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 1000 Index Rebalance Preview: US$3.7bn Trade; Adds Outperform as ETFs Face Redemptions

STAR50/STAR100 Index Rebalance Preview: Central Huijin's ETF Creations Skew Performance

STAR Chip Index Rebalance Preview: Potential Changes in June

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

CSI500 Index Rebalance Preview: 50 Changes; 11% Turnover; US$3.4bn Round-Trip Trade

CSI 500/1000 Index Rebalance Preview: Migrations & Outright Changes

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

<ul>
<li>With 85% of the review period now complete, we forecast 50 changes (the maximum permitted) 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> at the close on 13 June.</li>
<li>We estimate a one-way turnover of 10% at the rebalance resulting in a round-trip trade of CNY26.4bn (US$3.6bn). The Information Technology gains at the expense of Healthcare and Consumer Staples.</li>
<li>The forecast adds have outperformed the forecast deletes and the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI Smallcap500 Index</a> over the last 6 months. The best part is that the volatility of the trade is very low.</li>
</ul>


With 85% of the review period now complete, we forecast 50 changes (the maximum permitted) for the CSI Smallcap 500 Index at the close on 13 June.
We estimate a one-way turnover of 10% at the rebalance resulting in a round-trip trade of CNY26.4bn (US$3.6bn). The Information Technology gains at the expense of Healthcare and Consumer Staples.
The forecast adds have outperformed the forecast deletes and the CSI Smallcap500 Index over the last 6 months. The best part is that the volatility of the trade is very low.


Tangshan Jidong Cement Co, Ltd. (000401 CH)

Ningbo Sanxing Medical Electric (601567 CH)

Huolinhe Opencut Coal Ind Corp Ltd. (002128 CH)

Hualan Biological Engineering (002007 CH)

Zibo Qixiang Tengda Chemical Co, Ltd. (002408 CH)

Sinochem International Corporation A (600500 CH)

Xinxing Ductile Iron Pipes Co, Ltd. (000778 CH)

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

Chengdu Kanghong Pharmaceutical Group-A (002773 CH)

China Railway Special Cargo Lo (001213 CH)

CSI Smallcap 500 Index - Shang (SH000905 INDEX EQUITY)

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

Bestechnic Shanghai

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