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>The China equity markets have continued to slide and the lower market caps and free float market caps will see a lot of stocks deleted from passive portfolios in February.</li>
<li>We currently estimate selling of around US$1.66bn across 74 stocks listed on the mainland, in HK and the U.S., and that number could increase as markets continue to underperform.</li>
<li>The potential deletes have dropped a lot over the last 4 months and there has been a marked underperformance versus the headline indices over the last month.</li>
</ul>


The China equity markets have continued to slide and the lower market caps and free float market caps will see a lot of stocks deleted from passive portfolios in February.
We currently estimate selling of around US$1.66bn across 74 stocks listed on the mainland, in HK and the U.S., and that number could increase as markets continue to underperform.
The potential deletes have dropped a lot over the last 4 months and there has been a marked underperformance versus the headline indices over the last month.


China: Sliding Market Leads to Passive Selling

<ul>
<li>With three-quarters of the review period nearly 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 500 Index</a> at the close on 14 June.</li>
<li>There is a big sector skew in the potential changes. We estimate a one-way turnover of 9.1% at the June rebalance resulting in a one-way trade of CNY 5.34bn.</li>
<li>The potential adds and deletes and the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500 Index</a> have performed in line since August and the current setup appears attractive.</li>
</ul>


With three-quarters of the review period nearly complete, we forecast 50 changes (the maximum permitted) for the CSI 500 Index at the close on 14 June.
There is a big sector skew in the potential changes. We estimate a one-way turnover of 9.1% at the June rebalance resulting in a one-way trade of CNY 5.34bn.
The potential adds and deletes and the CSI 500 Index have performed in line since August and the current setup appears attractive.


CSI500 Index Rebalance Preview: High Turnover & Big Flow

Jiangsu Zhongtian Technologies Co, Ltd. / Event-Driven

<ul>
<li>With three-quarters of the review period nearly complete, there could be 12 changes for 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> in June.</li>
<li>We estimate one-way turnover of 1.3% at the June rebalance leading to a one-way trade of CNY 5.06bn. There are a lot of stocks with over 1x ADV to trade.</li>
<li>There have been big ETF inflows to the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> trackers, but the potential adds have still outperformed the index and the potential deletes.</li>
</ul>


With three-quarters of the review period nearly complete, there could be 12 changes for the Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX) in June.
We estimate one-way turnover of 1.3% at the June rebalance leading to a one-way trade of CNY 5.06bn. There are a lot of stocks with over 1x ADV to trade.
There have been big ETF inflows to the CSI 300 Index trackers, but the potential adds have still outperformed the index and the potential deletes.


CSI300 Index Rebalance Preview: A Dozen Changes for June

Hygon Information Technology C / Event-Driven

<ul>
<li>Local indices in China including the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a>, <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500 Index</a>, <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 <a href="https://www.smartkarma.com/entities/shanghai-stock-exchange-sse-50-a-share-index" target="_blank" data-smartkarma-citation="entities:31073:1" rel="noopener">SSE50 Index</a> will rebalance at the close tomorrow.</li>
<li>There are many changes for the indices and there are stocks that are adds and/or deletes from multiple indices which results in cumulative or offsetting flows.</li>
<li>We estimate turnover at the close tomorrow in China will be around US$7.5bn with big impact on a lot of stocks.</li>
</ul>


Local indices in China including the CSI 300 Index, CSI 500 Index, STAR50 Index and SSE50 Index will rebalance at the close tomorrow.
There are many changes for the indices and there are stocks that are adds and/or deletes from multiple indices which results in cumulative or offsetting flows.
We estimate turnover at the close tomorrow in China will be around US$7.5bn with big impact on a lot of stocks.


China: Consolidated Flows at the Close Tomorrow

<ul>
<li>The announcement of the inclusion of <a href="https://www.smartkarma.com/entities/uber-technologies-inc" target="_blank" data-smartkarma-citation="entities:430:1" rel="noopener">Uber Technologies (UBER US)</a> in the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX</a> was a big one last week. There were announcements for some other indices too.</li>
<li>There are many indices in China that will be rebalanced at the close on Friday, the biggest being the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300</a>, <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500</a>, <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</a>, <a href="https://www.smartkarma.com/entities/shanghai-stock-exchange-sse-50-a-share-index" target="_blank" data-smartkarma-citation="entities:31073:1" rel="noopener">SSE50</a> and <a href="https://www.smartkarma.com/entities/kraneshares-csi-china-internet-etf" target="_blank" data-smartkarma-citation="entities:28208:1" rel="noopener">KWEB US</a>.</li>
<li>Relatively quiet in ETF world with net inflows to China focused ETFs and net outflows for Japan.</li>
</ul>


The announcement of the inclusion of Uber Technologies (UBER US) in the S&amp;P 500 INDEX was a big one last week. There were announcements for some other indices too.
There are many indices in China that will be rebalanced at the close on Friday, the biggest being the CSI 300, CSI 500, STAR50, SSE50 and KWEB US.
Relatively quiet in ETF world with net inflows to China focused ETFs and net outflows for Japan.


Index Rebalance & ETF Flow Recap: KWEB, CSI300/500, STAR50, SSE50, ChiNext, SET50, Chips, Denso, SPX

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)

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CSI Smallcap 500 Index - Shang (SH000905 INDEX EQUITY)

China: Sliding Market Leads to Passive Selling

A rapidly falling market could be upwards of 74 China stocks being deleted from passive portfolios. These stocks have underperformed the headline...

Brian Freitas

CSI500 Index Rebalance Preview: High Turnover & Big Flow

We forecast 50 changes in June leading to one-way turnover of 9.1% and one-way trade of CNY 5.34bn. There will be over 1x ADV to trade on 28...

Brian Freitas

CSI300 Index Rebalance Preview: A Dozen Changes for June

We forecast 12 changes for the CSI300 Index in June with a one-way turnover of 1.3% and one-way trade of US$703m. The potential adds have...

Brian Freitas

China: Consolidated Flows at the Close Tomorrow

Local indices in China rebalance tomorrow and we estimate passives will need to trade around CNY 54bn (US$7.5bn). There will be big impact on some...

Brian Freitas

Index Rebalance & ETF Flow Recap: KWEB, CSI300/500, STAR50, SSE50, ChiNext, SET50, Chips, Denso, SPX

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)