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 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

Zhejiang Huafeng Spandex A / Event-Driven

<ul>
<li>With 4 trading days to go the review period, we see 13 potential index changes at the June rebalance that will be implemented at the close on 9 June.</li>
<li>We estimate a one-way turnover of 1.94% at the June rebalance leading to a one-way trade of CNY 5.05bn.</li>
<li>With the review period nearly complete, the gap between the potential adds and deletes could narrow ahead of the announcement of the changes as pre-positions are built.</li>
</ul>


With 4 trading days to go the review period, we see 13 potential index changes at the June rebalance that will be implemented at the close on 9 June.
We estimate a one-way turnover of 1.94% at the June rebalance leading to a one-way trade of CNY 5.05bn.
With the review period nearly complete, the gap between the potential adds and deletes could narrow ahead of the announcement of the changes as pre-positions are built.


CSI300 Index Rebalance Preview: Potential Changes as Review Period Nearly Complete

Articles from Caixin Global, Caixin Global

Caixin Global

Articles from Caixin Global

Caixin is a media group dedicated to providing financial and business news through periodicals, online content, mobile apps, conferences, books and TV/video programs. Caixin aims to blaze a trail that helps traditional media prosper in the new media age through integrated multimedia platforms.

News from Caixin

Equity Bottom-Up

LONGi Green Energy Technology / Equity Bottom-Up

<ul><li>Chinese solar wafer giant LONGi Green Energy Technology Co. Ltd. will partner with U.S. solar developer Invenergy to build a $600 million, 5-gigawatt solar panel assembly factory in Ohio</li><li>The project will be LONGi’s first entrance into the U.S. manufacturing market.</li><li>What will eventually be the largest crystalline silicon solar panel factory in the U.S. will create 850 jobs, and operations are expected to start by the end of 2023</li></ul>

Chinese solar wafer giant LONGi Green Energy Technology Co. Ltd. will partner with U.S. solar developer Invenergy to build a $600 million, 5-gigawatt solar panel assembly factory in OhioThe project will be LONGi’s first entrance into the U.S. manufacturing market.What will eventually be the largest crystalline silicon solar panel factory in the U.S. will create 850 jobs, and operations are expected to start by the end of 2023

LONGi Green Energy to Build $600 Million Solar Panel Plant in U.S.

<ul>
<li>Over 85% of the way through the review period, we see 14 potential index changes at the June rebalance that will be implemented at the close on 9 June.</li>
<li>We estimate a one-way turnover of 2.28% at the June rebalance leading to a one-way trade of CNY 5.95bn.</li>
<li>The potential adds have outperformed the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> over the last two months but have underperformed the potential deletes. The gap has been narrowing recently.</li>
</ul>


Over 85% of the way through the review period, we see 14 potential index changes at the June rebalance that will be implemented at the close on 9 June.
We estimate a one-way turnover of 2.28% at the June rebalance leading to a one-way trade of CNY 5.95bn.
The potential adds have outperformed the CSI 300 Index over the last two months but have underperformed the potential deletes. The gap has been narrowing recently.


CSI300 Index Rebalance Preview: Narrowing the Gap

China

Jinko Solar Co., Ltd. manufactures photovoltaic products. The Company develops, manufactures, and markets crystalline ingots, wafers, mono-crystalline photovoltaic panels, and multi-crystalline photovoltaic panels. Jinko Solar markets its products worldwide.

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Jinko Solar (688223 CH)

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

CSI300 Index Rebalance Preview: Potential Changes as Review Period Nearly Complete

There could be 13 changes to the CSI300 in June. We estimate a one-way turnover of 1.94% at the June rebalance leading to a one-way trade of CNY...

Brian Freitas

LONGi Green Energy to Build $600 Million Solar Panel Plant in U.S.

Chinese solar wafer giant LONGi Green Energy Technology Co. Ltd. will partner with U.S. solar developer Invenergy to build a $600 million, 5...

Caixin Global

CSI300 Index Rebalance Preview: Narrowing the Gap

Nearing the end of the review period, we see 14 potential changes. We estimate a one-way turnover of 2.28% leading to a one-way trade of CNY...

Brian Freitas

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