Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Index Rebalance

Post market close on 28 May, the China Securities Index Company announced the changes to the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a> that will be effective after the close of trading on 11 June.There are 25 inclusions and exclusions in the review with an estimated one-way turnover of 3.67%.There are 10 trading days to implementation of the changes. There are 4 inclusions that will have over 1 day of ADV to buy from passive funds while there are 15 deletions that will have over 1 day of ADV to sell. The actual impact could be higher as cash and carry baskets are rebalanced and active managers reposition their portfolios to no deviate too far from their benchmark.The inclusions have outperformed the deletions by 15% over the last month and while there could be a pop in the returns over the next few sessions, we recommend gradually exiting existing positions and re-entering prior to implementation on a selloff in the trade.

Post market close on 28 May, the China Securities Index Company announced the changes to the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) that will be effective after the close of trading on 11 June.There are 25 inclusions and exclusions in the review with an estimated one-way turnover of 3.67%.There are 10 trading days to implementation of the changes. There are 4 inclusions that will have over 1 day of ADV to buy from passive funds while there are 15 deletions that will have over 1 day of ADV to sell. The actual impact could be higher as cash and carry baskets are rebalanced and active managers reposition their portfolios to no deviate too far from their benchmark.The inclusions have outperformed the deletions by 15% over the last month and while there could be a pop in the returns over the next few sessions, we recommend gradually exiting existing positions and re-entering prior to implementation on a selloff in the trade.

CSI300 Index Rebalance: 25 Changes as Long/Short Trade Does Well

China

Shanghai Putailai New Energy Technology Co., Ltd. manufactures advanced materials. The Company designs, produces, and markets anode materials. Shanghai Putailai New Energy Technology also manufactures lithium battery making devices, coating membrane, and aluminum plastic films used in clean energy, energy saving, and environmental protection fields.

Shanghai Putailai New Energy T (603659 CH)

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CSI300 Index Rebalance: 25 Changes as Long/Short Trade Does Well

There are 25 changes to the CSI300 Index that will be implemented at the close on 11 June. One-way turnover is 3.67% and the adds have outperformed...

Brian Freitas