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CSI300 Index Rebalance Preview (June 2022): Changes Near the Midway Mark

Event-Driven
357 Views, 17 Jan 2022 07:10
EXECUTIVE SUMMARY
  • Nearly midway through the review period for the June rebalance of the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX), we see 29 potential changes to the index.
  • There are a lot of high and medium probability changes that could result in a one-way turnover of 4.2% and a one-way trade of CNY 10.17bn at the June rebalance.
  • The potential inclusions have underperformed the potential deletions by c.15% over the last month and this provides a good entry point into a long short/trade.
detail (6-minute read)
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Brian Freitas
Pan-Asia Index Rebalances/Events/Delta One
Periscope Analytics
IndiaEquitiesEvent-DrivenQuantitative Analysis

Highly experienced ex-Delta One trader with 17 years of experience trading arbitrage and related strategies across Asian... 

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