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

Topsports International Holdings / Event-Driven

<ul>
<li>The China equity markets have continued to trade lower with 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 Index</a> outperforming other mainland indices as the National Team continues to pump money into ETFs tracking the index.</li>
<li>We currently estimate selling of around US$1.39bn across 74 stocks listed on the mainland and in Hong Kong. There could be fewer deletions depending on the review date chosen.</li>
<li>The potential deletes have dropped a lot since the start of the calendar year with big underperformance versus the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI Index</a>, <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> and <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI Smallcap 500 Index</a>.</li>
</ul>


The China equity markets have continued to trade lower with the CSI 300 Index outperforming other mainland indices as the National Team continues to pump money into ETFs tracking the index.
We currently estimate selling of around US$1.39bn across 74 stocks listed on the mainland and in Hong Kong. There could be fewer deletions depending on the review date chosen.
The potential deletes have dropped a lot since the start of the calendar year with big underperformance versus the HSCEI Index, CSI 300 Index and CSI Smallcap 500 Index.


China: Passive Selling Expected Later This Month

Index Rebalance

<ul>
<li>The review period for the September rebalance ends 31 July. We expect the changes to be announced 30 August with the implementation taking place after the close on 13 September.</li>
<li>We forecast 6 changes for the index, including migrations between the STAR100 Index and 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">STAR50 INDEX</a>. There is uncertainty for a few adds given profitability (or lack of it). </li>
<li>The outright potential adds have outperformed the outright potential deletes since the start of the calendar year with 12% outperformance in just the last 3 weeks.</li>
</ul>


The review period for the September rebalance ends 31 July. We expect the changes to be announced 30 August with the implementation taking place after the close on 13 September.
We forecast 6 changes for the index, including migrations between the STAR100 Index and the STAR50 INDEX. There is uncertainty for a few adds given profitability (or lack of it). 
The outright potential adds have outperformed the outright potential deletes since the start of the calendar year with 12% outperformance in just the last 3 weeks.


STAR100 Index Rebalance Preview: Potential Adds Diverge Further from Potential Deletes

<ul>
<li>There are only 3 trading days left in the review period for the September rebalance of 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>. </li>
<li>We see two potential changes that could result in a one-way turnover of 3.6% and in a one-way trade of CNY 4.7bn (US$644m).</li>
<li>Cumulative excess volume has started to pick up in the stocks over the last few weeks and that could be an indicator of further gains for a long/short trade.</li>
</ul>


There are only 3 trading days left in the review period for the September rebalance of the SSE STAR50 (STAR50 INDEX). 
We see two potential changes that could result in a one-way turnover of 3.6% and in a one-way trade of CNY 4.7bn (US$644m).
Cumulative excess volume has started to pick up in the stocks over the last few weeks and that could be an indicator of further gains for a long/short trade.


STAR50 Index Rebalance Preview: Positioning Indicates Further Gains for a Long/Short Trade

<ul>
<li>The review period for the September rebalance ends 30 July. We expect the changes to be announced 30 August with the implementation taking place after the close on 13 September.</li>
<li>We forecast 6 changes for the index, including migrations between the STAR 100 Index and 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>.</li>
<li>Excluding the migrations, the potential adds have outperformed the potential deletes since the start of the calendar year and there could be further outperformance over the next few weeks.</li>
</ul>


The review period for the September rebalance ends 30 July. We expect the changes to be announced 30 August with the implementation taking place after the close on 13 September.
We forecast 6 changes for the index, including migrations between the STAR 100 Index and the SSE STAR50 (STAR50 INDEX).
Excluding the migrations, the potential adds have outperformed the potential deletes since the start of the calendar year and there could be further outperformance over the next few weeks.


STAR100 Index Rebalance Preview: Outright Adds Outperforming Outright Deletes

<ul>
<li>The review period for the September rebalance ends 31 July. We expect the changes to be announced 30 August with the implementation taking place after the close on 13 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 3.5% resulting in a one-way trade of CNY 4.5bn (US$618m). Passive trackers will need to trade 4-8x ADV on the index changes.</li>
</ul>


The review period for the September rebalance ends 31 July. We expect the changes to be announced 30 August with the implementation taking place after the close on 13 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 3.5% resulting in a one-way trade of CNY 4.5bn (US$618m). Passive trackers will need to trade 4-8x ADV on the index changes.


STAR50 Index Rebalance Preview: Two Changes & Over US$1.2bn to Trade

China

SSE Science and Technology Innovation Board 50 Index consists of 50 securities with largest market capitalization and good liquidity listed on SSE Science and Technology Innovation Board. The index aims to reflect the overall performance of leading technological innovation-based enterprises’ securities.

SSE STAR50 (STAR50 INDEX)

China: Passive Selling Expected Later This Month

We currently estimate passive selling of around US$1.39bn across 74 stocks listed in China and HK. The potential deletes have underperformed...

Brian Freitas

STAR100 Index Rebalance Preview: Potential Adds Diverge Further from Potential Deletes

There could be 6 index changes in Sep. The list of adds will depend on the index committee using the profitability criterion (or not). The adds...

Brian Freitas

STAR50 Index Rebalance Preview: Positioning Indicates Further Gains for a Long/Short Trade

There could be 2 changes in September. A long adds/short deletes trade has been flat over the last 3 months. Recent changes in cumulative excess...

Brian Freitas

STAR100 Index Rebalance Preview: Outright Adds Outperforming Outright Deletes

There could be 6 changes for the STAR100 Index in September of which 2 are migrations with the STAR50. The outright adds have outperformed the...

Brian Freitas

STAR50 Index Rebalance Preview: Two Changes & Over US$1.2bn to Trade

With 90% of the review period complete, there should be 2 changes for the STAR50 in Sep. One-way turnover is 3.5% and the round-trip trade is over...

Brian Freitas