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

ChiNext/​ChiNext 50 Index Rebalance: Materials & Industrials Take Spots from IT, Health Care

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CSI500 Index Rebalance Preview: 50 Adds/Deletes in December

CSI300 Index Rebalance Preview: Potential Changes and Close Names

SZSE1000 Index Rebalance Preview: Stock Connect & MSCI/​FTSE Eligibility

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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

Hubei Feilihua Quartz Glass  / Event-Driven

<ul>
<li>At the end of the review period, we forecast 10 changes for the <a href="https://www.smartkarma.com/entities/chinext-price-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">Chinext Price Index (SZ399006 INDEX)</a> and 5 changes for the ChiNext 50 Index in December.</li>
<li>Passive trackers will need to buy +/-0.5 days of ADV for most inclusions and exclusions from the indices. The impact on the potential deletions is higher on average.</li>
<li>The potential adds have outperformed the potential deletes over the last six months, though there has been a sharp narrowing of the gap over the last few weeks.</li>
</ul>


At the end of the review period, we forecast 10 changes for the Chinext Price Index (SZ399006 INDEX) and 5 changes for the ChiNext 50 Index in December.
Passive trackers will need to buy +/-0.5 days of ADV for most inclusions and exclusions from the indices. The impact on the potential deletions is higher on average.
The potential adds have outperformed the potential deletes over the last six months, though there has been a sharp narrowing of the gap over the last few weeks.


Beijing Cisri Gaona Materials & Tech Co (300034 CH)

Beijing E-Hualu Information Technology (300212 CH)

Bluefocus Communication Group Co, Ltd. (300058 CH)

Shenzhen Everwin Precision Technology Co (300115 CH)

Wens Foodstuff Group Co., Ltd. (300498 CH)

Sunresin New Materials Co Ltd (300487 CH)

Chengdu Kanghua Biological Pro (300841 CH)

ChiNext/ChiNext50 Index Rebalance Preview: Overlapping Stocks & Mean Reversion