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 Liquor/ Alcoholic Drink Index Rebalance: Capping to Drive Larger Flows

CSI Medical Service Index Rebalance Preview: Five Potential Changes in June

CSI Medical Service Index Rebalance Preview: Five Changes as Trade Flatlines

CSI Medical Service Index Rebalance: Adds Could Outperform Deletes in the Coming Week

CSI Medical Service Index Rebalance Preview: Needs Resuscitation

CSI Medical Service Index Rebalance Preview: Four Potential 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

Inner Mongolia Furui Medical Scie / Index Rebalance

Inner Mongolia Furui Medical Scie (300049 CH)

<ul>
<li>CSI announced the changes for the December rebalance after market close on 29 November and the changes will be effective after the close of trading on 13 December.</li>
<li>There are 3 changes for the index and we estimate passive buying of 0.7-1.4x ADV in the adds and selling of between 0.2-1x ADV in the deletes.</li>
<li>Trade performance has been horrible as the adds have moved sideways over the last two months and the deletes have skyrocketed - that could change in the next two weeks.</li>
</ul>


CSI announced the changes for the December rebalance after market close on 29 November and the changes will be effective after the close of trading on 13 December.
There are 3 changes for the index and we estimate passive buying of 0.7-1.4x ADV in the adds and selling of between 0.2-1x ADV in the deletes.
Trade performance has been horrible as the adds have moved sideways over the last two months and the deletes have skyrocketed - that could change in the next two weeks.


New Journey Healthcare Technology Group (002219 CH)

Shenzhen Mindray Bio-Medical Electronics (300760 CH)

Shanghai MicroPort EP MedTech (688351 CH)

Chengdu Bright Eye Hospital Group (301239 CH)

Sanbo Hospital Management Group (301293 CH)

CSI Medical Service Index Rebalance: Three Changes; Brutal Underperformance Could Reverse