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 All Share Real Estate Sector Index Rebalance: Sector Reclassification Drives Changes

CSI 500/1000 Index Rebalance Preview: Strong Near-Term Outperformance

ChiNext/​​​ChiNext50 Index Rebalance Preview: Whole Lotta Change

STAR&CHINEXT 50 Index Rebalance Preview: One Set of Change; Maybe Two

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

Suzhou Maxwell Technologies  / Index Rebalance

<ul>
<li>There is one constituent change for the STAR&amp;CHINEXT 50 Index in June with AVIC Chengdu Aircraft Co (302132 CH) replacing <a href="https://www.smartkarma.com/entities/suzhou-maxwell-technologies-co" target="_blank" data-smartkarma-citation="entities:29819:1" rel="noopener">Suzhou Maxwell Technologies (300751 CH)</a>.</li>
<li>Passive trackers will need to buy 0.15x ADV in AVIC Chengdu Aircraft Co (302132 CH) and sell 0.4x ADV in <a href="https://www.smartkarma.com/entities/suzhou-maxwell-technologies-co" target="_blank" data-smartkarma-citation="entities:29819:1" rel="noopener">Suzhou Maxwell Technologies (300751 CH)</a>. </li>
<li>AVIC Chengdu Aircraft Co (302132 CH) is a <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500 Index</a> to <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> migration in June, so there will be more buying in the stock.</li>
</ul>


There is one constituent change for the STAR&amp;CHINEXT 50 Index in June with AVIC Chengdu Aircraft Co (302132 CH) replacing Suzhou Maxwell Technologies (300751 CH).
Passive trackers will need to buy 0.15x ADV in AVIC Chengdu Aircraft Co (302132 CH) and sell 0.4x ADV in Suzhou Maxwell Technologies (300751 CH). 
AVIC Chengdu Aircraft Co (302132 CH) is a CSI 500 Index to CSI 300 Index migration in June, so there will be more buying in the stock.


Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

Contemporary Amperex Technology (CATL) (300750 CH)

Wuxi Lead Intelligent Equipmen (300450 CH)

CSI Smallcap 500 Index - Shang (SH000905 INDEX EQUITY)

STAR&CHINEXT 50 Index Rebalance: One Change in June Adds to Other (Larger) Index Flows