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

CSI500 Index Rebalance Preview: Potential Adds Starting to Close the Gap

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CSI500 Index Rebalance Preview: Positioned for Outperformance

CSI500 Index Rebalance Preview: Potential Adds Outperforming Potential Deletes

CSI500 Index Rebalance Preview: Potential Adds Continuing to Outperform

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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

Western Superconducting Techno / Index Rebalance

Western Superconducting Techno (688122 CH)

<ul>
<li>Over 85% of the way through the review period for the December rebalance of the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI500 Index</a>, we forecast 50 changes (the maximum permitted) at the close on 8 December.</li>
<li>There is a big sector skew in the potential changes. We estimate a one-way turnover of 9.4% at the December rebalance resulting in a one-way trade of CNY 7.22bn.</li>
<li>With the market being stabilised through the ETF route, the index constituents have outperformed the non-index constituents over the last 6-7 weeks. That could reverse over the near term.</li>
</ul>


Over 85% of the way through the review period for the December rebalance of the CSI500 Index, we forecast 50 changes (the maximum permitted) at the close on 8 December.
There is a big sector skew in the potential changes. We estimate a one-way turnover of 9.4% at the December rebalance resulting in a one-way trade of CNY 7.22bn.
With the market being stabilised through the ETF route, the index constituents have outperformed the non-index constituents over the last 6-7 weeks. That could reverse over the near term.


Shanxi Meijin Energy Co, Ltd. (000723 CH)

Lianhe Chemical Technology Co, Ltd. (002250 CH)

Chongqing Taiji Industry (Group) A (600129 CH)

Zhongshan Broad Ocean Motor Co., (002249 CH)

Inmyshow Digital Technology (Group) (600556 CH)

Inner Mngl Jnzhng Eng & Cmci Gp (601216 CH)

Jiangsu Nhwa Pharmaceutical Co., (002262 CH)

Jiangxi Special Electric Motor A (002176 CH)

China Avionics Systems Co., Ltd. (600372 CH)

Tangshan Sanyou Chemical Industries Co (600409 CH)

Suzhou Gold Mantis Construction Decoration (002081 CH)

Suzhou Gold Mantis Construction Decoration

Rising Nonferrous Metals Share (600259 CH)

Guangdong Xnbo Elctl Applns Hldgs (002705 CH)

Zhejiang Shuanghuan Driveline (002472 CH)

Shenzhen Everwin Precision Technology Co (300115 CH)

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

Range Intelligent Computing Te (300442 CH)

Ningbo Orient Wires & Cables C (603606 CH)

Huabao Flavours & Fragrances C (300741 CH)

Ningbo Ronbay New Energy Techn (688005 CH)

China Railway Signal & Communi (688009 CH)

Hainan Drinda Automotive Trim (002865 CH)

Beijing Bei Mo Gao Ke Friction (002985 CH)

Shenzhen New Industries Biomedical Engineering-A (300832 CH)

Shenzhen New Industries Biomedical Engineering-A

Chongqing Iron & Steel Co Ltd (601005 CH)

Yangtze Optical Fibre & Cable (601869 CH)

Beijing United Information Tec (603613 CH)

Yantai Eddie Precision Machine (603638 CH)

CSI Smallcap 500 Index - Shang (SH000905 INDEX EQUITY)

CSI500 Index Rebalance Preview: ETF Inflows Lead to Performance Skew