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

Brian Freitas

Highly experienced ex-Delta One trader with 17 years of experience trading arbitrage and related strategies across Asian markets.

Exempt Financial Adviser (EFA) under CrossASEAN Research Pte Ltd.

It is important to note that the information provided by Periscope Analytics is based on publicly available data and own knowledge, which has been gathered and synthesized from a variety of sources. While every effort has been made to ensure the accuracy and completeness of the information provided, it is not guaranteed to be free from errors or omissions.

All forecasts and estimates are based on information that has been obtained from public sources that are considered to be reliable. The sources include, but are not limited to, company announcements, exchange filings, ETF and other passive investment vehicle holdings, and free float and volume data from third-party data providers. Periscope Analytics does not guarantee the accuracy and completeness of the forecasts, estimates and/or other information.

Pan-Asia Index Rebalances/ Events/ Delta One

China A50 ETFs Rebalance Preview: Three Changes in September

China A50 ETF Rebalance: Two Sets of Changes

China A50 ETFs Rebalance Preview: Two Changes in March

China A50 ETFs Rebalance Preview: Three Changes in December

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

Wanhua Chemical Group Co A / Index Rebalance

<ul>
<li>With the review period complete, there could be 3 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 China A50 (HKD) (2822 HK)</a> in March.</li>
<li>Passive trackers are estimated to trade between 0.2-0.5x ADV in the forecast changes but the stocks have moved a lot.</li>
<li>The forecast adds have outperformed the forecast deletes and the index in the short-term and medium-term and momentum continues to drive performance.</li>
</ul>


With the review period complete, there could be 3 changes for the iShares A50 China (2823 HK) / CSOP China A50 (HKD) (2822 HK) in March.
Passive trackers are estimated to trade between 0.2-0.5x ADV in the forecast changes but the stocks have moved a lot.
The forecast adds have outperformed the forecast deletes and the index in the short-term and medium-term and momentum continues to drive performance.


Shanxi Xinghuacun Fen Wine Factory Co (600809 CH)

Foshan Haitian Flavouring & Food (603288 CH)

China A50 ETFs Rebalance Preview: Forecast Adds Continue to Outperform