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 three constituent 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> at the March rebalance. One inclusion and one non-inclusion are surprises.</li>
<li>One way turnover is estimated at 2.9% and will result in a one-way trade of CNY 4,075m with over 2.5x ADV to trade on all constituent changes.</li>
<li>The adds have outperformed the deletes over the last few months with a jump in the last few trading sessions. There could be more outperformance over the next two weeks.</li>
</ul>


There are three constituent changes for the SSE STAR50 (STAR50 INDEX) at the March rebalance. One inclusion and one non-inclusion are surprises.
One way turnover is estimated at 2.9% and will result in a one-way trade of CNY 4,075m with over 2.5x ADV to trade on all constituent changes.
The adds have outperformed the deletes over the last few months with a jump in the last few trading sessions. There could be more outperformance over the next two weeks.


STAR50 Index Rebalance: Three Changes a Side; One Surprise Change

Suzhou Novosense Microelectron / Event-Driven

<ul>
<li>The review period for the March rebalance ended 31 January. We expect the changes to be announced 23 February with the implementation taking place after the close on 8 March.</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>The potential inclusions have dropped but there has been significant outperformance versus the potential deletions. That could continue as positioning continues for the high expected impact on the stocks.</li>
</ul>


The review period for the March rebalance ended 31 January. We expect the changes to be announced 23 February with the implementation taking place after the close on 8 March.
We expect the index committee to continue using a 6-month minimum listing history resulting in three changes to the index.
The potential inclusions have dropped but there has been significant outperformance versus the potential deletions. That could continue as positioning continues for the high expected impact on the stocks.


STAR50 Index Rebalance Preview: Sustaining Outperformance on Expected Impact

<ul>
<li>The review period for the March rebalance ends 31 January. We expect the changes to be announced 23 February with the implementation taking place after the close on 8 March.</li>
<li>We expect the index committee to continue using a 6-month minimum listing history resulting in four changes to the index.</li>
<li>One way turnover is estimated at 3.3% resulting in a one-way trade of CNY 4,717m. The impact on the deletions will be much larger than that on the inclusions.</li>
</ul>


The review period for the March rebalance ends 31 January. We expect the changes to be announced 23 February with the implementation taking place after the close on 8 March.
We expect the index committee to continue using a 6-month minimum listing history resulting in four changes to the index.
One way turnover is estimated at 3.3% resulting in a one-way trade of CNY 4,717m. The impact on the deletions will be much larger than that on the inclusions.


STAR50 Index Rebalance Preview: Four High Impact Changes in March

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

Ninebot Limited researches, develops, and manufactures robots. The Company produces and markets balance bikes, scooters, children cars, karts, smart home service robots, intelligent public service robots, and other products. Ninebot markets its products across worldwide.

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

Ninebot (689009 CH)

STAR50 Index Rebalance: Three Changes a Side; One Surprise Change

There are 3 changes for the STAR50 in March. Estimated one-way turnover is 2.9% resulting in a 1-way trade of CNY 4.08bn with over 2.5x ADV to...

Brian Freitas

STAR50 Index Rebalance Preview: Sustaining Outperformance on Expected Impact

There could be 3 changes for the STAR50 Index in March. One-way turnover is estimated at 2.4% leading to a one-way trade of CNY 2.9bn. The...

Brian Freitas

STAR50 Index Rebalance Preview: Four High Impact Changes in March

There could be 4 changes for the STAR50 Index in March. Passive trackers will need to trade between 1.2-9.7x ADV on the adds/dels. There will be...

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)