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

STAR Board - STAR50 Index Rebalance Preview: +Adds/-Deletes = +24%

CSI300 Index Rebalance Preview: Maxing Out the Number of Changes

SSE180 Index Rebalance Preview: STAR Board Stock Entry Paves Way for MSCI/FTSE Inclusion

STAR Board: Potential Inclusion in FTSE EM and China A50 Indices; GEIS Inclusion Needs Connect

STAR 50 Index Rebalance: We Thought BIG, Turns Out Its BIGGER

STAR Board: STAR50 Index - The December Rebalance Is Going to Be BIG

Gravity Works As WeWork Doesn't; Now Plan B

Bifurcated Chinese Express Market Developing

Event-Driven

Qi An Xin Technology Group  / Event-Driven

The SSE Science and Technology Innovation Board 50 Index, also know as the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">SSE STAR 50 (STAR50 INDEX)</a>, is made up of 50 stocks with the largest full market cap and good liquidity listed on the SSE Science and Technology Innovation Board (the STAR Market). The index is free float market cap weighted and the weight of each stock is capped at 10%. In addition, the total weight of the top 5 constituents should not exceed 40%.
ETFs benchmarked to the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">SSE STAR 50 (STAR50 INDEX)</a> raised just over CNY 21bn at launch and assets have since swelled to CNY 28.2bn due to inflows. The large amount of assets benchmarked to stocks with low free float and trading volumes creates an ideal environment for index rebalance trades to work, as we have seen in the upcoming review which will be implemented at the close of trading on 11 December.
With a maximum of 5 changes permitted in a single review, that is what we will get in March. Potential inclusions are <a href="https://www.smartkarma.com/entities/cambricon-technologies-corp" target="_blank" data-smartkarma-citation="entities:31068:1" rel="noopener">Cambricon Technologies Corp (688256 CH)</a>, <a href="https://www.smartkarma.com/entities/qi-an-xin-technology-group-a" target="_blank" data-smartkarma-citation="entities:31069:1" rel="noopener">Qi An Xin Technology Group (688561 CH)</a>, <a href="https://www.smartkarma.com/entities/shanghai-junshi-bioscience-a" target="_blank" data-smartkarma-citation="entities:31070:1" rel="noopener">Shanghai Junshi Bioscience (688180 CH)</a>, <a href="https://www.smartkarma.com/entities/trina-solar-co-ltd" target="_blank" data-smartkarma-citation="entities:30404:1" rel="noopener">Trina Solar Co Ltd (688599 CH)</a> and <a href="https://www.smartkarma.com/entities/farasis-energy-gan-zhou-co-a" target="_blank" data-smartkarma-citation="entities:28385:1" rel="noopener">Farasis Energy Gan Zhou (688567 CH)</a>.
The potential deletions are <a href="https://www.smartkarma.com/entities/longyan-zhuoyue-new-energy-co" target="_blank" data-smartkarma-citation="entities:30364:1" rel="noopener">Longyan Zhuoyue New Energy Co (688196 CH)</a>, <a href="https://www.smartkarma.com/entities/suzhou-tztek-technology-co-a" target="_blank" data-smartkarma-citation="entities:28232:1" rel="noopener">Suzhou Tztek Technology Co-A (688003 CH)</a>, <a href="https://www.smartkarma.com/entities/beijing-seeyon-internet-so-a" target="_blank" data-smartkarma-citation="entities:30393:1" rel="noopener">Beijing Seeyon Internet So-A (688369 CH)</a>, <a href="https://www.smartkarma.com/entities/tianjin-jiuri-new-material-a" target="_blank" data-smartkarma-citation="entities:30366:1" rel="noopener">Tianjin Jiuri New Material-A (688199 CH)</a> and <a href="https://www.smartkarma.com/entities/fujian-forecam-optics-co-ltd" target="_blank" data-smartkarma-citation="entities:30306:1" rel="noopener">Fujian Forecam Optics Co Ltd (688010 CH)</a>.
One-way turnover is around 13% and there is big impact expected on the stocks, especially on the deletes, and a trade of buying the expected inclusions and selling the expected exclusions could perform well.

The SSE Science and Technology Innovation Board 50 Index, also know as the SSE STAR 50 (STAR50 INDEX), is made up of 50 stocks with the largest full market cap and good liquidity listed on the SSE Science and Technology Innovation Board (the STAR Market). The index is free float market cap weighted and the weight of each stock is capped at 10%. In addition, the total weight of the top 5 constituents should not exceed 40%.
ETFs benchmarked to the SSE STAR 50 (STAR50 INDEX) raised just over CNY 21bn at launch and assets have since swelled to CNY 28.2bn due to inflows. The large amount of assets benchmarked to stocks with low free float and trading volumes creates an ideal environment for index rebalance trades to work, as we have seen in the upcoming review which will be implemented at the close of trading on 11 December.
With a maximum of 5 changes permitted in a single review, that is what we will get in March. Potential inclusions are Cambricon Technologies Corp (688256 CH), Qi An Xin Technology Group (688561 CH), Shanghai Junshi Bioscience (688180 CH), Trina Solar Co Ltd (688599 CH) and Farasis Energy Gan Zhou (688567 CH).
The potential deletions are Longyan Zhuoyue New Energy Co (688196 CH), Suzhou Tztek Technology Co-A (688003 CH), Beijing Seeyon Internet So-A (688369 CH), Tianjin Jiuri New Material-A (688199 CH) and Fujian Forecam Optics Co Ltd (688010 CH).
One-way turnover is around 13% and there is big impact expected on the stocks, especially on the deletes, and a trade of buying the expected inclusions and selling the expected exclusions could perform well.

Hang Seng China Enterprises Index (HSCEI INDEX)

Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX EQUITY)

Longyan Zhuoyue New Energy Co., Ltd. (688196 CH)

Tianjin Jiuri New Materials-A (688199 CH)

STAR Board: STAR50 Index Rebalance March21: Rising AUM and a New Index Make an Exciting Combination