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

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STAR Board: CSI300 Index Rebalance: Rule Change Sees STAR Board Stocks Included

CSI300 Index Rebalance Preview: Recovering from the Growth Sell-Off

Battle Lines Drawn As BABA Builds Out First/Last-Mile Capacity; But Who Will Fund 75+ Bn CNY CapEx?

Index Rebalance

Post market close on 28 May, the China Securities Index Company announced the changes to the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a> that will be effective after the close of trading on 11 June.There are 25 inclusions and exclusions in the review with an estimated one-way turnover of 3.67%.There are 10 trading days to implementation of the changes. There are 4 inclusions that will have over 1 day of ADV to buy from passive funds while there are 15 deletions that will have over 1 day of ADV to sell. The actual impact could be higher as cash and carry baskets are rebalanced and active managers reposition their portfolios to no deviate too far from their benchmark.The inclusions have outperformed the deletions by 15% over the last month and while there could be a pop in the returns over the next few sessions, we recommend gradually exiting existing positions and re-entering prior to implementation on a selloff in the trade.

Post market close on 28 May, the China Securities Index Company announced the changes to the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) that will be effective after the close of trading on 11 June.There are 25 inclusions and exclusions in the review with an estimated one-way turnover of 3.67%.There are 10 trading days to implementation of the changes. There are 4 inclusions that will have over 1 day of ADV to buy from passive funds while there are 15 deletions that will have over 1 day of ADV to sell. The actual impact could be higher as cash and carry baskets are rebalanced and active managers reposition their portfolios to no deviate too far from their benchmark.The inclusions have outperformed the deletions by 15% over the last month and while there could be a pop in the returns over the next few sessions, we recommend gradually exiting existing positions and re-entering prior to implementation on a selloff in the trade.

Hubei Biocause Pharmaceutical Co (000627 CH)

Shanxi Meijin Energy Co, Ltd. (000723 CH)

Guangzhou Baiyun International Airport (600004 CH)

Kingray New Materials Science & Tech Co (600390 CH)

Jiangsu Zhongnan Construction (000961 CH)

China Grand Automotive Services (600297 CH)

China National Chemical Engineering Company A (601117 CH)

China National Chemical Engineering Company A

Zhejiang Huahai Pharmaceutical Co, Ltd. (600521 CH)

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

Hangzhou First Applied Material-A (603806 CH)

Shanghai Putailai New Energy T (603659 CH)

Wuxi Lead Intelligent Equipmen (300450 CH)

Beijing Kingsoft Office Softwa (688111 CH)

Qingdao Rural Commercial Bank (002958 CH)

Hebei Yangyuan Zhihui Beverage (603156 CH)

DaShenLin Pharmaceutical Group (603233 CH)

Guangzhou Kingmed Diagnostics (603882 CH)

National Silicon Industry Grou (688126 CH)

China Resources Microelectroni (688396 CH)

CSI300 Index Rebalance: 25 Changes as Long/Short Trade Does Well

Chongqing Brewery Co A

CSI300 Index Rebalance: 25 Changes as Long/Short Trade Does Well