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: 100 Changes; 10% Turnover; US$4bn Round-Trip Trade

CSI 500 Index Rebalance Preview: 50 Changes; 11% Turnover; US$5bn Round-Trip Trade

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

ChiNext/​​ChiNext 50 Index Rebalance: US$1bn Round-Trip Trade

CSI500 Index Rebalance Preview: Potential Adds Continuing to Outperform

CSI500 Index Rebalance Preview: Potential Adds Rally and Outperform the Potential Deletes

Battle Lines Drawn As BABA Builds Out First/Last-Mile Capacity; But Who Will Fund 75+ Bn CNY CapEx?

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

Victory Giant Technology -A / Index Rebalance

<ul>
<li>With 70% 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 December.</li>
<li>We estimate a one-way turnover of 11.3% at the rebalance resulting in a one-way trade of CNY12.08bn (US$1.7bn). The Information Technology and HealthCare sectors gain at the expense of Industrials.</li>
<li>The potential adds have outperformed the potential 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 Smallcap 500 Index (SH000905 INDEX</a>) since the start of the year with the outperformance gradually picking up.</li>
</ul>


With 70% of the review period now complete, we forecast 50 changes (the maximum permitted) for the CSI Smallcap 500 Index at the close on 13 December.
We estimate a one-way turnover of 11.3% at the rebalance resulting in a one-way trade of CNY12.08bn (US$1.7bn). The Information Technology and HealthCare sectors gain at the expense of Industrials.
The potential adds have outperformed the potential deletes and the CSI Smallcap 500 Index (SH000905 INDEX) since the start of the year with the outperformance gradually picking up.


Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

CSI Smallcap 500 Index - Shang (SH000905 INDEX EQUITY)

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