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

CSI A500 Index Rebalance Preview: Many Changes Expected; US$1bn Trade

Guotai Junan/Haitong Sec Merger: The Many Index Flows Around the Corner

CSI300 Index Rebalance Preview: 12 Changes a Side as Trade Nears US$10bn

CSI 500/1000 Index Rebalance Preview: Strong Near-Term Outperformance

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

Guotai Junan Securities   / Index Rebalance

<ul>
<li>There could be 23 changes for the CSI A500 Index at the December rebalance. Turnover is estimated at 2.9% and the round-trip trade is around US$1.6bn.</li>
<li>There is a fair amount of balance between sectors with Consumer Discretionary and Health Care expected to lose index spots to Industrials, Information Technology and Materials.</li>
<li>The forecast adds outperformed the forecast deletes from June-September but have given up gains since then. Position in stocks that will have same-way flows from passive trackers of other indices.</li>
</ul>


There could be 23 changes for the CSI A500 Index at the December rebalance. Turnover is estimated at 2.9% and the round-trip trade is around US$1.6bn.
There is a fair amount of balance between sectors with Consumer Discretionary and Health Care expected to lose index spots to Industrials, Information Technology and Materials.
The forecast adds outperformed the forecast deletes from June-September but have given up gains since then. Position in stocks that will have same-way flows from passive trackers of other indices.


Zhejiang Weixing New Bldg Mtls (002372 CH)

Zhejiang Yinlun Machinery Co,Ltd. (002126 CH)

Chongqing Taiji Industry (Group) A (600129 CH)

Zhejiang Shangfeng Industrial (000967 CH)

Guangdong Hec Technology Holding (600673 CH)

Kangmei Pharmaceutical Co Ltd (600518 CH)

Tonghua Dongbao Pharmaceutical (600867 CH)

Harbin Hatou Investment Co, Ltd. (600864 CH)

Shenzhen Kangtai Biological Pr (300601 CH)

Yuan Longping High-tech Agricu (000998 CH)

Shenzhen YUTO Packaging Techno (002831 CH)

Shenyang Xingqi Pharmaceutical (300573 CH)

Beijing Compass Technology Dev (300803 CH)

China Satellite Communications (601698 CH)

Autel Intelligent Technology C (688208 CH)

Verisilicon Microelectronics S (688521 CH)

Leader Harmonious Drive System (688017 CH)

CSI A500 Index Rebalance Preview: Bunch of Changes to Lead to US$1.6bn Trade