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

Sichuan Biokin Pharmaceutical / Event-Driven

<ul>
<li>As expected, the index committee has used a 6-month minimum listing history and that results in one change 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 December.</li>
<li>
<a href="https://www.smartkarma.com/entities/sichuan-biokin-pharmaceutical-co-ltd" target="_blank" data-smartkarma-citation="entities:40027:1" rel="noopener">Sichuan Biokin Pharmaceutical (688506 CH)</a> will replace <a href="https://www.smartkarma.com/entities/ninebot-ltd" target="_blank" data-smartkarma-citation="entities:32180:1" rel="noopener">Ninebot (689009 CH)</a> in the index at the close on 8 December.</li>
<li>One way turnover is estimated at 2.18% and will result in a one-way trade of CNY 3,065m. <a href="https://www.smartkarma.com/entities/sichuan-biokin-pharmaceutical-co-ltd" target="_blank" data-smartkarma-citation="entities:40027:1" rel="noopener">Sichuan Biokin Pharmaceutical (688506 CH)</a> has moved up and there will be pre-positioning.</li>
</ul>


As expected, the index committee has used a 6-month minimum listing history and that results in one change to the SSE STAR50 (STAR50 INDEX) in December.

Sichuan Biokin Pharmaceutical (688506 CH) will replace Ninebot (689009 CH) in the index at the close on 8 December.
One way turnover is estimated at 2.18% and will result in a one-way trade of CNY 3,065m. Sichuan Biokin Pharmaceutical (688506 CH) has moved up and there will be pre-positioning.


STAR50 Index Rebalance: Big Impact Expected; Inclusion Up 40% in One Month

<ul>
<li>With the review period complete, we expect one change 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">STAR50 INDEX</a> in December if the index committee continues to use a 6-month minimum listing history.</li>
<li>With net inflows to mainland China ETFs over the last few months, passive trackers will need to trade between 9-25 days of ADV on the potential add and delete.</li>
<li>
<a href="https://www.smartkarma.com/entities/semiconductor-manufacturing-in" target="_blank" data-smartkarma-citation="entities:31062:1" rel="noopener">SMIC (688981 CH)</a> will be capped and there will be reverse funding flows on the index constituents. One-way turnover is estimated at 1.8% resulting in a one-way trade of CNY2,580m.</li>
</ul>


With the review period complete, we expect one change for the STAR50 INDEX in December if the index committee continues to use a 6-month minimum listing history.
With net inflows to mainland China ETFs over the last few months, passive trackers will need to trade between 9-25 days of ADV on the potential add and delete.

SMIC (688981 CH) will be capped and there will be reverse funding flows on the index constituents. One-way turnover is estimated at 1.8% resulting in a one-way trade of CNY2,580m.


STAR50 Index Rebalance Preview: Big Impact Expected on the Changes

<ul>
<li>The coming week has a lot of review periods ending - <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a>, <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150</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</a>, <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500</a>, <a href="https://www.smartkarma.com/entities/shanghai-stock-exchange-sse-50-a-share-index" target="_blank" data-smartkarma-citation="entities:31073:1" rel="noopener">SSE50</a>, <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">STAR50</a>, <a href="https://www.smartkarma.com/entities/chinext-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">ChiNext</a> and <a href="https://www.smartkarma.com/entities/s-p-bse-sensex-index" target="_blank" data-smartkarma-citation="entities:31494:1" rel="noopener">SENSEX</a>, among others.</li>
<li>The <a href="https://www.smartkarma.com/entities/tokyo-stock-exchange-tokyo-price-index-topix" target="_blank" data-smartkarma-citation="entities:22910:1" rel="noopener">TOPIX</a> rebalance will be implemented on Monday while the <a href="https://www.smartkarma.com/entities/global-x-lithium-battery-tech-etf" target="_blank" data-smartkarma-citation="entities:32745:1" rel="noopener">Global X Lithium &amp; Battery Tech ETF (LIT US)</a> and IDX indices will rebalance at the close on Tuesday.</li>
<li>There were outflows from Emerging Market ETFs including <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets" target="_blank" data-smartkarma-citation="entities:438:1" rel="noopener">iShares Emerging Markets (EEM)</a>, <a href="https://www.smartkarma.com/entities/ishares-core-msci-emerging-mar" target="_blank" data-smartkarma-citation="entities:32967:1" rel="noopener">iShares Core Emerging Mar (IEMG),</a> <a href="https://www.smartkarma.com/entities/schwab-emerging-markets-equi" target="_blank" data-smartkarma-citation="entities:32879:1" rel="noopener">Schwab Emerging Markets Equi (SCHE)</a> and <a href="https://www.smartkarma.com/entities/ishares-edge-msci-min-vol-emerging-markets-etf" target="_blank" data-smartkarma-citation="entities:725:1" rel="noopener">IShares Edge Min Vol Emerging Markets ETF (EEMV)</a>.</li>
</ul>


The coming week has a lot of review periods ending - KOSPI 200, KOSDAQ 150, CSI 300, CSI 500, SSE50, STAR50, ChiNext and SENSEX, among others.
The TOPIX rebalance will be implemented on Monday while the Global X Lithium &amp; Battery Tech ETF (LIT US) and IDX indices will rebalance at the close on Tuesday.
There were outflows from Emerging Market ETFs including iShares Emerging Markets (EEM), iShares Core Emerging Mar (IEMG), Schwab Emerging Markets Equi (SCHE) and IShares Edge Min Vol Emerging Markets ETF (EEMV).


Index Rebalance & ETF Flow Recap: KS200, KQ150, Yuanta Div+, LIT, HSCI, IDX, Japan Positioning

Brilliance China Automotive / Event-Driven

<ul>
<li>It was a busy Friday with a bunch of indices rebalancing at the close and big volumes trading on a lot of stocks.</li>
<li>
<a href="https://www.smartkarma.com/entities/brilliance-china-automotive" target="_blank" data-smartkarma-citation="entities:469:1" rel="noopener">Brilliance China Automotive (1114 HK)</a> had a good week with the stock rallying on Thursday and Friday on huge volumes amid expectations of upcoming passive buying.</li>
<li>A quiet week for ETFs with mainland China ETFs seeing some outflows after the huge inflows over the last couple of months.</li>
</ul>


It was a busy Friday with a bunch of indices rebalancing at the close and big volumes trading on a lot of stocks.

Brilliance China Automotive (1114 HK) had a good week with the stock rallying on Thursday and Friday on huge volumes amid expectations of upcoming passive buying.
A quiet week for ETFs with mainland China ETFs seeing some outflows after the huge inflows over the last couple of months.


Index Rebalance & ETF Flow Recap: HSCEI, HSTECH, CSI500, STAR50, FnGuide Top10

<ul>
<li>The review period for the December rebalance ends 31 October. We expect the changes to be announced 24 November with the implementation taking place after the close on 8 December.</li>
<li>We expect the index committee to continue using a 6-month minimum listing history resulting in one change to the index.</li>
<li>One way turnover is estimated at 1.6% resulting in a one-way trade of CNY 2,259m. The impact on the deletion will be much larger than that on the inclusion.</li>
</ul>


The review period for the December rebalance ends 31 October. We expect the changes to be announced 24 November with the implementation taking place after the close on 8 December.
We expect the index committee to continue using a 6-month minimum listing history resulting in one change to the index.
One way turnover is estimated at 1.6% resulting in a one-way trade of CNY 2,259m. The impact on the deletion will be much larger than that on the inclusion.


STAR50 Index Rebalance Preview: Bigger Tracking AUM = Bigger Impact

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: Big Impact Expected; Inclusion Up 40% in One Month

There is 1 change for the index resulting in 1-way turnover of 2.18% and 1-way trade of CNY3.07bn. The add is up 40% over the last month and there...

Brian Freitas

STAR50 Index Rebalance Preview: Big Impact Expected on the Changes

There could be 1 index change in Dec. The ETF inflows over the last few months results in passives needing to trade 9-25x ADV on the add/delete....

Brian Freitas

Index Rebalance & ETF Flow Recap: KS200, KQ150, Yuanta Div+, LIT, HSCI, IDX, Japan Positioning

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

Brian Freitas

Index Rebalance & ETF Flow Recap: HSCEI, HSTECH, CSI500, STAR50, FnGuide Top10

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

Brian Freitas

STAR50 Index Rebalance Preview: Bigger Tracking AUM = Bigger Impact

There could be one change in December resulting in a one-way turnover of 1.6% and a one-way trade of CNY 2,259m. The impact of passive trading on...

Brian Freitas