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

Ant Group - Fast Entry for H-Shares; A-Shares Have to Wait

CSI300 Index Rebalance Preview: 21 Changes in June, Could Be 24 in December

Ant Group: Everyone Wants a Piece of The Action - HSCEI Fast Entry

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

STAR Board: Stocks Go Into FTSE EM Index, Stay Out of GEIS and A50 For Now

STAR Board: A Shooting STAR or Here to Stay?

Battle Lines Drawn As BABA Builds Out First/Last-Mile Capacity; But Who Will Fund 75+ Bn CNY CapEx?

Event-Driven

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> (short for 'The Science and Technology Innovation Board 50 Index') was first published on 23 July this year. The index is free float market cap weighted and is made up of the 50 largest stocks based on full market cap that are listed on the STAR Market. The STAR50 Index has outperformed its peers and has narrowly underperformed the Chinext Index on a year to date basis.
Four asset managers were approved by the CSRC to launch ETFs on 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> and they raised CNY 20bn (CNY 5bn each), the maximum allowed, in one day. Total subscriptions were around CNY 100bn.
With a relatively large AUM benchmarked to a volatile index with volatile stocks, plus a lot of large listings coming through, there will be some interesting moves in stocks at the upcoming December rebalance. The index methodology specifies that there cannot be more than 5 inclusions and exclusions in a single review, and we will hit that number very easily. In the absence of the 5 name change limit, we would have had close to 12 inclusions and exclusions. With the 5 name changes, the one-way turnover will be in excess of 22%.
<a href="https://www.smartkarma.com/entities/ant-financial-services-group" target="_blank" data-smartkarma-citation="entities:24240:1" rel="noopener">Ant Financial (1051260D CH)</a> could be included in the index at the December review. If it is not included in December, then its a sure inclusion in the March 2021 review.

The SSE STAR 50 (STAR50 INDEX) (short for 'The Science and Technology Innovation Board 50 Index') was first published on 23 July this year. The index is free float market cap weighted and is made up of the 50 largest stocks based on full market cap that are listed on the STAR Market. The STAR50 Index has outperformed its peers and has narrowly underperformed the Chinext Index on a year to date basis.
Four asset managers were approved by the CSRC to launch ETFs on the SSE STAR 50 (STAR50 INDEX) and they raised CNY 20bn (CNY 5bn each), the maximum allowed, in one day. Total subscriptions were around CNY 100bn.
With a relatively large AUM benchmarked to a volatile index with volatile stocks, plus a lot of large listings coming through, there will be some interesting moves in stocks at the upcoming December rebalance. The index methodology specifies that there cannot be more than 5 inclusions and exclusions in a single review, and we will hit that number very easily. In the absence of the 5 name change limit, we would have had close to 12 inclusions and exclusions. With the 5 name changes, the one-way turnover will be in excess of 22%.
Ant Financial (1051260D CH) could be included in the index at the December review. If it is not included in December, then its a sure inclusion in the March 2021 review.

Hang Seng China Enterprises Index (HSCEI INDEX)

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

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

SSE STAR50

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