lithium-inc" target="_blank" data-smartkarma-citation="entities:8293:1" rel="noopener">Hydro Lithium (101670 KS)</a> will replace <a href="https://www.smartkarma.com/entities/nice-information-service-co" target="_blank" data-smartkarma-citation="entities:20236:1" rel="noopener">Nice Information Service Co (030190 KS)</a> in the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index (KOSDQ150 INDEX EQUITY)</a> at the close on Monday.</li>
<li>There have been big net inflows into China focused ETFs and outflows from Taiwan focused ETFs during the week.</li>
</ul>


The review period for a bunch of indices ended early last week and the announcement of the changes will be made in the next few weeks.

Hydro Lithium (101670 KS) will replace Nice Information Service Co (030190 KS) in the KOSDAQ 150 Index (KOSDQ150 INDEX EQUITY) at the close on Monday.
There have been big net inflows into China focused ETFs and outflows from Taiwan focused ETFs during the week.


Index Rebalance & ETF Flow Recap: NKY, STAR50, NIFTY NEXT50, SF Holding

<ul>
<li>As of 1 August, there could be two changes for the <a href="https://www.smartkarma.com/entities/ishares-ftse-a50-china-index-etf" target="_blank" data-smartkarma-citation="entities:249:1" rel="noopener">iShares A50 China (2823 HK)</a>/ <a href="https://www.smartkarma.com/entities/csop-ftse-china-a50-etf-26e3b671-fa47-4165-a12e-bf841640c5a3" target="_blank" data-smartkarma-citation="entities:23664:1" rel="noopener">CSOP A50 (2822 HK)</a> in September.</li>
<li>There should be over 1x ADV to buy on <a href="https://www.smartkarma.com/entities/nari-technology-co-ltd-a" target="_blank" data-smartkarma-citation="entities:4364:1" rel="noopener">NARI Technology Co Ltd A (600406 CH)</a> and over 1x ADV to sell on <a href="https://www.smartkarma.com/entities/shaanxi-coal-industry-co-ltd" target="_blank" data-smartkarma-citation="entities:11254:1" rel="noopener">Shaanxi Coal Industry (601225 CH)</a>. </li>
<li>There are a few stocks bunched around similar market caps among the potential adds and there could be changes to the list over the next few weeks.</li>
</ul>


As of 1 August, there could be two changes for the iShares A50 China (2823 HK)/ CSOP A50 (2822 HK) in September.
There should be over 1x ADV to buy on NARI Technology Co Ltd A (600406 CH) and over 1x ADV to sell on Shaanxi Coal Industry (601225 CH). 
There are a few stocks bunched around similar market caps among the potential adds and there could be changes to the list over the next few weeks.


Offshore China ETFs Rebalance Preview: Two Changes in September

China

Shaanxi Coal Industry Company Limited produces, sells and transports coal. The Company offers coal used by the power, chemical, and metallurgical industries.

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Shaanxi Coal Industry (601225 CH)

Index Rebalance & ETF Flow Recap: HSCEI, HSI, HSTECH, Yuanta ETFs, China ETFs, REMX, KOSPI

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

Brian Freitas

Offshore China ETFs Rebalance Preview: Two Changes Expected in September

There should be 2 changes for 2822/2823 HK in September. Impact of passive trading will be 0.5-1.5x ADV and could be higher due to cash and carry...

Brian Freitas

Quiddity Primer for SSE 50/180/380 Index Rebalance Events

Names moving directly in and out of SSE 50 and SSE 180 are likely to be the most interesting cases for trading opportunities. SSE 380 index changes...

Janaghan Jeyakumar, CFA

Index Rebalance & ETF Flow Recap: NKY, STAR50, NIFTY NEXT50, SF Holding

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

Brian Freitas

Offshore China ETFs Rebalance Preview: Two Changes in September

There could be two sets of the changes for the 2823/2822 ETFs in September. A couple of stocks will have over 1x ADV to trade. There are few close...

Brian Freitas

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