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>Wednesday will be a busy day as positions are put on and unwound following announcement of the changes to the MSC indices.</li>
<li>Friday will end the review cutoff for the ASX indices and Hang Seng Indexes will announce the December changes for the <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 post market close.</li>
<li>Another week of large outflows for China focused ETFs with redemptions across all the major indices.</li>
</ul>


Wednesday will be a busy day as positions are put on and unwound following announcement of the changes to the MSC indices.
Friday will end the review cutoff for the ASX indices and Hang Seng Indexes will announce the December changes for the HSI, HSCEI, HSTECH and HSCI post market close.
Another week of large outflows for China focused ETFs with redemptions across all the major indices.


Index Rebalance & ETF Flow Recap: SSE50, Chinext/50, Renesas, Tencent, Amman Mineral

Wuhan Jingce Electronic Group / Index Rebalance

Wuhan Jingce Electronic Group (300567 CH)

<ul>
<li>Nearing the end of the review period, we forecast 8 changes for the <a href="https://www.smartkarma.com/entities/chinext-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">ChiNext Index (SZ399006 INDEX)</a> and 5 changes for the ChiNext 50 Index in December.</li>
<li>Given stock selection uses liquidity as a major input, the impact of passive trading will be much larger on the deletions as compared to the additions.</li>
<li>The potential adds have outperformed the potential deletes, but relative performance has been drifting lower over the last few months. There are stocks that will have flows from other indices.</li>
</ul>


Nearing the end of the review period, we forecast 8 changes for the ChiNext Index (SZ399006 INDEX) and 5 changes for the ChiNext 50 Index in December.
Given stock selection uses liquidity as a major input, the impact of passive trading will be much larger on the deletions as compared to the additions.
The potential adds have outperformed the potential deletes, but relative performance has been drifting lower over the last few months. There are stocks that will have flows from other indices.


ChiNext/​​​ChiNext50 Index Rebalance Preview: Sector Rotation Continues

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Luoyang Xinqianglian Slewing B / Index Rebalance

Luoyang Xinqianglian Slewing B (300850 CH)

<ul>
<li>CSI 300 represents the 300 largest stocks by market capitalization and liquidity from the entire universe of Shanghai and Shenzhen Stock Exchanges. CSI 500 represents the <em>next</em> largest 500 names.</li>
<li>During the periodic index rebalance events, a large number of stocks move into or out of these indices giving rise to significant flow events and attractive trading opportunities.</li>
<li>In this insight, we take a brief look at the index selection methodology and the historical price and volume performance of the CSI 300/500 index rebalance baskets.</li>
</ul>


CSI 300 represents the 300 largest stocks by market capitalization and liquidity from the entire universe of Shanghai and Shenzhen Stock Exchanges. CSI 500 represents the next largest 500 names.
During the periodic index rebalance events, a large number of stocks move into or out of these indices giving rise to significant flow events and attractive trading opportunities.
In this insight, we take a brief look at the index selection methodology and the historical price and volume performance of the CSI 300/500 index rebalance baskets.


Quiddity Primer for CSI 300/500 Index Rebalance Events

<ul>
<li>Busy week in India with the adhoc changes to the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY</a>, <a href="https://www.smartkarma.com/entities/nse-nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">NSE Nifty Next 50</a>, <a href="https://www.smartkarma.com/entities/s-p-bse-sensex-index" target="_blank" data-smartkarma-citation="entities:31494:1" rel="noopener">S&amp;P BSE SENSEX</a> and <a href="https://www.smartkarma.com/entities/nse-nifty-bank-index" target="_blank" data-smartkarma-citation="entities:26811:1" rel="noopener">Nifty Bank</a> due to the <a href="https://www.smartkarma.com/entities/housing-development-finance" target="_blank" data-smartkarma-citation="entities:252:1" rel="noopener">HDFC Limited</a> and <a href="https://www.smartkarma.com/entities/hdfc-bank-ltd-4b6b7a92-9087-468d-9dbe-ab169e77f014" target="_blank" data-smartkarma-citation="entities:558:1" rel="noopener">HDFC Bank</a> merger.</li>
<li>The IDX could announce the changes to the IDX30, LQ45 and IDX80 indices in the coming week, though there is no firm schedule for announcements.</li>
<li>Yet another week of inflows to the <a href="https://www.smartkarma.com/entities/tracker-fund-of-hong-kong-ltd" target="_blank" data-smartkarma-citation="entities:29257:1" rel="noopener">Tracker Fund of Hong Kong Ltd (2800 HK)</a> ETF and outflows from the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index-etf" target="_blank" data-smartkarma-citation="entities:25:1" rel="noopener">Hang Seng H Share Index ETF (2828 HK)</a>. </li>
</ul>


Busy week in India with the adhoc changes to the NIFTY, NSE Nifty Next 50, S&amp;P BSE SENSEX and Nifty Bank due to the HDFC Limited and HDFC Bank merger.
The IDX could announce the changes to the IDX30, LQ45 and IDX80 indices in the coming week, though there is no firm schedule for announcements.
Yet another week of inflows to the Tracker Fund of Hong Kong Ltd (2800 HK) ETF and outflows from the Hang Seng H Share Index ETF (2828 HK). 


Index Rebalance & ETF Flow Recap: ASX, Chinext, URA, Korea Stocks, NKY

<ul>
<li>One third of the way through the review period, we forecast 10 changes for the <a href="https://www.smartkarma.com/entities/chinext-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">ChiNext Index (SZ399006 INDEX EQUITY)</a> and 5 changes for the ChiNext 50 Index in December.</li>
<li>Passive trackers are estimated to trade around +/-0.5 days ADV on most of the potential adds/deletes, though there are some deletes that will have over 1 day ADV to sell.</li>
<li>The potential inclusion to one or both indices have outperformed the potential deletes by a huge margin in the 5 months. We'd wait for a pullback to re-enter positions.</li>
</ul>


One third of the way through the review period, we forecast 10 changes for the ChiNext Index (SZ399006 INDEX EQUITY) and 5 changes for the ChiNext 50 Index in December.
Passive trackers are estimated to trade around +/-0.5 days ADV on most of the potential adds/deletes, though there are some deletes that will have over 1 day ADV to sell.
The potential inclusion to one or both indices have outperformed the potential deletes by a huge margin in the 5 months. We'd wait for a pullback to re-enter positions.


ChiNext/​​​ChiNext50 Index Rebalance Preview: Potential Changes & Basket Performance

China

Wuhan Jingce Electronic Group Co.,Ltd manufactures inspection systems. The Company produces automated optical inspection systems, organic light emitting diode inspection systems, module inspection systems, panel inspection systems, and other systems. Wuhan Jingce Electronic Group also produces flat panel display automation equipment.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Wuhan Jingce Electronic Group (300567 CH)

Index Rebalance & ETF Flow Recap: SSE50, Chinext/50, Renesas, Tencent, Amman Mineral

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

Brian Freitas

ChiNext/ChiNext50 Index Rebalance Preview: Sector Rotation Continues

There could be 8 changes for the Chinext and 5 for the Chinext50. Impact is higher on the deletions. The IT sector gains index spots while...

Brian Freitas

Quiddity Primer for CSI 300/500 Index Rebalance Events

We evaluated the performance of 1205+ unique past Index rebalance cases (ADDs and DELs) involving the CSI 300 index and CSI 500 index from December...

Janaghan Jeyakumar, CFA

Index Rebalance & ETF Flow Recap: ASX, Chinext, URA, Korea Stocks, NKY

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

Brian Freitas

ChiNext/ChiNext50 Index Rebalance Preview: Potential Changes & Basket Performance

There are many overlapping changes for the Chinext and Chinext50 indices. The potential adds have outperformed the potential deletes and flow could...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Index Rebalance & ETF Flow Recap: SSE50, Chinext/50, Renesas, Tencent, Amman Mineral

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

Brian Freitas

ChiNext/​​​ChiNext50 Index Rebalance Preview: Sector Rotation Continues

There could be 8 changes for the Chinext and 5 for the Chinext50. Impact is higher on the deletions. The IT sector gains index spots while...

Brian Freitas

Quiddity Primer for CSI 300/500 Index Rebalance Events

We evaluated the performance of 1205+ unique past Index rebalance cases (ADDs and DELs) involving the CSI 300 index and CSI 500 index from December...

Janaghan Jeyakumar, CFA

Index Rebalance & ETF Flow Recap: ASX, Chinext, URA, Korea Stocks, NKY

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

Brian Freitas

ChiNext/​​​ChiNext50 Index Rebalance Preview: Potential Changes & Basket Performance

There are many overlapping changes for the Chinext and Chinext50 indices. The potential adds have outperformed the potential deletes and flow could...

Brian Freitas

ChiNext/ChiNext50 Index Rebalance Preview: Sector Rotation Continues

ChiNext/ChiNext50 Index Rebalance Preview: Potential Changes & Basket Performance