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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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

Jiangsu Zhongtian Technologies Co, Ltd. / Index Rebalance

Jiangsu Zhongtian Technologies Co, Ltd. (600522 CH)

<ul>
<li>With three-quarters of the review period nearly complete, there could be 12 changes for the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX)</a> in June.</li>
<li>We estimate one-way turnover of 1.3% at the June rebalance leading to a one-way trade of CNY 5.06bn. There are a lot of stocks with over 1x ADV to trade.</li>
<li>There have been big ETF inflows to the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> trackers, but the potential adds have still outperformed the index and the potential deletes.</li>
</ul>


With three-quarters of the review period nearly complete, there could be 12 changes for the Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX) in June.
We estimate one-way turnover of 1.3% at the June rebalance leading to a one-way trade of CNY 5.06bn. There are a lot of stocks with over 1x ADV to trade.
There have been big ETF inflows to the CSI 300 Index trackers, but the potential adds have still outperformed the index and the potential deletes.


Xinjiang Goldwind Science & Technology (002202 CH)

Beijing Tiantan Biological Products (600161 CH)

Shenzhen Overseas Chinese (A) (000069 CH)

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

China Merchants Expressway Net (001965 CH)

Shanghai Jinjiang Internationa (600754 CH)

Shenzhen New Industries Biomedical Engineering-A (300832 CH)

Shenzhen New Industries Biomedical Engineering-A

COSCO SHIPPING Energy Transpor (600026 CH)

Ming Yang Smart Energy Group L (601615 CH)

CSI Smallcap 500 Index - Shang (SH000905 INDEX EQUITY)

Shanghai Rural Commercial Bank (601825 CH)

CSI300 Index Rebalance Preview: A Dozen Changes for June