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

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

STAR&CHINEXT 50 Index Rebalance Preview: One Set of Change; Maybe Two

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

China ETF Inflows & Implications: Central Huijin's Huge Buying

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

Kuang-Chi Technologies   / Index Rebalance

<ul>
<li>There could be 8 changes at the June rebalance with the Industrials and Information Technology sectors gaining 3 index spots each and the Materials sector losing 4 spots.</li>
<li>Estimated one-way turnover is 1.44% at the rebalance leading to a round-trip trade of CNY 32.55bn (US$4.5bn). There are 13 stocks with over 2x ADV to trade.</li>
<li>The forecast adds have outperformed the forecast deletes over the last 6 weeks even though there have been large ETF creations. There could be more outperformance coming up.</li>
</ul>


There could be 8 changes at the June rebalance with the Industrials and Information Technology sectors gaining 3 index spots each and the Materials sector losing 4 spots.
Estimated one-way turnover is 1.44% at the rebalance leading to a round-trip trade of CNY 32.55bn (US$4.5bn). There are 13 stocks with over 2x ADV to trade.
The forecast adds have outperformed the forecast deletes over the last 6 weeks even though there have been large ETF creations. There could be more outperformance coming up.


Hualan Biological Engineering (002007 CH)

37 Interactive Entertainment N (002555 CH)

Jiangsu Zhongtian Technologies Co, Ltd. (600522 CH)

Guangzhou Tinci Materials Technlgy (002709 CH)

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

Shanghai Putailai New Energy T (603659 CH)

Wuxi Lead Intelligent Equipmen (300450 CH)

Chongqing Rural Commercial Ban (601077 CH)

CSI Smallcap 500 Index - Shang (SH000905 INDEX EQUITY)

CSI300 Index Rebalance Preview: 8 Changes a Side in June; US$4.5bn Trade