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

Shanghai United Imaging Health / Event-Driven

<ul>
<li>Two thirds of the way through the review period, we see 14 potential index changes at the December rebalance that will be implemented at the close on 8 December.</li>
<li>We estimate a one-way turnover of 1.98% at the December rebalance leading to a one-way trade of CNY 5.32bn.</li>
<li>The potential adds have outperformed the potential deletes and 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 Index (SHSZ300 INDEX)</a> over the last five months, though there is some near-term underperformance.</li>
</ul>


Two thirds of the way through the review period, we see 14 potential index changes at the December rebalance that will be implemented at the close on 8 December.
We estimate a one-way turnover of 1.98% at the December rebalance leading to a one-way trade of CNY 5.32bn.
The potential adds have outperformed the potential deletes and the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) over the last five months, though there is some near-term underperformance.


CSI300 Index Rebalance Preview: Early Look at Potential Changes in December

<ul>
<li>There are 9 changes for the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a> at the upcoming rebalance that will be implemented at the close of trading on 9 June.</li>
<li>While nearly all the changes are in line with forecasts, there are some stocks that have not been added or deleted as the index committee has used discretion.</li>
<li>The Energy sector is the biggest gainer in terms of index spots, while the Consumer Discretionary and Health Care sectors lose two index spots each.</li>
</ul>


There are 9 changes for the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) at the upcoming rebalance that will be implemented at the close of trading on 9 June.
While nearly all the changes are in line with forecasts, there are some stocks that have not been added or deleted as the index committee has used discretion.
The Energy sector is the biggest gainer in terms of index spots, while the Consumer Discretionary and Health Care sectors lose two index spots each.


CSI300 Index Rebalance: 9 Changes as Discretion Used

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

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

MSCI Emerging Markets Index / Technical Analysis

<ul>
<li>In our February 6, 2023 EM Strategy, we discussed that we were buyers of the MSCI EM (EEM-US) on a pullback to the 50-day MA. </li>
<li>The pullback went a bit deeper but managed to hold at our $37.50 line-in-the-sand which we discussed in our recent ETF Pathfinder reports (Mar. 6 and Mar. 20, 2023).</li>
<li>The EEM-US displays a bullish 2-month downtrend reversal- add exposure. Signs continue to point to a topping DXY, and a declining DXY has historically resulted in EM outperformance (vs. EAFE).</li>
</ul>


In our February 6, 2023 EM Strategy, we discussed that we were buyers of the MSCI EM (EEM-US) on a pullback to the 50-day MA. 
The pullback went a bit deeper but managed to hold at our $37.50 line-in-the-sand which we discussed in our recent ETF Pathfinder reports (Mar. 6 and Mar. 20, 2023).
The EEM-US displays a bullish 2-month downtrend reversal- add exposure. Signs continue to point to a topping DXY, and a declining DXY has historically resulted in EM outperformance (vs. EAFE).


MSCI EM $EEM 2-Month Downtrend Reversal at Support -- Add Exposure. Upgrading Taiwan to Overweight

Jiangxi Special Electric Motor A / Event-Driven

<ul>
<li>Three quarters 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 9 June.</li>
<li>There is a big sector skew in the potential changes. We estimate a one-way turnover of 11.47% at the June rebalance resulting in a one-way trade of CNY 10.11bn.</li>
<li>The potential adds have outperformed the potential deletes and the CSI500 Index over the last few weeks. There could be more outperformance till nearer the end of the review period.</li>
</ul>


Three quarters 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 9 June.
There is a big sector skew in the potential changes. We estimate a one-way turnover of 11.47% at the June rebalance resulting in a one-way trade of CNY 10.11bn.
The potential adds have outperformed the potential deletes and the CSI500 Index over the last few weeks. There could be more outperformance till nearer the end of the review period.


CSI500 Index Rebalance Preview: Potential Adds Continuing to Outperform

China

Shengyi Technology Co., Ltd. manufactures and markets electronic components. The Company's products include copper coated panels, printed circuit boards, and other related products.

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Shengyi Technology (600183 CH)

CSI300 Index Rebalance Preview: Early Look at Potential Changes in December

We currently have 14 changes for the CSI300 Index in December. Most changes are high probability and the potential adds have outperformed the...

Brian Freitas

CSI300 Index Rebalance: 9 Changes as Discretion Used

There are 9 changes for the CSI300 Index in June. Nearly all changes were forecast. Some stocks are conspicuous by their non-addition/deletion. The...

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

MSCI EM $EEM 2-Month Downtrend Reversal at Support -- Add Exposure. Upgrading Taiwan to Overweight

Signs continue to point to a topping $DXY, and a declining DXY has historically resulted in EM outperformance (vs. $EAFE). Many ideas in China/Hong...

Vermilion Research

CSI500 Index Rebalance Preview: Potential Adds Continuing to Outperform

We forecast 50 changes a side at the June rebal leading to a one-way turnover of 11.47% & in a one-way trade of CNY 10bn. The potential adds have...

Brian Freitas

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