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

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

STAR50/STAR100 Index Rebalance Preview: No Changes for STAR50; 5 for STAR100; US$2bn Trade

STAR50/STAR100 Index Rebalance Preview: Huge Outperformance as National Team Redeems ETF Holdings

STAR50/STAR100 Index Rebalance Preview: 14 Outright Changes Across the Indices

STAR50/STAR100 Index Rebalance: Changes & Capping Lead to US$3.3bn Trade

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

MetaX Integrated Circuits / Index Rebalance

<ul>
<li>With the review period nearly complete, we forecast 4 constituent changes 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 10 constituent changes for the STAR100 Index in June.</li>
<li>Estimated turnover is 6.7% 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 13.9% for the STAR100 Index. The estimated round-trip net trade is CNY 20.15bn (US$2.95bn).</li>
<li>The forecast adds have outperformed the forecast deletes over the last few weeks and months. The forecast deletes have been pressured by ETF redemptions as momentum continues in the adds.</li>
</ul>


With the review period nearly complete, we forecast 4 constituent changes for the SSE STAR50 (STAR50 INDEX) and 10 constituent changes for the STAR100 Index in June.
Estimated turnover is 6.7% for the SSE STAR50 (STAR50 INDEX) and 13.9% for the STAR100 Index. The estimated round-trip net trade is CNY 20.15bn (US$2.95bn).
The forecast adds have outperformed the forecast deletes over the last few weeks and months. The forecast deletes have been pressured by ETF redemptions as momentum continues in the adds.


Advanced Micro-Fabrication Equ (688012 CH)

Shanghai MicroPort Endovascula (688016 CH)

Shenzhen Neoway Technology Co (688159 CH)

Xiamen Amoytop Biotech Co Ltd (688278 CH)

SMIC (Semiconductor Manufacturing International Corp) (688981 CH)

SMIC (Semiconductor Manufacturing International Corp)

Hygon Information Technology C (688041 CH)

Nanjing Les Information Technology (688631 CH)

Yuanjie Semiconductor Technology (688498 CH)

STAR50/STAR100 Index Rebalance Preview: Huge Outperformance, ETF Redemptions & Fast Entry Conundrum