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 review period for the September rebalance ends 31 July. We expect the changes to be announced 30 August with the implementation taking place after the close on 13 September.</li>
<li>We expect the index committee to continue using a 6-month minimum listing history resulting in two changes to the index.</li>
<li>One-Way turnover is estimated at 3.5% resulting in a one-way trade of CNY 4.5bn (US$618m). Passive trackers will need to trade 4-8x ADV on the index changes.</li>
</ul>


The review period for the September rebalance ends 31 July. We expect the changes to be announced 30 August with the implementation taking place after the close on 13 September.
We expect the index committee to continue using a 6-month minimum listing history resulting in two changes to the index.
One-Way turnover is estimated at 3.5% resulting in a one-way trade of CNY 4.5bn (US$618m). Passive trackers will need to trade 4-8x ADV on the index changes.


STAR50 Index Rebalance Preview: Two Changes & Over US$1.2bn to Trade

Biwin Storage Technology  Lt / Event-Driven

<ul>
<li>The changes to the CSI All Share Semiconductors &amp; Semiconductor Equipment Index were announced after market close on 31 May and will be implemented at the close on 14 June.</li>
<li>There are 17 adds and 5 deletes for the index.</li>
<li>The adds and deletes have underperformed the index over the last 6 months but the adds have outperformed the deletes over the last 3 months.</li>
</ul>


The changes to the CSI All Share Semiconductors &amp; Semiconductor Equipment Index were announced after market close on 31 May and will be implemented at the close on 14 June.
There are 17 adds and 5 deletes for the index.
The adds and deletes have underperformed the index over the last 6 months but the adds have outperformed the deletes over the last 3 months.


CSI All Share Semiconductor Index Rebalance: Lots of Changes in June

<ul>
<li>There are 3 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> and 9 changes for the STAR100 Index. Implementation will take place at the close on 14 June.</li>
<li>
<a href="https://www.smartkarma.com/entities/united-nova-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:40389:1" rel="noopener">United Nova Technology (688469 CH)</a> and <a href="https://www.smartkarma.com/entities/biwin-storage-technology-co-lt" target="_blank" data-smartkarma-citation="entities:40391:1" rel="noopener">Biwin Storage Technology (688525 CH)</a> were not added at the March rebalance since they were consistently loss-making. But they have been added this time.</li>
<li>
<a href="https://www.smartkarma.com/entities/united-nova-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:40389:1" rel="noopener">United Nova Technology (688469 CH)</a> had been trading poorly and then the stock dropped further after non-inclusion in March. That could change now with inclusion confirmed.</li>
</ul>


There are 3 changes for the SSE STAR50 (STAR50 INDEX) and 9 changes for the STAR100 Index. Implementation will take place at the close on 14 June.

United Nova Technology (688469 CH) and Biwin Storage Technology (688525 CH) were not added at the March rebalance since they were consistently loss-making. But they have been added this time.

United Nova Technology (688469 CH) had been trading poorly and then the stock dropped further after non-inclusion in March. That could change now with inclusion confirmed.


STAR50/STAR100 Index Rebalance: Index Committee Flip-Flops on Profitability

<ul>
<li>There are 4 changes for the CES China Semiconductor Chips Index that will be implemented at the close on 14 June.</li>
<li>
<a href="https://www.smartkarma.com/entities/biwin-storage-technology-co-lt" target="_blank" data-smartkarma-citation="entities:40391:1" rel="noopener">Biwin Storage Technology Lt (688525 CH)</a> and <a href="https://www.smartkarma.com/entities/beijing-yandong-microelectroni" target="_blank" data-smartkarma-citation="entities:36653:1" rel="noopener">Beijing Yandong Microelectroni (688172 CH)</a> are also inclusions to other indices too and the multiple flows will increase the impact on the stocks.</li>
<li>The adds have underperformed the deletes. If things go the way of the December rebalance, a long adds/ short deletes trade could do well from now to implementation.</li>
</ul>


There are 4 changes for the CES China Semiconductor Chips Index that will be implemented at the close on 14 June.

Biwin Storage Technology Lt (688525 CH) and Beijing Yandong Microelectroni (688172 CH) are also inclusions to other indices too and the multiple flows will increase the impact on the stocks.
The adds have underperformed the deletes. If things go the way of the December rebalance, a long adds/ short deletes trade could do well from now to implementation.


CES China Semiconductor Chips Index Rebalance: Adding to Impact for Some Stocks

<ul>
<li>The review period for the June rebalance ended 30 April. We expect the changes to be announced 31 May with the implementation taking place after the close on 14 June.</li>
<li>We forecast 9 changes for the index, including migrations between the STAR 100 Index and 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>.</li>
<li>The outright inclusions have outperformed the outright deletions by 9% over the last month and by 20% over the last 3 months.</li>
</ul>


The review period for the June rebalance ended 30 April. We expect the changes to be announced 31 May with the implementation taking place after the close on 14 June.
We forecast 9 changes for the index, including migrations between the STAR 100 Index and the SSE STAR50 (STAR50 INDEX).
The outright inclusions have outperformed the outright deletions by 9% over the last month and by 20% over the last 3 months.


STAR100 Index Rebalance Preview: Potential Adds Continue to Push Higher

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 Preview: Two Changes & Over US$1.2bn to Trade

With 90% of the review period complete, there should be 2 changes for the STAR50 in Sep. One-way turnover is 3.5% and the round-trip trade is over...

Brian Freitas

STAR50/STAR100 Index Rebalance: Index Committee Flip-Flops on Profitability

There are 3 changes for the STAR50 index and 9 for the STAR100. Some stocks will have same way flows from other index trackers. United Nova Tech is...

Brian Freitas

CES China Semiconductor Chips Index Rebalance: Adding to Impact for Some Stocks

There are 4 changes for the index in June. Biwin Storage and Beijing Yandong are adds to other indices too. If this rebalance is a repeat of...

Brian Freitas

STAR100 Index Rebalance Preview: Potential Adds Continue to Push Higher

There could be 9 changes for the STAR100 Index in June of which 3 are migrations with the STAR50. The outright adds have outperformed the outright...

Brian Freitas

STAR50 Index Rebalance Preview: Two Changes & Over US$1.2bn to Trade

With 90% of the review period complete, there should be 2 changes for the STAR50 in Sep. One-way turnover is 3.5% and the round-trip trade is over...

Brian Freitas

CSI All Share Semiconductor Index Rebalance: Lots of Changes in June

There are 17 adds and 5 deletes for the CSI All Share Semiconductors & Semiconductor Equipment Index in June. Biwin Storage is an add here apart...

Brian Freitas

STAR50/STAR100 Index Rebalance: Index Committee Flip-Flops on Profitability

There are 3 changes for the STAR50 index and 9 for the STAR100. Some stocks will have same way flows from other index trackers. United Nova Tech is...

Brian Freitas

CES China Semiconductor Chips Index Rebalance: Adding to Impact for Some Stocks

There are 4 changes for the index in June. Biwin Storage and Beijing Yandong are adds to other indices too. If this rebalance is a repeat of...

Brian Freitas

STAR100 Index Rebalance Preview: Potential Adds Continue to Push Higher

There could be 9 changes for the STAR100 Index in June of which 3 are migrations with the STAR50. The outright adds have outperformed the outright...

Brian Freitas