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 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...

<ul>
<li>There could be 3 or 5 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">STAR50 INDEX</a> in June depending on the minimum listing history (6 months or 12 months) used by the index committee.</li>
<li>
<a href="https://www.smartkarma.com/entities/jinko-solar-co-ltd" target="_blank" data-smartkarma-citation="entities:35715:1" rel="noopener">Jinko Solar (688223 CH)</a> is a high probability inclusion while <a href="https://www.smartkarma.com/entities/shanghai-microport-endovascular-medtech-a" target="_blank" data-smartkarma-citation="entities:30310:1" rel="noopener">Shanghai Microport Endovascular MedTech (688016 CH)</a>, <a href="https://www.smartkarma.com/entities/arcsoft-corp-ltd" target="_blank" data-smartkarma-citation="entities:30335:1" rel="noopener">ArcSoft Corp Ltd (688088 CH)</a> and <a href="https://www.smartkarma.com/entities/dbapp-security-ltd" target="_blank" data-smartkarma-citation="entities:30316:1" rel="noopener">DBAPP Security Ltd (688023)</a> are high probability deletions.</li>
<li>Stocks performance over the last couple of months indicates the market is assigning a higher probability to the index committee using a 12 month minimum listing history.</li>
</ul>


There could be 3 or 5 changes to the STAR50 INDEX in June depending on the minimum listing history (6 months or 12 months) used by the index committee.

Jinko Solar (688223 CH) is a high probability inclusion while Shanghai Microport Endovascular MedTech (688016 CH), ArcSoft Corp Ltd (688088 CH) and DBAPP Security Ltd (688023) are high probability deletions.
Stocks performance over the last couple of months indicates the market is assigning a higher probability to the index committee using a 12 month minimum listing history.


STAR50 Index Rebalance Preview: 3 Changes or 5? It Depends...

<ul>
<li>In keeping with tradition, the SSE and CSI have continued to use a 6 month minimum listing history. No one remembers how or why it started, but it carries on.</li>
<li>There are only 10 trading days to implementation and passive funds will need to trade multiple days of ADV on the inclusions and exclusions.</li>
<li>The adds, deletes 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> have moved in lockstep since November. The CSI500 Index has outperformed over the period opening up a trading opportunity.</li>
</ul>


In keeping with tradition, the SSE and CSI have continued to use a 6 month minimum listing history. No one remembers how or why it started, but it carries on.
There are only 10 trading days to implementation and passive funds will need to trade multiple days of ADV on the inclusions and exclusions.
The adds, deletes and the SSE STAR50 (STAR50 INDEX) have moved in lockstep since November. The CSI500 Index has outperformed over the period opening up a trading opportunity.


STAR50 Index Rebalance: Index Committees Just Wanna Have Fun

<ul>
<li>The review period ended last week. There will either be 4 or 5 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> depending on the minimum listing history period used.</li>
<li>
<a href="https://www.smartkarma.com/entities/shanghai-medicilon-inc" target="_blank" data-smartkarma-citation="entities:30368:1" rel="noopener">Shanghai Medicilon Inc (688202 CH)</a> is a high probability inclusion while there are 4 high probability deletions, irrespective of the minimum listing history period used.</li>
<li>The potential inclusions have continued to drop and have underperformed the potential deletions. The next couple of weeks could see a reversal in that trend.</li>
</ul>


The review period ended last week. There will either be 4 or 5 changes to the SSE STAR50 (STAR50 INDEX) depending on the minimum listing history period used.

Shanghai Medicilon Inc (688202 CH) is a high probability inclusion while there are 4 high probability deletions, irrespective of the minimum listing history period used.
The potential inclusions have continued to drop and have underperformed the potential deletions. The next couple of weeks could see a reversal in that trend.


STAR50 Index Rebalance Preview (March 2022): Falling Knives

<ul>
<li>The main question, for yet another rebalance, is whether the index committee chooses a 6 month minimum listing history or increases it to 12 months in line with the methodology.</li>
<li>That decision will result in either 4 or 5 changes at the rebalance. The deletions remain the same, while there is only 1 inclusion common across both lists.</li>
<li>There is a fair bit to trade on the potential inclusions and exclusions and we expect the inclusions to outperform the deletions over the next couple of months.</li>
</ul>


The main question, for yet another rebalance, is whether the index committee chooses a 6 month minimum listing history or increases it to 12 months in line with the methodology.
That decision will result in either 4 or 5 changes at the rebalance. The deletions remain the same, while there is only 1 inclusion common across both lists.
There is a fair bit to trade on the potential inclusions and exclusions and we expect the inclusions to outperform the deletions over the next couple of months.


STAR50 Index Rebalance Preview (March 2022): What Will The Index Committee Do?

China

Suzhou Nanomicro Technology Co.,Ltd produces and sells microspheres materials. The Company manufactures and sells nickel-plated resin microspheres, gold-plated resin microspheres, light diffusing microspheres, and other products. Suzhou Nanomicro Technology markets its products worldwide.

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Suzhou Nanomicro Technology (688690 CH)

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

STAR50 Index Rebalance Preview: 3 Changes or 5? It Depends...

There could be 3/5 changes in June depending on whether the index committee uses a 12/6 month minimum listing history. The market is assigning a...

Brian Freitas

STAR50 Index Rebalance: Index Committees Just Wanna Have Fun

The index committee has used a 6 month minimum listing history again when they should have used 12. All stocks have performed terribly & passive...

Brian Freitas

STAR50 Index Rebalance Preview (March 2022): Falling Knives

There could be 4 or 5 changes to the index in March depending on the minimum listing history used. Turnover will be around 5% and the impact on the...

Brian Freitas

STAR50 Index Rebalance Preview (March 2022): What Will The Index Committee Do?

There could be 4 or 5 changes to the STAR50 Index at the March rebalance depending on whether the index committee uses a 6 month or 12 month...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)