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

CXMT (688825 CH): Index Inclusions & Passive Buying This Year & Next for China's Largest Stock

CICC/ Dongxing Sec/ Cinda Sec Merger: Index Flows Next Week & More Later

China International Capital (601995 CH) Post-Merger Tactical Outlook / Risks

SSE50 Index Rebalance Preview: 4 Potential Changes in December

SSE50 Index Rebalance Preview: Potential Inclusions Outperforming (And How!)

SSE50 Index Rebalance: 4 Changes a Side & US$2.2bn Trade

Hygon/Sugon Merger: BIG Index Flows on Completion

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

GigaDevice Semiconductor  / Index Rebalance

<ul>
<li>With the review period complete, there are 5 non-constituents in direct inclusion zone and 5 current constituents in direct deletion zone. However, as usual, there will be discretion used.</li>
<li>5 changes result in a one-way turnover of 6.4%, leading to a round-trip trade of CNY 13bn (US$1.9bn). Index arb balances will increase the impact on the stocks.</li>
<li>Impact on the forecast adds varies between 0.2-0.3x ADV while the impact on the forecast deletes is a lot higher at 0.5-1.9x ADV. Index arb balance will further increase flow/impact.</li>
</ul>


With the review period complete, there are 5 non-constituents in direct inclusion zone and 5 current constituents in direct deletion zone. However, as usual, there will be discretion used.
5 changes result in a one-way turnover of 6.4%, leading to a round-trip trade of CNY 13bn (US$1.9bn). Index arb balances will increase the impact on the stocks.
Impact on the forecast adds varies between 0.2-0.3x ADV while the impact on the forecast deletes is a lot higher at 0.5-1.9x ADV. Index arb balance will further increase flow/impact.


Shanghai Pudong Development Bank Co. (600000 CH)

Shandong Gold Mining Co., Ltd (600547 CH)

China National Nuclear Power C (601985 CH)

Beijing-Shanghai High Speed Ra (601816 CH)

SSE50 Index Rebalance Preview: Forecast Changes & Borderline Names for June