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>Two thirds of the way through the review period for the June rebalance of the CSI500 Index, we forecast 50 changes (the maximum permitted) at the close on 8 December.</li>
<li>There is a big sector skew in the potential changes. We estimate a one-way turnover of 10.1% at the December rebalance resulting in a one-way trade of CNY 6.75bn.</li>
<li>The potential adds have outperformed the potential deletes and the CSI500 Index over the last six weeks. There could be more outperformance till nearer the end of the review period.</li>
</ul>


Two thirds of the way through the review period for the June rebalance of the CSI500 Index, we forecast 50 changes (the maximum permitted) at the close on 8 December.
There is a big sector skew in the potential changes. We estimate a one-way turnover of 10.1% at the December rebalance resulting in a one-way trade of CNY 6.75bn.
The potential adds have outperformed the potential deletes and the CSI500 Index over the last six weeks. There could be more outperformance till nearer the end of the review period.


CSI500 Index Rebalance Preview: Potential Adds Outperforming Potential Deletes

<ul>
<li>The review period for the September rebalance ends 31 July. We expect the changes to be announced 25 August with the implementation taking place after the close on 8 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 3.45% resulting in a one-way trade of CNY 3,675m. The impact on the deletions will be larger than that on the inclusions.</li>
</ul>


The review period for the September rebalance ends 31 July. We expect the changes to be announced 25 August with the implementation taking place after the close on 8 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 3.45% resulting in a one-way trade of CNY 3,675m. The impact on the deletions will be larger than that on the inclusions.


STAR50 Index Rebalance Preview: One High Probability Change; One 'It Depends'

<ul>
<li>The index committee has used a 6-month minimum listing history and that results in two changes. This is the first rebalance with less than 5 changes at a review.</li>
<li>One way turnover is estimated at 1.03% and will result in a one-way trade of CNY 1,025m. Given the adds are new listings, there will be some reverse funding flow.</li>
<li>There appears to be little pre-positioning on the adds while there is a bigger buildup on the deletes.</li>
</ul>


The index committee has used a 6-month minimum listing history and that results in two changes. This is the first rebalance with less than 5 changes at a review.
One way turnover is estimated at 1.03% and will result in a one-way trade of CNY 1,025m. Given the adds are new listings, there will be some reverse funding flow.
There appears to be little pre-positioning on the adds while there is a bigger buildup on the deletes.


STAR50 Index Rebalance: Two Changes in June (As Expected)

<ul>
<li>The review period for the June rebalance ends 28 April. We expect the changes to be announced 26 May with the implementation taking place after the close on 9 June.</li>
<li>Using a 12-month minimum listing history results in no index changes. Using a 6-month minimum listing history results in two changes - we think this is what will be used.</li>
<li>The potential adds have outperformed the potential deletes but both sets of stocks have underperformed 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 the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shanghai" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI Smallcap 500 Index - Shanghai (SH000905 INDEX)</a>. </li>
</ul>


The review period for the June rebalance ends 28 April. We expect the changes to be announced 26 May with the implementation taking place after the close on 9 June.
Using a 12-month minimum listing history results in no index changes. Using a 6-month minimum listing history results in two changes - we think this is what will be used.
The potential adds have outperformed the potential deletes but both sets of stocks have underperformed the SSE STAR50 (STAR50 INDEX) and the CSI Smallcap 500 Index - Shanghai (SH000905 INDEX). 


STAR50 Index Rebalance Preview: Changes Depend on Minimum Listing History

Jiangsu Cnano Technology  Lt / Event-Driven

<ul>
<li>The review period for the June rebalance ends 30 April. We expect the changes to be announced 26 May with the implementation taking place after the close on 9 June.</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 1.6% resulting in a one-way trade of CNY 1,442m. The impact on the deletions will be larger than that on the inclusions.</li>
</ul>


The review period for the June rebalance ends 30 April. We expect the changes to be announced 26 May with the implementation taking place after the close on 9 June.
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 1.6% resulting in a one-way trade of CNY 1,442m. The impact on the deletions will be larger than that on the inclusions.


STAR50 Index Rebalance Preview: Two Changes in June (Possibly)

China

AVIC (Chengdu) UAS Co., Ltd. develops, manufactures, and distributes UAV (unmanned aerial vehicle) systems and products. The Company produces large fixed-wing long-endurance drones and provides related technical services. AVIC (Chengdu) UAS markets its products across worldwide.

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AVIC (Chengdu) UAS Co Ltd (688297 CH)

CSI500 Index Rebalance Preview: Potential Adds Outperforming Potential Deletes

We see 50 changes a side for the CSI500 in Dec. The Industrials sector could take a lot of index spots from Materials as one-way turnover exceeds...

Brian Freitas

STAR50 Index Rebalance Preview: One High Probability Change; One 'It Depends'

There could be 2 changes in September if a 6 month minimum listing history is used. Piotech was added to the CSI500 in June and there are multiple...

Brian Freitas

STAR50 Index Rebalance: Two Changes in June (As Expected)

There are 2 changes for the STAR50 Index as a 6-month minimum listing history is used. There is little increase in excess volume on the adds while...

Brian Freitas

STAR50 Index Rebalance Preview: Changes Depend on Minimum Listing History

There could be 2 index changes if a 6-month minimum listing history is used. The potential adds have outperformed the potential deletes. But both...

Brian Freitas

STAR50 Index Rebalance Preview: Two Changes in June (Possibly)

There could be 2 changes to the index in June with a higher impact on the deletes than on the adds. The potential adds have started to o/p the...

Brian Freitas

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