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 changes for the next rebalance will use closing prices from 31 August, will be announced after the close on 8 September with implementation at the close on 15 September.</li>
<li>One stock is very close to the 85% cumulative market cap inclusion threshold, while there are two stocks that are near the 98% cumulative market cap deletion threshold.</li>
<li>With one inclusion and capping changes, estimated one-way turnover at the rebalance will be 3.5% resulting in a one-way trade of US$20m. That could change over the next week.</li>
</ul>


The changes for the next rebalance will use closing prices from 31 August, will be announced after the close on 8 September with implementation at the close on 15 September.
One stock is very close to the 85% cumulative market cap inclusion threshold, while there are two stocks that are near the 98% cumulative market cap deletion threshold.
With one inclusion and capping changes, estimated one-way turnover at the rebalance will be 3.5% resulting in a one-way trade of US$20m. That could change over the next week.


MVIS Global Rare Earth/​​​​​​​​Strategic Metals Index Rebalance Preview: A Week to Go

<ul>
<li>Two thirds of the way through the review period for the June rebalance of the CSI500 Index, we forecast 50 changes (the maximum permitted) at the close on 8 December.</li>
<li>There is a big sector skew in the potential changes. We estimate a one-way turnover of 10.1% at the December rebalance resulting in a one-way trade of CNY 6.75bn.</li>
<li>The potential adds have outperformed the potential deletes and the CSI500 Index over the last six weeks. There could be more outperformance till nearer the end of the review period.</li>
</ul>


Two thirds of the way through the review period for the June rebalance of the CSI500 Index, we forecast 50 changes (the maximum permitted) at the close on 8 December.
There is a big sector skew in the potential changes. We estimate a one-way turnover of 10.1% at the December rebalance resulting in a one-way trade of CNY 6.75bn.
The potential adds have outperformed the potential deletes and the CSI500 Index over the last six weeks. There could be more outperformance till nearer the end of the review period.


CSI500 Index Rebalance Preview: Potential Adds Outperforming Potential Deletes

<ul>
<li>It was a busy week with index rebalance implementations and announcements of index changes.</li>
<li>The coming week has the KOSPI200 and KOSDAQ150 rebalancing on Thursday and a bunch of onshore China indices rebalancing on Friday.</li>
<li>There were big inflows to China ETFs during the week while the largest inflows went to the <a href="https://www.smartkarma.com/entities/tracker-fund-of-hong-kong-ltd" target="_blank" data-smartkarma-citation="entities:29257:1" rel="noopener">Tracker Fund of Hong Kong Ltd (2800 HK)</a> ETF.</li>
</ul>


It was a busy week with index rebalance implementations and announcements of index changes.
The coming week has the KOSPI200 and KOSDAQ150 rebalancing on Thursday and a bunch of onshore China indices rebalancing on Friday.
There were big inflows to China ETFs during the week while the largest inflows went to the Tracker Fund of Hong Kong Ltd (2800 HK) ETF.


Index Rebalance & ETF Flow Recap: CSI300/500, Chinext, China Semi Chips, Nifty Next50, SET50, REMX

<ul>
<li>The review period for the June rebalance ended on 31 May. Announcement of the changes will be made on 9 June with implementation at the close on 16 June.</li>
<li>There could be 3 or 4 A-share additions due to their inclusion in Northbound Stock Connect. That in turn expands the index universe and could result in 2-3 deletions.</li>
<li>If there are 4 adds and 2 deletes at the June rebalance, estimated one-way turnover at the rebalance will be 13.4% and will result in a one-way trade of US$81m.</li>
</ul>


The review period for the June rebalance ended on 31 May. Announcement of the changes will be made on 9 June with implementation at the close on 16 June.
There could be 3 or 4 A-share additions due to their inclusion in Northbound Stock Connect. That in turn expands the index universe and could result in 2-3 deletions.
If there are 4 adds and 2 deletes at the June rebalance, estimated one-way turnover at the rebalance will be 13.4% and will result in a one-way trade of US$81m.


MVIS Global Rare Earth/​​​​​​​Strategic Metals Index Rebalance Preview: Changes Afoot

Yunnan Chihong Zinc&Germanium Co, Ltd. / Event-Driven

<ul>
<li>The review period for the June rebalance ends on 31 May. Announcement of the changes will be made on 9 June with implementation at the close on 16 June.</li>
<li>There could be 4 or 5 A-share additions due to their inclusion in Northbound Stock Connect. That in turn expands the universe and could result in up to 3 deletions.</li>
<li>If all changes go through as expected, estimated one-way turnover at the rebalance will be 15.1% resulting in a one-way trade of US$99m.</li>
</ul>


The review period for the June rebalance ends on 31 May. Announcement of the changes will be made on 9 June with implementation at the close on 16 June.
There could be 4 or 5 A-share additions due to their inclusion in Northbound Stock Connect. That in turn expands the universe and could result in up to 3 deletions.
If all changes go through as expected, estimated one-way turnover at the rebalance will be 15.1% resulting in a one-way trade of US$99m.


MVIS Global Rare Earth/​​​​​​Strategic Metals Index Rebalance Preview: Identifying Potential Changes

China

Rising Nonferrous Metals Share Company, Ltd. operates in the refining, processing and manufacturing of nonferrous metals business.

Rising Nonferrous Metals Share (600259 CH)

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

Rising Nonferrous Metals Share (600259 CH)

MVIS Global Rare Earth/Strategic Metals Index Rebalance Preview: A Week to Go

There could be 1 inclusion in September while there are 2 stocks close to the deletion threshold. Lake Resources is also a potential deletion from...

Brian Freitas

CSI500 Index Rebalance Preview: Potential Adds Outperforming Potential Deletes

We see 50 changes a side for the CSI500 in Dec. The Industrials sector could take a lot of index spots from Materials as one-way turnover exceeds...

Brian Freitas

Index Rebalance & ETF Flow Recap: CSI300/500, Chinext, China Semi Chips, Nifty Next50, SET50, REMX

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

Brian Freitas

MVIS Global Rare Earth/Strategic Metals Index Rebalance Preview: Changes Afoot

With the review period complete, there could be 4 adds and 2 deletes for the index in June. Estimated one-way turnover at the rebalance will be...

Brian Freitas

MVIS Global Rare Earth/Strategic Metals Index Rebalance Preview: Identifying Potential Changes

There could be 4/5 A-shares added to the index in June resulting in up to 3 deletions. One-way turnover will be 15% and the one-way trade nearly...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

MVIS Global Rare Earth/​​​​​​​​Strategic Metals Index Rebalance Preview: A Week to Go

There could be 1 inclusion in September while there are 2 stocks close to the deletion threshold. Lake Resources is also a potential deletion from...

Brian Freitas

CSI500 Index Rebalance Preview: Potential Adds Outperforming Potential Deletes

We see 50 changes a side for the CSI500 in Dec. The Industrials sector could take a lot of index spots from Materials as one-way turnover exceeds...

Brian Freitas

Index Rebalance & ETF Flow Recap: CSI300/500, Chinext, China Semi Chips, Nifty Next50, SET50, REMX

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

Brian Freitas

MVIS Global Rare Earth/​​​​​​​Strategic Metals Index Rebalance Preview: Changes Afoot

With the review period complete, there could be 4 adds and 2 deletes for the index in June. Estimated one-way turnover at the rebalance will be...

Brian Freitas

MVIS Global Rare Earth/​​​​​​Strategic Metals Index Rebalance Preview: Identifying Potential Changes

There could be 4/5 A-shares added to the index in June resulting in up to 3 deletions. One-way turnover will be 15% and the one-way trade nearly...

Brian Freitas

MVIS Global Rare Earth/Strategic Metals Index Rebalance Preview: A Week to Go

MVIS Global Rare Earth/Strategic Metals Index Rebalance Preview: Changes Afoot

MVIS Global Rare Earth/Strategic Metals Index Rebalance Preview: Identifying Potential Changes