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

Topsports International Holdings / Event-Driven

<ul>
<li>The China equity markets have continued to trade lower with 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> outperforming other mainland indices as the National Team continues to pump money into ETFs tracking the index.</li>
<li>We currently estimate selling of around US$1.39bn across 74 stocks listed on the mainland and in Hong Kong. There could be fewer deletions depending on the review date chosen.</li>
<li>The potential deletes have dropped a lot since the start of the calendar year with big underperformance versus the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI Index</a>, <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> and <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</a>.</li>
</ul>


The China equity markets have continued to trade lower with the CSI 300 Index outperforming other mainland indices as the National Team continues to pump money into ETFs tracking the index.
We currently estimate selling of around US$1.39bn across 74 stocks listed on the mainland and in Hong Kong. There could be fewer deletions depending on the review date chosen.
The potential deletes have dropped a lot since the start of the calendar year with big underperformance versus the HSCEI Index, CSI 300 Index and CSI Smallcap 500 Index.


China: Passive Selling Expected Later This Month

Podcast by Joe Weisenthal & Tracy Alloway, Odd Lots

Odd Lots

Podcast by Joe Weisenthal & Tracy Alloway

Bloomberg's Joe Weisenthal and Tracy Alloway explore the most interesting topics in finance, markets and economics. Join the conversation every Monday and Thursday.

Cross Asset Strategy

<ul><li>Odd Lots podcast discusses trade tensions between the US and China, drawing parallels to past trade conflicts with Japan</li><li>Pop culture references and historical anecdotes provide context for current trade disputes</li><li>Guest Stephen Roach, a senior fellow at Yale Law School and former chairman of Morgan Stanley Asia, offers insights on the errors of current approach to China</li></ul><p><em>This content is sourced through publicly available sources and has been machine generated. Information displayed is for general informational purposes only.</em></p>

Odd Lots podcast discusses trade tensions between the US and China, drawing parallels to past trade conflicts with JapanPop culture references and historical anecdotes provide context for current trade disputesGuest Stephen Roach, a senior fellow at Yale Law School and former chairman of Morgan Stanley Asia, offers insights on the errors of current approach to ChinaThis content is sourced through publicly available sources and has been machine generated. Information displayed is for general informational purposes only.

Stephen Roach Warns of Disaster From Our 'Sinophobic' China Policy

Victory Giant Technology -A / Event-Driven

<ul>
<li>With 70% of 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</a> at the close on 13 December.</li>
<li>We estimate a one-way turnover of 11.3% at the rebalance resulting in a one-way trade of CNY12.08bn (US$1.7bn). The Information Technology and HealthCare sectors gain at the expense of Industrials.</li>
<li>The potential adds have outperformed the potential 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 Smallcap 500 Index (SH000905 INDEX</a>) since the start of the year with the outperformance gradually picking up.</li>
</ul>


With 70% of the review period now complete, we forecast 50 changes (the maximum permitted) for the CSI Smallcap 500 Index at the close on 13 December.
We estimate a one-way turnover of 11.3% at the rebalance resulting in a one-way trade of CNY12.08bn (US$1.7bn). The Information Technology and HealthCare sectors gain at the expense of Industrials.
The potential adds have outperformed the potential deletes and the CSI Smallcap 500 Index (SH000905 INDEX) since the start of the year with the outperformance gradually picking up.


CSI500 Index Rebalance Preview: 50 Changes; 11% Turnover; US$3.4bn Round-Trip Trade

<ul>
<li>There could be 18 changes at the December rebalance with the Industrials sector gaining 3 index spots and the Information Technology sector losing 5 spots.</li>
<li>We estimate one-way turnover of 3.3% at the rebalance leading to a one-way trade of CNY 22.07bn (US$3bn). There are a lot of stocks with multiple days ADV to trade.</li>
<li>The potential adds have outperformed the potential deletes. There were ETF inflows last week amid a short selling crackdown as the Third Plenum kicks off.</li>
</ul>


There could be 18 changes at the December rebalance with the Industrials sector gaining 3 index spots and the Information Technology sector losing 5 spots.
We estimate one-way turnover of 3.3% at the rebalance leading to a one-way trade of CNY 22.07bn (US$3bn). There are a lot of stocks with multiple days ADV to trade.
The potential adds have outperformed the potential deletes. There were ETF inflows last week amid a short selling crackdown as the Third Plenum kicks off.


CSI300 Index Rebalance Preview: 18 Changes in Dec; Third Plenum; ETF Inflows; Short Sell Crackdown

<ul>
<li>There are 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">CSI 300 Index (SHSZ300 INDEX)</a> and 50 changes 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 (SH000905 INDEX)</a> in June. Most changes were expected.</li>
<li>There are a lot of stocks with over 1 day of ADV to trade. The round-trip trade in June is estimated to be US$5bn.</li>
<li>The adds have outperformed the deletes for both indices but the return profile of a long adds/ short deletes trade for the CSI500 Index is a lot smoother.</li>
</ul>


There are 12 changes for the CSI 300 Index (SHSZ300 INDEX) and 50 changes for the CSI Smallcap 500 Index (SH000905 INDEX) in June. Most changes were expected.
There are a lot of stocks with over 1 day of ADV to trade. The round-trip trade in June is estimated to be US$5bn.
The adds have outperformed the deletes for both indices but the return profile of a long adds/ short deletes trade for the CSI500 Index is a lot smoother.


CSI300/CSI500 Index Rebalance: Big Flows and US$5bn Round-Trip Trade

China

The CSI 300 Index is a free-float weighted index that consists of 300 A-share stocks listed on the Shanghai or Shenzhen Stock Exchanges. Index has a base level of 1000 on 12/31/2004. * Due to our agreement with CSI, shares in the index is restricted, please visit SSIS<go> for more information and access. This ticker holds prices fed from Shenzhen Stock Exchange.

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

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Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

China: Passive Selling Expected Later This Month

We currently estimate passive selling of around US$1.39bn across 74 stocks listed in China and HK. The potential deletes have underperformed...

Brian Freitas

Stephen Roach Warns of Disaster From Our 'Sinophobic' China Policy

The Odd Lots podcast examines US trade tensions with China by comparing them to past trade tensions with Japan in the 1980s, discussing the...

Odd Lots

CSI500 Index Rebalance Preview: 50 Changes; 11% Turnover; US$3.4bn Round-Trip Trade

We forecast 50 changes in December leading to one-way turnover of 11.3% and one-way trade of CNY12bn. There will be over 1x ADV to trade on 53...

Brian Freitas

CSI300 Index Rebalance Preview: 18 Changes in Dec; Third Plenum; ETF Inflows; Short Sell Crackdown

There could be 18 changes in December. The adds have outperformed the deletes but near-term performance has been meh. There were ETF inflows last...

Brian Freitas

CSI300/CSI500 Index Rebalance: Big Flows and US$5bn Round-Trip Trade

The CSI300/CSI500 indices rebalance at the close tomorrow. Since announcement, the inclusions to the CSI300 index have outperformed the deletes by...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)