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 3 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 9 changes for the STAR100 Index. Implementation will take place at the close on 14 June.</li>
<li>
<a href="https://www.smartkarma.com/entities/united-nova-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:40389:1" rel="noopener">United Nova Technology (688469 CH)</a> and <a href="https://www.smartkarma.com/entities/biwin-storage-technology-co-lt" target="_blank" data-smartkarma-citation="entities:40391:1" rel="noopener">Biwin Storage Technology (688525 CH)</a> were not added at the March rebalance since they were consistently loss-making. But they have been added this time.</li>
<li>
<a href="https://www.smartkarma.com/entities/united-nova-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:40389:1" rel="noopener">United Nova Technology (688469 CH)</a> had been trading poorly and then the stock dropped further after non-inclusion in March. That could change now with inclusion confirmed.</li>
</ul>


There are 3 changes for the SSE STAR50 (STAR50 INDEX) and 9 changes for the STAR100 Index. Implementation will take place at the close on 14 June.

United Nova Technology (688469 CH) and Biwin Storage Technology (688525 CH) were not added at the March rebalance since they were consistently loss-making. But they have been added this time.

United Nova Technology (688469 CH) had been trading poorly and then the stock dropped further after non-inclusion in March. That could change now with inclusion confirmed.


STAR50/STAR100 Index Rebalance: Index Committee Flip-Flops on Profitability

Biwin Storage Technology  Lt / Event-Driven

<ul>
<li>There are 4 changes for the CES China Semiconductor Chips Index that will be implemented at the close on 14 June.</li>
<li>
<a href="https://www.smartkarma.com/entities/biwin-storage-technology-co-lt" target="_blank" data-smartkarma-citation="entities:40391:1" rel="noopener">Biwin Storage Technology Lt (688525 CH)</a> and <a href="https://www.smartkarma.com/entities/beijing-yandong-microelectroni" target="_blank" data-smartkarma-citation="entities:36653:1" rel="noopener">Beijing Yandong Microelectroni (688172 CH)</a> are also inclusions to other indices too and the multiple flows will increase the impact on the stocks.</li>
<li>The adds have underperformed the deletes. If things go the way of the December rebalance, a long adds/ short deletes trade could do well from now to implementation.</li>
</ul>


There are 4 changes for the CES China Semiconductor Chips Index that will be implemented at the close on 14 June.

Biwin Storage Technology Lt (688525 CH) and Beijing Yandong Microelectroni (688172 CH) are also inclusions to other indices too and the multiple flows will increase the impact on the stocks.
The adds have underperformed the deletes. If things go the way of the December rebalance, a long adds/ short deletes trade could do well from now to implementation.


CES China Semiconductor Chips Index Rebalance: Adding to Impact for Some Stocks

Shenyang Xingqi Pharmaceutical / Event-Driven

<ul>
<li>With the review period now complete, we forecast 7 changes for the <a href="https://www.smartkarma.com/entities/chinext-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">ChiNext Index (SZ399006 INDEX)</a> and 5 changes for the ChiNext 50 Index in June.</li>
<li>There are 4 stocks that could be added to both indices while some stocks will also have same way flows from <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 (SH000905 INDEX)</a> trackers.</li>
<li>The potential adds have outperformed the potential deletes over the last 6 months. There has been a big move higher in the potential adds over the last few weeks.</li>
</ul>


With the review period now complete, we forecast 7 changes for the ChiNext Index (SZ399006 INDEX) and 5 changes for the ChiNext 50 Index in June.
There are 4 stocks that could be added to both indices while some stocks will also have same way flows from CSI Smallcap 500 Index (SH000905 INDEX) trackers.
The potential adds have outperformed the potential deletes over the last 6 months. There has been a big move higher in the potential adds over the last few weeks.


ChiNext/​​​ChiNext50 Index Rebalance Preview: Outperformance Continues

<ul>
<li>With the review period complete, we forecast 3 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> in June. All changes are migrations from/to the STAR 100 Index.</li>
<li>One way turnover is estimated at 3.4% resulting in a one-way trade of CNY 4.5bn (US$630m). There is a lot to trade from passive trackers, especially on the inclusions.</li>
<li>The potential adds have outperformed the potential deletions by ~18% over the last month with <a href="https://www.smartkarma.com/entities/hangzhou-ezviz-network-co-ltd" target="_blank" data-smartkarma-citation="entities:41299:1" rel="noopener">Hangzhou EZVIZ Network (688475 CH)</a> and <a href="https://www.smartkarma.com/entities/apt-medical-inc" target="_blank" data-smartkarma-citation="entities:40838:1" rel="noopener">APT Medical (688617 CH)</a> moving higher.</li>
</ul>


With the review period complete, we forecast 3 changes for the SSE STAR50 (STAR50 INDEX) in June. All changes are migrations from/to the STAR 100 Index.
One way turnover is estimated at 3.4% resulting in a one-way trade of CNY 4.5bn (US$630m). There is a lot to trade from passive trackers, especially on the inclusions.
The potential adds have outperformed the potential deletions by ~18% over the last month with Hangzhou EZVIZ Network (688475 CH) and APT Medical (688617 CH) moving higher.


STAR50 Index Rebalance Preview: Adds Steamroll Deletes

China Merchants Expressway Net / Event-Driven

<ul>
<li>The review period for the June rebalance is complete and we expect 11 changes to the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX)</a>. </li>
<li>We estimate one-way turnover of 1.4% at the rebalance leading to a one-way trade of CNY 8.82bn (US$1.22bn). There are a lot of stocks with multiple days ADV to trade.</li>
<li>The potential deletes have bounced off their lows as the market has recovered. But the potential passive selling could see them underperform over the next month.</li>
</ul>


The review period for the June rebalance is complete and we expect 11 changes to the Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX). 
We estimate one-way turnover of 1.4% at the rebalance leading to a one-way trade of CNY 8.82bn (US$1.22bn). There are a lot of stocks with multiple days ADV to trade.
The potential deletes have bounced off their lows as the market has recovered. But the potential passive selling could see them underperform over the next month.


CSI300 Index Rebalance Preview: Bounce in the Potential Deletes Could Be Short Lived

China

CSI 500 index aims to comprehensively reflect the price fluctuation and performance of the small-cap companies in Shanghai and Shenzhen securities market. The index has a base value of 1000 as of December 31, 2004.

CSI Smallcap 500 Index - Shang (SH000905 INDEX EQUITY)

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

CSI Smallcap 500 Index - Shang (SH000905 INDEX EQUITY)

STAR50/STAR100 Index Rebalance: Index Committee Flip-Flops on Profitability

There are 3 changes for the STAR50 index and 9 for the STAR100. Some stocks will have same way flows from other index trackers. United Nova Tech is...

Brian Freitas

CES China Semiconductor Chips Index Rebalance: Adding to Impact for Some Stocks

There are 4 changes for the index in June. Biwin Storage and Beijing Yandong are adds to other indices too. If this rebalance is a repeat of...

Brian Freitas

ChiNext/ChiNext50 Index Rebalance Preview: Outperformance Continues

There could be 7 changes for the Chinext and 5 changes for the Chinext50. There are 6 overlapping stocks and those have the largest flows. The...

Brian Freitas

STAR50 Index Rebalance Preview: Adds Steamroll Deletes

There could be 3 changes for the STAR50 Index in June. The impact on the potential adds varies from 8-14x ADV. The potential adds have outperformed...

Brian Freitas

CSI300 Index Rebalance Preview: Bounce in the Potential Deletes Could Be Short Lived

There could be 11 changes for the CSI300 in June with multiple days of ADV to trade on most names. The potential deletes have bounced recently but...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

STAR50/STAR100 Index Rebalance: Index Committee Flip-Flops on Profitability

There are 3 changes for the STAR50 index and 9 for the STAR100. Some stocks will have same way flows from other index trackers. United Nova Tech is...

Brian Freitas

CES China Semiconductor Chips Index Rebalance: Adding to Impact for Some Stocks

There are 4 changes for the index in June. Biwin Storage and Beijing Yandong are adds to other indices too. If this rebalance is a repeat of...

Brian Freitas

ChiNext/​​​ChiNext50 Index Rebalance Preview: Outperformance Continues

There could be 7 changes for the Chinext and 5 changes for the Chinext50. There are 6 overlapping stocks and those have the largest flows. The...

Brian Freitas

STAR50 Index Rebalance Preview: Adds Steamroll Deletes

There could be 3 changes for the STAR50 Index in June. The impact on the potential adds varies from 8-14x ADV. The potential adds have outperformed...

Brian Freitas

CSI300 Index Rebalance Preview: Bounce in the Potential Deletes Could Be Short Lived

There could be 11 changes for the CSI300 in June with multiple days of ADV to trade on most names. The potential deletes have bounced recently but...

Brian Freitas

ChiNext/ChiNext50 Index Rebalance Preview: Outperformance Continues