Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

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

Event-Driven

<ul>
<li>There are 2 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">STAR50 INDEX</a> and 6 changes for the STAR100 Index at the September rebalance that will be implemented at the close on 13 September.</li>
<li>There are no surprises 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> while there are 3 surprise adds for the STAR100 Index with the profitability criterion being ignored.</li>
<li>The adds 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 STAR50 (STAR50 INDEX)</a> have outperformed the deletes over the last month and positioning is larger in some stocks compared to others.</li>
</ul>


There are 2 constituent changes for the STAR50 INDEX and 6 changes for the STAR100 Index at the September rebalance that will be implemented at the close on 13 September.
There are no surprises for the SSE STAR50 (STAR50 INDEX) while there are 3 surprise adds for the STAR100 Index with the profitability criterion being ignored.
The adds to the SSE STAR50 (STAR50 INDEX) have outperformed the deletes over the last month and positioning is larger in some stocks compared to others.


STAR50/STAR100 Index Rebalance: Adds Rally, Deletes Drop as Positioning Builds Up

<ul>
<li>There are only 3 trading days left in the review period for the September rebalance of 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>. </li>
<li>We see two potential changes that could result in a one-way turnover of 3.6% and in a one-way trade of CNY 4.7bn (US$644m).</li>
<li>Cumulative excess volume has started to pick up in the stocks over the last few weeks and that could be an indicator of further gains for a long/short trade.</li>
</ul>


There are only 3 trading days left in the review period for the September rebalance of the SSE STAR50 (STAR50 INDEX). 
We see two potential changes that could result in a one-way turnover of 3.6% and in a one-way trade of CNY 4.7bn (US$644m).
Cumulative excess volume has started to pick up in the stocks over the last few weeks and that could be an indicator of further gains for a long/short trade.


STAR50 Index Rebalance Preview: Positioning Indicates Further Gains for a Long/Short Trade

<ul>
<li>The review period for the September rebalance ends 31 July. We expect the changes to be announced 30 August with the implementation taking place after the close on 13 September.</li>
<li>We expect the index committee to continue using a 6-month minimum listing history resulting in two changes to the index.</li>
<li>One-Way turnover is estimated at 3.5% resulting in a one-way trade of CNY 4.5bn (US$618m). Passive trackers will need to trade 4-8x ADV on the index changes.</li>
</ul>


The review period for the September rebalance ends 31 July. We expect the changes to be announced 30 August with the implementation taking place after the close on 13 September.
We expect the index committee to continue using a 6-month minimum listing history resulting in two changes to the index.
One-Way turnover is estimated at 3.5% resulting in a one-way trade of CNY 4.5bn (US$618m). Passive trackers will need to trade 4-8x ADV on the index changes.


STAR50 Index Rebalance Preview: Two Changes & Over US$1.2bn to Trade

<ul>
<li>With the review period now complete, we forecast 50 changes (the maximum permitted) for the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI Smallcap 500 Index - Shang (SH000905 INDEX)</a> at the close on 14 June.</li>
<li>We estimate a one-way turnover of 9.3% at the rebalance resulting in a one-way trade of CNY10.88bn (US$1.5bn). The Industrials and Information Technology sectors gain at the expense of Materials.</li>
<li>The potential adds have outperformed the potential deletes by 8% over the last 3 months. There could be further outperformance over the next few weeks.</li>
</ul>


With the review period now complete, we forecast 50 changes (the maximum permitted) for the CSI Smallcap 500 Index - Shang (SH000905 INDEX) at the close on 14 June.
We estimate a one-way turnover of 9.3% at the rebalance resulting in a one-way trade of CNY10.88bn (US$1.5bn). The Industrials and Information Technology sectors gain at the expense of Materials.
The potential adds have outperformed the potential deletes by 8% over the last 3 months. There could be further outperformance over the next few weeks.


CSI500 Index Rebalance Preview: Potential Adds Rally and Outperform the Potential Deletes

<ul>
<li>The review period for the June rebalance ends 30 April. We expect the changes to be announced 31 May with the implementation taking place after the close on 14 June.</li>
<li>We expect the index committee to continue using a 6-month minimum listing history resulting in three changes to the index.</li>
<li>With a big jump in tracking AUM over the last few months, passives will need to trade a lot of stock on implementation date.</li>
</ul>


The review period for the June rebalance ends 30 April. We expect the changes to be announced 31 May with the implementation taking place after the close on 14 June.
We expect the index committee to continue using a 6-month minimum listing history resulting in three changes to the index.
With a big jump in tracking AUM over the last few months, passives will need to trade a lot of stock on implementation date.


STAR50 Index Rebalance Preview: APT Medical Moving Higher

China

APT Medical Inc. engages in development, production and sales of electrophysiology and vascular interventional medical devices. The Company provides coronary artery access and electrophysiological medical devices, peripheral blood vessels and nerve intervention medical devices, and more. APT Medical markets its products worldwide.

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APT Medical (688617 CH)

STAR50/STAR100 Index Rebalance: Adds Rally, Deletes Drop as Positioning Builds Up

There are 2 changes for the STAR50 and 6 changes for the STAR100. Impact is pretty large on the STAR50 changes. There is positioning in all stocks...

Brian Freitas

STAR50 Index Rebalance Preview: Positioning Indicates Further Gains for a Long/Short Trade

There could be 2 changes in September. A long adds/short deletes trade has been flat over the last 3 months. Recent changes in cumulative excess...

Brian Freitas

STAR50 Index Rebalance Preview: Two Changes & Over US$1.2bn to Trade

With 90% of the review period complete, there should be 2 changes for the STAR50 in Sep. One-way turnover is 3.5% and the round-trip trade is over...

Brian Freitas

CSI500 Index Rebalance Preview: Potential Adds Rally and Outperform the Potential Deletes

There could be 50 changes for the CSI500 Index in June. The potential adds have outperformed the potential deletes by 8% over the last 3 months and...

Brian Freitas

STAR50 Index Rebalance Preview: APT Medical Moving Higher

The potential adds have outperformed the potential deletes by 13%+ since this Insight was published. If you are in, might be prudent to take some...

Brian Freitas

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