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

CSI500/1000 Index Rebalance Preview: Adds Outperform Deletes Early On, Then Hit a Wall

CSI 300 (SHSZ300) Tactical Outlook Ahead of December Rebalance

CSI All Share Real Estate Sector Index Rebalance Preview: Multiple Changes in December

CSI300 Index Rebalance Preview: Rising Markets and ETF Creations Take Round-Trip Trade to US$8.5bn

China ETF Inflows & Implications: YTD Inflows Nearing US$150bn

CSI300 Index Rebalance Preview: 7 Changes a Side as Market Trades in a Range

CSI300/CSI500/CSI1000 Index Rebalance: US$9bn Round-Trip Trade

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

Victory Giant Technology -A / Index Rebalance

<ul>
<li>There could be 12 changes at the December rebalance with the Information Technology sector gaining 2 index spots and a smaller number of changes in the other sectors.</li>
<li>We estimate one-way turnover of 2.7% at the rebalance leading to a round-trip trade of CNY 69.8bn (US$9.8bn). There are 8 stocks with over 2x ADV to trade.</li>
<li>The forecast adds have outperformed the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> over the last 5 months while the forecast deletes have underperformed the index.</li>
</ul>


There could be 12 changes at the December rebalance with the Information Technology sector gaining 2 index spots and a smaller number of changes in the other sectors.
We estimate one-way turnover of 2.7% at the rebalance leading to a round-trip trade of CNY 69.8bn (US$9.8bn). There are 8 stocks with over 2x ADV to trade.
The forecast adds have outperformed the CSI 300 Index over the last 5 months while the forecast deletes have underperformed the index.


Tianjin Zhonghuan Semiconductor (002129 CH)

Shanxi Lu'An Environmental Energy Dev.Co (601699 CH)

Sichuan Changhong Electric Co, Ltd. (600839 CH)

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

Hangzhou First Applied Material-A (603806 CH)

Guangzhou Baiyunshan Pharmaceu (600332 CH)

CSPC Innovation Pharmaceutical-A (300765 CH)

Beijing Compass Technology Dev (300803 CH)

Verisilicon Microelectronics S (688521 CH)

CSI Smallcap 500 Index - Shang (SH000905 INDEX EQUITY)

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