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

<ul>
<li>There are 15 changes for 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> at the upcoming rebalance that will be implemented at the close of trading on 9 December.</li>
<li>While most of the deletions are in line with forecasts, there are a few differences on the inclusions as the index committee has used its discretion to overlook some names.</li>
<li>The Industrials, Materials and Utilities sectors gain index spots at the expense of Health Care, Financials, Consumer Staples and Consumer Discretionary.</li>
</ul>


There are 15 changes for the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) at the upcoming rebalance that will be implemented at the close of trading on 9 December.
While most of the deletions are in line with forecasts, there are a few differences on the inclusions as the index committee has used its discretion to overlook some names.
The Industrials, Materials and Utilities sectors gain index spots at the expense of Health Care, Financials, Consumer Staples and Consumer Discretionary.


CSI300 Index Rebalance: The Surprises Could Outperform

Xinjiang Daqo New Energy  Lt / Event-Driven

<ul>
<li>Past the midway mark in the review period, we see 18 potential 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> at the December rebalance.</li>
<li>We estimate a one-way turnover of 3.32% at the December rebalance leading to a one-way trade of CNY 8.55bn.</li>
<li>The potential adds have outperformed the potential deletes and 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</a> over the last few months, with the outperformance widening over the last few weeks.</li>
</ul>


Past the midway mark in the review period, we see 18 potential changes to the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) at the December rebalance.
We estimate a one-way turnover of 3.32% at the December rebalance leading to a one-way trade of CNY 8.55bn.
The potential adds have outperformed the potential deletes and the Shanghai Shenzhen CSI 300 Index over the last few months, with the outperformance widening over the last few weeks.


CSI300 Index Rebalance Preview: Outperformance Continues & Could Keep Going

<ul>
<li>There are 5 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> at the upcoming rebalance that will be implemented at the close of trading on 10 December.</li>
<li>The index committee has 'forgotten' they need to reset the minimum listing history to 12 months when the number of stocks that are listed longer than 12 months exceeds 150.</li>
<li>There is more than 1 day of ADV to trade on all stocks and the inclusions could outperform the deletions over the next 10 trading days to implementation.</li>
</ul>


There are 5 changes to the SSE STAR50 (STAR50 INDEX) at the upcoming rebalance that will be implemented at the close of trading on 10 December.
The index committee has 'forgotten' they need to reset the minimum listing history to 12 months when the number of stocks that are listed longer than 12 months exceeds 150.
There is more than 1 day of ADV to trade on all stocks and the inclusions could outperform the deletions over the next 10 trading days to implementation.


STAR50 Index Rebalance: Oops! They Did It Again...

<div><p>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 STAR 50 (STAR50 INDEX)</a> is a free float market cap weighted and is made up of the 50 largest stocks based on full market cap that are listed on the STAR Market.</p></div><div>
<p>The review period for the December rebalance ends on 31 October, the results of the rebalance are likely to be announced on 26 November and the changes will be implemented at the close of trading on 10 December.</p>
<p>There are 191 stocks that will be listed longer than 12 months by 31 October and we expect the index committee to use a 12 month minimum listing history for the December review.</p>
<p>With 11 days remaining in the review period, potential inclusions are <a href="https://www.smartkarma.com/entities/xinjiang-daqo-new-energy-co-ltd" target="_blank" data-smartkarma-citation="entities:34163:1" rel="noopener">Xinjiang Daqo New Energy (688303 CH)</a>, <a href="https://www.smartkarma.com/entities/jiangsu-goodwe-power-supply-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:34165:1" rel="noopener">Jiangsu GoodWe Power Supply Technology (688390 CH)</a>, <a href="https://www.smartkarma.com/entities/infovision-optoelectronics-kunshan-co-ltd" target="_blank" data-smartkarma-citation="entities:34164:1" rel="noopener">InfoVision Optoelectronics Kunshan (688055 CH)</a>, <a href="https://www.smartkarma.com/entities/eyebright-medical-technology-beijing-co-ltd" target="_blank" data-smartkarma-citation="entities:33455:1" rel="noopener">Eyebright Medical Technology Beijing (688050 CH)</a> and <a href="https://www.smartkarma.com/entities/beijing-huafeng-test-control-technology-a" target="_blank" data-smartkarma-citation="entities:30367:1" rel="noopener">Beijing Huafeng Test &amp; Control Technology-A (688200 CH)</a>. <a href="https://www.smartkarma.com/entities/shanghai-medicilon-inc" target="_blank" data-smartkarma-citation="entities:30368:1" rel="noopener">Shanghai Medicilon Inc (688202 CH)</a> is a very close add currently.</p>
<p>The potential deletions are <a href="https://www.smartkarma.com/entities/willfar-information-technology-a" target="_blank" data-smartkarma-citation="entities:30341:1" rel="noopener">Willfar Information Technology-A (688100 CH)</a>, <a href="https://www.smartkarma.com/entities/appotronics-corp-ltd" target="_blank" data-smartkarma-citation="entities:28235:1" rel="noopener">Appotronics Corp Ltd (688007 CH)</a>, <a href="https://www.smartkarma.com/entities/espressif-systems-shanghai-co-ltd" target="_blank" data-smartkarma-citation="entities:30311:1" rel="noopener">Espressif Systems Shanghai (688018 CH)</a>, <a href="https://www.smartkarma.com/entities/xiamen-amoytop-biotech-co-ltd" target="_blank" data-smartkarma-citation="entities:30377:1" rel="noopener">Xiamen Amoytop Biotech Co Ltd (688278 CH)</a> and <a href="https://www.smartkarma.com/entities/anji-microelectronics-tech-a" target="_blank" data-smartkarma-citation="entities:30312:1" rel="noopener">Anji Microelectronics Tech-A (688019 CH)</a>.</p>
<p>In the unlikely event that the index committee decides to continue using a 6 month minimum listing history, the potential inclusions are <a href="https://www.smartkarma.com/entities/xinjiang-daqo-new-energy-co-ltd" target="_blank" data-smartkarma-citation="entities:34163:1" rel="noopener">Xinjiang Daqo New Energy (688303 CH)</a>, <a href="https://www.smartkarma.com/entities/zwsoft-guangzhou-co-ltd" target="_blank" data-smartkarma-citation="entities:34166:1" rel="noopener">ZWSOFT Guangzhou (688083 CH)</a>, <a href="https://www.smartkarma.com/entities/chengdu-xgimi-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:34167:1" rel="noopener">Chengdu XGimi Technology (688696 CH)</a>, <a href="https://www.smartkarma.com/entities/opt-machine-vision-tech-co-a" target="_blank" data-smartkarma-citation="entities:33148:1" rel="noopener">OPT Machine Vision Tech Co-A (688686 CH)</a> and <a href="https://www.smartkarma.com/entities/jiangsu-goodwe-power-supply-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:34165:1" rel="noopener">Jiangsu GoodWe Power Supply Technology (688390 CH)</a>, while <a href="https://www.smartkarma.com/entities/infovision-optoelectronics-kunshan-co-ltd" target="_blank" data-smartkarma-citation="entities:34164:1" rel="noopener">InfoVision Optoelectronics Kunshan (688055 CH)</a> is a close add. There is no change to the list of potential deletions from the index.</p>
<p>One-way turnover at the December rebalance is estimated at 11.04% assuming that CSI &amp; SSE use a 12 month minimum listing history.</p>
</div>

The SSE STAR 50 (STAR50 INDEX) is a free float market cap weighted and is made up of the 50 largest stocks based on full market cap that are listed on the STAR Market.
The review period for the December rebalance ends on 31 October, the results of the rebalance are likely to be announced on 26 November and the changes will be implemented at the close of trading on 10 December.
There are 191 stocks that will be listed longer than 12 months by 31 October and we expect the index committee to use a 12 month minimum listing history for the December review.
With 11 days remaining in the review period, potential inclusions are Xinjiang Daqo New Energy (688303 CH), Jiangsu GoodWe Power Supply Technology (688390 CH), InfoVision Optoelectronics Kunshan (688055 CH), Eyebright Medical Technology Beijing (688050 CH) and Beijing Huafeng Test &amp; Control Technology-A (688200 CH). Shanghai Medicilon Inc (688202 CH) is a very close add currently.
The potential deletions are Willfar Information Technology-A (688100 CH), Appotronics Corp Ltd (688007 CH), Espressif Systems Shanghai (688018 CH), Xiamen Amoytop Biotech Co Ltd (688278 CH) and Anji Microelectronics Tech-A (688019 CH).
In the unlikely event that the index committee decides to continue using a 6 month minimum listing history, the potential inclusions are Xinjiang Daqo New Energy (688303 CH), ZWSOFT Guangzhou (688083 CH), Chengdu XGimi Technology (688696 CH), OPT Machine Vision Tech Co-A (688686 CH) and Jiangsu GoodWe Power Supply Technology (688390 CH), while InfoVision Optoelectronics Kunshan (688055 CH) is a close add. There is no change to the list of potential deletions from the index.
One-way turnover at the December rebalance is estimated at 11.04% assuming that CSI &amp; SSE use a 12 month minimum listing history.


STAR50 Index Rebalance Dec 21 Preview: Big Turnover & Moderate Impact

<div>
<p>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 STAR 50 (STAR50 INDEX)</a> is a free float market cap weighted and is made up of the 50 largest stocks based on full market cap that are listed on the STAR Market.</p>
</div>
<div>
<p>The review period for the December rebalance ends on 31 October, the results of the rebalance are likely to be announced on 26 November and the changes will be implemented at the close of trading on 10 December.</p>
<p><em><strong>With 191 stocks listed for longer than 12 months by the review cut-off date, the minimum listing history should reset higher from 6 months to 12 months.</strong></em></p>
<p>Potential inclusions are <a href="https://www.smartkarma.com/entities/xinjiang-daqo-new-energy-co-ltd" target="_blank" data-smartkarma-citation="entities:34163:1" rel="noopener">Xinjiang Daqo New Energy (688303 CH)</a>, <a href="https://www.smartkarma.com/entities/infovision-optoelectronics-kunshan-co-ltd" target="_blank" data-smartkarma-citation="entities:34164:1" rel="noopener">InfoVision Optoelectronics Kunshan (688055 CH)</a>, <a href="https://www.smartkarma.com/entities/jiangsu-goodwe-power-suppl-a" target="_blank" data-smartkarma-citation="entities:34165:1" rel="noopener">Jiangsu Goodwe Power Suppl-A (688390 CH)</a>, <a href="https://www.smartkarma.com/entities/beijing-huafeng-test-control-technology-a" target="_blank" data-smartkarma-citation="entities:30367:1" rel="noopener">Beijing Huafeng Test &amp; Control Technology-A (688200 CH)</a> and <a href="https://www.smartkarma.com/entities/eyebright-medical-technology-beijing-co-ltd" target="_blank" data-smartkarma-citation="entities:33455:1" rel="noopener">Eyebright Medical Technology Beijing (688050 CH)</a>. <a href="https://www.smartkarma.com/entities/shanghai-medicilon-inc" target="_blank" data-smartkarma-citation="entities:30368:1" rel="noopener">Shanghai Medicilon Inc (688202 CH)</a> is a close add at the moment.</p>
<p>Potential deletions are <a href="https://www.smartkarma.com/entities/willfar-information-techno-a" target="_blank" data-smartkarma-citation="entities:30341:1" rel="noopener">Willfar Information Techno-A (688100 CH)</a>, <a href="https://www.smartkarma.com/entities/appotronics-corp-ltd" target="_blank" data-smartkarma-citation="entities:28235:1" rel="noopener">Appotronics Corp Ltd (688007 CH)</a>, <a href="https://www.smartkarma.com/entities/xiamen-amoytop-biotech-co-ltd" target="_blank" data-smartkarma-citation="entities:30377:1" rel="noopener">Xiamen Amoytop Biotech Co Ltd (688278 CH)</a>, <a href="https://www.smartkarma.com/entities/espressif-systems-shanghai-co-ltd" target="_blank" data-smartkarma-citation="entities:30311:1" rel="noopener">Espressif Systems Shanghai (688018 CH)</a> and <a href="https://www.smartkarma.com/entities/anji-microelectronics-tech-a" target="_blank" data-smartkarma-citation="entities:30312:1" rel="noopener">Anji Microelectronics Tech-A (688019 CH)</a>.</p>
<p>If, for some reason, the index committee decides to continue to use a 6 month minimum listing history, potential inclusions are <a href="https://www.smartkarma.com/entities/xinjiang-daqo-new-energy-co-ltd" target="_blank" data-smartkarma-citation="entities:34163:1" rel="noopener">Xinjiang Daqo New Energy (688303 CH)</a>, <a href="https://www.smartkarma.com/entities/zwsoft-co-ltd-guangzhou" target="_blank" data-smartkarma-citation="entities:34166:1" rel="noopener">ZWSOFT Co Ltd Guangzhou (688083 CH)</a>, <a href="https://www.smartkarma.com/entities/chengdu-xgimi-technology-c-a" target="_blank" data-smartkarma-citation="entities:34167:1" rel="noopener">Chengdu Xgimi Technology C-A (688696 CH)</a>, <a href="https://www.smartkarma.com/entities/opt-machine-vision-tech-co-a" target="_blank" data-smartkarma-citation="entities:33148:1" rel="noopener">Opt Machine Vision Tech Co-A (688686 CH)</a> and <a href="https://www.smartkarma.com/entities/infovision-optoelectronics-kunshan-co-ltd" target="_blank" data-smartkarma-citation="entities:34164:1" rel="noopener">InfoVision Optoelectronics Kunshan (688055 CH)</a> while there is no change to the list of potential deletions.</p>
<p>One-way turnover at the December rebalance is estimated at 10.17% assuming that CSI/SSE use a 12 month minimum listing history.</p>
</div>


The SSE STAR 50 (STAR50 INDEX) is a free float market cap weighted and is made up of the 50 largest stocks based on full market cap that are listed on the STAR Market.


The review period for the December rebalance ends on 31 October, the results of the rebalance are likely to be announced on 26 November and the changes will be implemented at the close of trading on 10 December.
With 191 stocks listed for longer than 12 months by the review cut-off date, the minimum listing history should reset higher from 6 months to 12 months.
Potential inclusions are Xinjiang Daqo New Energy (688303 CH), InfoVision Optoelectronics Kunshan (688055 CH), Jiangsu Goodwe Power Suppl-A (688390 CH), Beijing Huafeng Test &amp; Control Technology-A (688200 CH) and Eyebright Medical Technology Beijing (688050 CH). Shanghai Medicilon Inc (688202 CH) is a close add at the moment.
Potential deletions are Willfar Information Techno-A (688100 CH), Appotronics Corp Ltd (688007 CH), Xiamen Amoytop Biotech Co Ltd (688278 CH), Espressif Systems Shanghai (688018 CH) and Anji Microelectronics Tech-A (688019 CH).
If, for some reason, the index committee decides to continue to use a 6 month minimum listing history, potential inclusions are Xinjiang Daqo New Energy (688303 CH), ZWSOFT Co Ltd Guangzhou (688083 CH), Chengdu Xgimi Technology C-A (688696 CH), Opt Machine Vision Tech Co-A (688686 CH) and InfoVision Optoelectronics Kunshan (688055 CH) while there is no change to the list of potential deletions.
One-way turnover at the December rebalance is estimated at 10.17% assuming that CSI/SSE use a 12 month minimum listing history.


STAR50 Index Rebalance December Preview: 12 Month or 6 Month Listing History, That Is The Question

China

Xinjiang Daqo New Energy Co.,Ltd manufactures and distributes energy equipment. The Company produces polysilicon, silicon wafers, cells assemblies, and other products. Xinjiang Daqo New Energy also produces chemical products.

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Xinjiang Daqo New Energy Lt (688303 CH)

CSI300 Index Rebalance: The Surprises Could Outperform

There are 15 changes in December. Most of the deletions were forecast but there are surprises among the adds. One-way turnover is 2.4% and the one...

Brian Freitas

CSI300 Index Rebalance Preview: Outperformance Continues & Could Keep Going

Midway through the review period, we see 18 potential changes to the CSI300 Index at the December rebalance. The adds have outperformed the deletes...

Brian Freitas

STAR50 Index Rebalance: Oops! They Did It Again...

There are 5 changes at the Dec rebalance as the index committee have continued to use a 6 month minimum listing history even though the methodology...

Brian Freitas

STAR50 Index Rebalance Dec 21 Preview: Big Turnover & Moderate Impact

We see 5 potential changes to the STAR50 index in Dec and expect a 12 month minimum listing history to be used. The potential inclusions should...

Brian Freitas

STAR50 Index Rebalance December Preview: 12 Month or 6 Month Listing History, That Is The Question

CSI and SSE could start to use a 12 month minimum listing history requirement from the December rebalance. One-way turnover could be in excess of...

Brian Freitas

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