Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Highly experienced ex-Delta One trader with 17 years of experience trading arbitrage and related strategies across Asian markets.

Exempt Financial Adviser (EFA) under CrossASEAN Research Pte Ltd.

It is important to note that the information provided by Periscope Analytics is based on publicly available data and own knowledge, which has been gathered and synthesized from a variety of sources. While every effort has been made to ensure the accuracy and completeness of the information provided, it is not guaranteed to be free from errors or omissions.

All forecasts and estimates are based on information that has been obtained from public sources that are considered to be reliable. The sources include, but are not limited to, company announcements, exchange filings, ETF and other passive investment vehicle holdings, and free float and volume data from third-party data providers. Periscope Analytics does not guarantee the accuracy and completeness of the forecasts, estimates and/or other information.

Pan-Asia Index Rebalances/ Events/ Delta One

ChiNext/​ChiNext50 Index Rebalance Preview: Overlapping Stocks & Recent Outperformance

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ChiNext/​​ChiNext 50 Index Rebalance: On Expected Lines as Adds Outperform Deletes

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CSI 500 Index Rebalance: 50 Changes a Side Leads to 12%+ One-Way Turnover

ChiNext/ChiNext50 Index Rebalance Preview: Overlapping Stocks & Mean Reversion

Battle Lines Drawn As BABA Builds Out First/Last-Mile Capacity; But Who Will Fund 75+ Bn CNY CapEx?

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

Hunan Zhongke Electric Co,Ltd. / Event-Driven

Hunan Zhongke Electric Co,Ltd. (300035 CH)

<ul>
<li>There will be 10 changes for the <a href="https://www.smartkarma.com/entities/chinext-price-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">Chinext Price Index</a> and 5 changes for the ChiNext 50 Index. Implementation is at the close on 9 December.</li>
<li>One surprise is the inclusion of <a href="https://www.smartkarma.com/entities/hunan-zhongke-electric-co-ltd" target="_blank" data-smartkarma-citation="entities:13009:1" rel="noopener">Hunan Zhongke Electric Co,Ltd. (300035 CH)</a> in both indices. Four stocks are adds to both indices while two stocks are deletes from both indices.</li>
<li>The adds have outperformed the deletes over the last 8 months but have given up some of the gains over the last month. There is a big sector skew.</li>
</ul>


There will be 10 changes for the Chinext Price Index and 5 changes for the ChiNext 50 Index. Implementation is at the close on 9 December.
One surprise is the inclusion of Hunan Zhongke Electric Co,Ltd. (300035 CH) in both indices. Four stocks are adds to both indices while two stocks are deletes from both indices.
The adds have outperformed the deletes over the last 8 months but have given up some of the gains over the last month. There is a big sector skew.


Beijing Cisri Gaona Materials & Tech Co (300034 CH)

Beijing E-Hualu Information Technology (300212 CH)

Bluefocus Communication Group Co, Ltd. (300058 CH)

Shenzhen Everwin Precision Technology Co (300115 CH)

Jiangsu Eastern Shenghong Co., Ltd. (000301 CH)

Sunresin New Materials Co Ltd (300487 CH)

Chengdu Kanghua Biological Pro (300841 CH)

Shandong Weifang Rainbow Chemi (301035 CH)

Ganzhou Teng Yuan Cobalt New M (301219 CH)

Luoyang Xinqianglian Slewing B (300850 CH)

ChiNext/​ChiNext 50 Index Rebalance: Materials & Industrials Take Spots from IT, Health Care

Hunan Zhongke Electric Co,Ltd.

ChiNext/​ChiNext 50 Index Rebalance: Materials & Industrials Take Spots from IT, Health Care

ChiNext/ChiNext 50 Index Rebalance: Materials & Industrials Take Spots from IT, Health Care