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

HSI Rising, CSI 300 Stalled: No Divergence, No Arbitrage, Both Show a SELL Signal

STAR50/STAR100 Index Rebalance Preview: One Is Meh; The Other Is👍

CATL (300750 CH): Index Inclusion Post H-Share Listing

China: Passive Selling Expected Later This Month

Foshan Haitian Flavouring & Food (603288 CH): Index Inclusion Post H-Share Listing

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 could be up to 10 adds/ 29 deletes for the China global index in February. The actual number of changes will be smaller depending on the review date chosen.</li>
<li>The flow on the forecast adds varies from US$17.5m-US$175m (0.05x-15x ADV) while the flow on the forecast deletes varies from US$14.4m-US$100.4m (0.25x-22.75x ADV).</li>
<li>
<a href="https://www.smartkarma.com/entities/bestechnic-shanghai-co-ltd" target="_blank" data-smartkarma-citation="entities:33459:1" rel="noopener">Bestechnic Shanghai (688608 CH)</a> is a potential inclusion to multiple indices in June and there will be much larger passive flows to the stock then.</li>
</ul>


There could be up to 10 adds/ 29 deletes for the China global index in February. The actual number of changes will be smaller depending on the review date chosen.
The flow on the forecast adds varies from US$17.5m-US$175m (0.05x-15x ADV) while the flow on the forecast deletes varies from US$14.4m-US$100.4m (0.25x-22.75x ADV).

Bestechnic Shanghai (688608 CH) is a potential inclusion to multiple indices in June and there will be much larger passive flows to the stock then.


Shandong Weigao Group Medical Polymer Co (1066 HK)

Shanghai Electric Power Company (600021 CH)

Tian Di Science & Technology Co., (600582 CH)

Jiangsu Nhwa Pharmaceutical Co., (002262 CH)

Shanxi Coal Internationl Enrgy Gr (600546 CH)

Sinoma International Engineering (600970 CH)

Guangzhou Haige Cmncts Grp Inc Co (002465 CH)

Shijiazhuang Yiling Pharmaceutical (002603 CH)

Sichuan Changhong Electric Co, Ltd. (600839 CH)

Zhejiang Huahai Pharmaceutical Co, Ltd. (600521 CH)

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

Asymchem Laboratories Tianjin (002821 CH)

Beijing Compass Technology Dev (300803 CH)

Everdisplay Optronics Shanghai (688538 CH)

China/HK: Passive Activity Expected Later This Month