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

STAR50/STAR100 Index Rebalance Preview: Outright Changes & Migrations

STAR Chip Index Rebalance Preview: Forecast Changes for September

STAR Chip/ CES Chips/ All Share Semi Index Rebalance: Multiple Index Flows for Some Stocks

STAR Chip/ CES Chips/ CNI Chips Index Rebalance Preview: Multiple Stocks with Overlapping Flow

STAR50/STAR100 Index Rebalance Preview: Strong Outperformance for STAR50 Changes

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 is 1 constituent change for 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">STAR50 INDEX</a> and 4 changes for the STAR100 Index at the next rebalance that will be implemented at the close on 13 June.</li>
<li>We estimate turnover of 2.35% for 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 STAR50 (STAR50 INDEX)</a> and 4.9% for the STAR100 Index. The estimated round-trip trade is CNY 9.8bn (US$1.35bn).</li>
<li>There are multiple stocks that are adds or deletes for other indices and the passive flows will be a lot larger than just for the STAR50/STAR100 indices.</li>
</ul>


There is 1 constituent change for the STAR50 INDEX and 4 changes for the STAR100 Index at the next rebalance that will be implemented at the close on 13 June.
We estimate turnover of 2.35% for the SSE STAR50 (STAR50 INDEX) and 4.9% for the STAR100 Index. The estimated round-trip trade is CNY 9.8bn (US$1.35bn).
There are multiple stocks that are adds or deletes for other indices and the passive flows will be a lot larger than just for the STAR50/STAR100 indices.


Shenzhen Fortune Trend Technol (688318 CH)

Semiconductor Manufacturing International Corporation (SMIC) (688981 CH)

Semiconductor Manufacturing International Corporation (SMIC)

CSI Smallcap 500 Index - Shang (SH000905 INDEX EQUITY)

Zhongfu Shenying Carbon Fiber (688295 CH)

STAR50/STAR100 Index Rebalance: 10 Changes and US$1.4bn Trade

Bestechnic Shanghai

STAR50/STAR100 Index Rebalance: 10 Changes and US$1.4bn Trade