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>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

<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

Shenyang Xingqi Pharmaceutical / Event-Driven

<ul>
<li>Nearing the end of the review period, we forecast 8 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 overlapping names for the two indices and some of the stocks will also have flows from 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> trackers.</li>
<li>The potential adds have outperformed the potential deletes between 9-10% for both indices over the last month with the deletes dropping a lot more than the adds.</li>
</ul>


Nearing the end of the review period, we forecast 8 changes for the ChiNext Index (SZ399006 INDEX) and 5 changes for the ChiNext 50 Index in June.
There are overlapping names for the two indices and some of the stocks will also have flows from the CSI Smallcap 500 Index - Shang (SH000905 INDEX) trackers.
The potential adds have outperformed the potential deletes between 9-10% for both indices over the last month with the deletes dropping a lot more than the adds.


ChiNext/​​​ChiNext50 Index Rebalance Preview: Plenty of Overlap Between the Indices

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 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

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

ChiNext/ChiNext50 Index Rebalance Preview: Plenty of Overlap Between the Indices

Nearing the end of the review period, we forecast 8 changes for the ChiNext Index (SZ399006 INDEX) and 5 changes for the ChiNext 50 Index in June...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

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

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

ChiNext/​​​ChiNext50 Index Rebalance Preview: Plenty of Overlap Between the Indices

Nearing the end of the review period, we forecast 8 changes for the ChiNext Index (SZ399006 INDEX) and 5 changes for the ChiNext 50 Index in June...

Brian Freitas

ChiNext/ChiNext50 Index Rebalance Preview: Plenty of Overlap Between the Indices