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

Hoymiles Power Electronics / Event-Driven

<ul>
<li>The index committee has continued to use a 6 month minimum listing history leading to five changes to 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> in September.</li>
<li>One-Way turnover is estimated at 4.07% and will result in a one-way trade of CNY 2,265m. Passive trackers will need to trade between 1-5 days ADV on the adds/deletes.</li>
<li>The adds have outperformed the deletes and the CSI500 Index since the end of the review period. We'd look to buy the adds and hedge with CSI500 Index futures.</li>
</ul>


The index committee has continued to use a 6 month minimum listing history leading to five changes to the SSE STAR50 (STAR50 INDEX) in September.
One-Way turnover is estimated at 4.07% and will result in a one-way trade of CNY 2,265m. Passive trackers will need to trade between 1-5 days ADV on the adds/deletes.
The adds have outperformed the deletes and the CSI500 Index since the end of the review period. We'd look to buy the adds and hedge with CSI500 Index futures.


STAR50 Index Rebalance: Adds Continue to Outperform as Changes Are Announced

<ul>
<li>Over 96% of the way through the review period, we see 1 change using a 12 month minimum listing history, and 5 changes using a 6 month minimum listing history.</li>
<li>We expect the index committee to continue using the shorter minimum listing history since the potential adds have much larger market caps than the potential deletes.</li>
<li>The potential adds have outperformed the potential deletes over the last month and there could be more once the current consolidation is complete.</li>
</ul>


Over 96% of the way through the review period, we see 1 change using a 12 month minimum listing history, and 5 changes using a 6 month minimum listing history.
We expect the index committee to continue using the shorter minimum listing history since the potential adds have much larger market caps than the potential deletes.
The potential adds have outperformed the potential deletes over the last month and there could be more once the current consolidation is complete.


STAR50 Index Rebalance Preview (Sep): Adds Outperforming the Deletes

<ul>
<li>With only one change expected in September using a 12 month minimum listing history, we expect the index committee to continue using a 6 month minimum listing history.</li>
<li>That will see the maximum of 5 changes that are permitted at a single rebalance resulting in a one-way turnover just shy of 5%.</li>
<li>Over the last few rebalances, the adds have outperformed the deletes post the end of the review period. That's expected given passive trackers need to buy/sell a lot of stock.</li>
</ul>


With only one change expected in September using a 12 month minimum listing history, we expect the index committee to continue using a 6 month minimum listing history.
That will see the maximum of 5 changes that are permitted at a single rebalance resulting in a one-way turnover just shy of 5%.
Over the last few rebalances, the adds have outperformed the deletes post the end of the review period. That's expected given passive trackers need to buy/sell a lot of stock.


STAR50 Index Rebalance Preview (Sep): Change Is the Only Constant

<ul>
<li>The index committee has continued to use a 6 month minimum listing history leading to five changes to 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> in June.</li>
<li>One way turnover is estimated at 8.56% and will result in a one-way trade of CNY 3,496m. Passive trackers will need to trade between 2-6 days ADV on the adds/deletes.</li>
<li>The inclusions have outperformed the deletions and the CSI500 Index since the end of the review period with all inclusions moving higher over the period.</li>
</ul>


The index committee has continued to use a 6 month minimum listing history leading to five changes to the SSE STAR50 (STAR50 INDEX) in June.
One way turnover is estimated at 8.56% and will result in a one-way trade of CNY 3,496m. Passive trackers will need to trade between 2-6 days ADV on the adds/deletes.
The inclusions have outperformed the deletions and the CSI500 Index since the end of the review period with all inclusions moving higher over the period.


STAR50 Index Rebalance: Dear Index Committee...

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

Thematic (Sector/Industry)

<ul><li>China has launched its first five-year plan for the development of biotechnology economy, vowing to raise the value of the sector to 22 trillion yuan ($3.3 trillion) and nurture more companies with revenues upward of 10 million yuan</li><li>The landmark document from China’s top state planner is the first for the biotech sector to move beyond research and development and focus on the economic development and commercialization of such technologies</li><li>Specifically, it aims to increase the number of firms in the field with annual revenue of more than 10 billion yuan</li></ul>

China has launched its first five-year plan for the development of biotechnology economy, vowing to raise the value of the sector to 22 trillion yuan ($3.3 trillion) and nurture more companies with revenues upward of 10 million yuanThe landmark document from China’s top state planner is the first for the biotech sector to move beyond research and development and focus on the economic development and commercialization of such technologiesSpecifically, it aims to increase the number of firms in the field with annual revenue of more than 10 billion yuan

China Launches First ‘Bioeconomy’ Five-Year Plan

China

SSE Science and Technology Innovation Board 50 Index consists of 50 securities with largest market capitalization and good liquidity listed on SSE Science and Technology Innovation Board. The index aims to reflect the overall performance of leading technological innovation-based enterprises’ securities.

SSE STAR50 (STAR50 INDEX)

STAR50 Index Rebalance: Adds Continue to Outperform as Changes Are Announced

There are 5 changes to the STAR50 in September as the index committee sticks to a 6 month minimum listing history. The adds have outperformed the...

Brian Freitas

STAR50 Index Rebalance Preview (Sep): Adds Outperforming the Deletes

There could be 5 changes if the index committee continues using a 6 month minimum listing history. The adds have outperformed the deletes over the...

Brian Freitas

STAR50 Index Rebalance Preview (Sep): Change Is the Only Constant

We expect the index committee to continue using a 6 month minimum listing history and that will lead to 5 changes in September. Buying the adds and...

Brian Freitas

STAR50 Index Rebalance: Dear Index Committee...

There are 5 changes to the STAR50 Index in June as the index committee continues to use a 6 month minimum listing history. The adds have...

Brian Freitas

China Launches First ‘Bioeconomy’ Five-Year Plan

China has launched its first five-year plan for the development of biotechnology economy, vowing to raise the value of the sector to 22 trillion...

Caixin Global