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

STAR&CHINEXT 50 Index Rebalance Preview: Potential Changes in December

CSI 1000 Index Rebalance Preview: 100 Changes; 10% Turnover; US$4bn Round-Trip Trade

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

CSI500 Index Rebalance Preview: 50 Changes; 10% Turnover; US$3.6bn Round-Trip Trade

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

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

Huolinhe Opencut Coal Ind Corp Ltd. / Index Rebalance

Huolinhe Opencut Coal Ind Corp Ltd. (002128 CH)

<ul>
<li>With the review period complete, we forecast 50 changes for the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI Smallcap 500 Index</a> and 100 changes for the CSI 1000 Index at the December rebalance.</li>
<li>We estimate a one-way turnover of 10.15% for the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI Smallcap 500 Index</a> and 10.22% for the CSI1000 Index. Gross round-trip trade across both indices is CNY 73.4bn (US$10.3bn).</li>
<li>The outright forecast adds have outperformed the outright forecast deletes over the last 6 months with most of the outperformance coming between June and August.</li>
</ul>


With the review period complete, we forecast 50 changes for the CSI Smallcap 500 Index and 100 changes for the CSI 1000 Index at the December rebalance.
We estimate a one-way turnover of 10.15% for the CSI Smallcap 500 Index and 10.22% for the CSI1000 Index. Gross round-trip trade across both indices is CNY 73.4bn (US$10.3bn).
The outright forecast adds have outperformed the outright forecast deletes over the last 6 months with most of the outperformance coming between June and August.


Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

CSI Smallcap 500 Index - Shang (SH000905 INDEX EQUITY)

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