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

MV US Listed Semiconductor 25 Index Rebalance: Capping Leads to US$3bn Trade

Select Sector Indices and S&P Equal Weight Rebalance: US$16.3bn Trade; Big Impact for EXE, TKO

Select Sector Indices - HUGE Impact of Proposed Constituent Weighting Changes

Select Sector Indices and S&P Equal Weight Rebalance: US$12.7bn Round-Trip Trade Post Capping

Select Sector Indices and S&P Equal Weight Rebalance Preview: US$17bn 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>There are 3 constituent changes for the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX (SPX INDEX)</a> in September. There are capping changes for the Select Sector indices and the Equal Weight Index too.</li>
<li>The round-trip trade is US$19.6bn with a big chunk from the Equal Weight Index, <a href="https://www.smartkarma.com/entities/technology-select-sector-spdr" target="_blank" data-smartkarma-citation="entities:27543:1" rel="noopener">Technology Select Sector SPDR (XLK US)</a> and <a href="https://www.smartkarma.com/entities/communication-services-select-sector-spdr-fund" target="_blank" data-smartkarma-citation="entities:27534:1" rel="noopener">Communication Services Select Sector SPDR Fund (XLC US)</a>. </li>
<li>The largest flows are expected in <a href="https://www.smartkarma.com/entities/applovin-corp" target="_blank" data-smartkarma-citation="entities:32989:1" rel="noopener">AppLovin (APP)</a>, <a href="https://www.smartkarma.com/entities/robinhood-markets-inc" target="_blank" data-smartkarma-citation="entities:33532:1" rel="noopener">Robinhood Markets (HOOD)</a>, <a href="https://www.smartkarma.com/entities/trade-desk-inc-the" target="_blank" data-smartkarma-citation="entities:26467:1" rel="noopener">Trade Desk (TTD)</a>, <a href="https://www.smartkarma.com/entities/nvidia-corp" target="_blank" data-smartkarma-citation="entities:5891:1" rel="noopener">NVIDIA (NVDA)</a>, <a href="https://www.smartkarma.com/entities/apple-inc" target="_blank" data-smartkarma-citation="entities:666:1" rel="noopener">Apple (AAPL)</a>, <a href="https://www.smartkarma.com/entities/alphabet-inc" target="_blank" data-smartkarma-citation="entities:33361:1" rel="noopener">Alphabet (GOOGL)</a>, <a href="https://www.smartkarma.com/entities/microsoft-corp" target="_blank" data-smartkarma-citation="entities:15273:1" rel="noopener">Microsoft (MSFT US)</a>, <a href="https://www.smartkarma.com/entities/exxon-mobil-corp" target="_blank" data-smartkarma-citation="entities:811:1" rel="noopener">Exxon Mobil (XOM)</a> and <a href="https://www.smartkarma.com/entities/chevron-corp" target="_blank" data-smartkarma-citation="entities:11091:1" rel="noopener">Chevron (CVX)</a>.</li>
</ul>


There are 3 constituent changes for the S&amp;P 500 INDEX (SPX INDEX) in September. There are capping changes for the Select Sector indices and the Equal Weight Index too.
The round-trip trade is US$19.6bn with a big chunk from the Equal Weight Index, Technology Select Sector SPDR (XLK US) and Communication Services Select Sector SPDR Fund (XLC US). 
The largest flows are expected in AppLovin (APP), Robinhood Markets (HOOD), Trade Desk (TTD), NVIDIA (NVDA), Apple (AAPL), Alphabet (GOOGL), Microsoft (MSFT US), Exxon Mobil (XOM) and Chevron (CVX).


Communication Services Select Sector SPDR Fund (XLC US)

Communication Services Select Sector SPDR Fund

Select Sector Indices and S&P Equal Weight Rebalance: Changes to Drive US$19.6bn Flow