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

ChiNext/​​​ChiNext50 Index Rebalance Preview: Potential Changes & Basket Performance

ChiNext/​​​ChiNext50 Index Rebalance Preview: Sector Rotation Continues

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

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

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

<ul>
<li>With 1 trading day left in the review period, we forecast 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 (SZ399006 INDEX)</a> and 5 changes for the ChiNext 50 Index in June.</li>
<li>Passive trackers are estimated to trade around +/-0.5 days ADV on most of the potential adds/deletes, though there are some deletes that will have over 1 day ADV to sell.</li>
<li>The potential inclusion to one or both indices have outperformed the potential deletes by a huge margin in the last month. We'd be inclined to trim positions.</li>
</ul>


With 1 trading day left in the review period, we forecast 10 changes for the Chinext Price Index (SZ399006 INDEX) and 5 changes for the ChiNext 50 Index in June.
Passive trackers are estimated to trade around +/-0.5 days ADV on most of the potential adds/deletes, though there are some deletes that will have over 1 day ADV to sell.
The potential inclusion to one or both indices have outperformed the potential deletes by a huge margin in the last month. We'd be inclined to trim positions.


Hunan Zhongke Electric Co,Ltd. (300035 CH)

Zhejiang Narada Power Source Co, Ltd. (300068 CH)

Wens Foodstuff Group Co., Ltd. (300498 CH)

Range Intelligent Computing Te (300442 CH)

Shenzhen Yinghe Technology Co (300457 CH)

Pharmablock Sciences (Nanjing)-A (300725 CH)

Huabao Flavours & Fragrances C (300741 CH)

Wuhan Raycus Fiber Laser Techn (300747 CH)

Konfoong Materials Internation (300666 CH)

Beijing Compass Technology Dev (300803 CH)

Shandong Dongyue Organosilicon (300821 CH)

Yunnan Botanee Bio-Technology (300957 CH)

Jiangsu Haili Wind Power Equip (301155 CH)

Ganzhou Teng Yuan Cobalt New M (301219 CH)

ChiNext/​​ChiNext50 Index Rebalance Preview: Outperformance Maintained

Zhongji Innolight

ChiNext/ChiNext50 Index Rebalance Preview: Outperformance Maintained

Zhongji Innolight

ChiNext/​​ChiNext50 Index Rebalance Preview: Outperformance Maintained

ChiNext/ChiNext50 Index Rebalance Preview: Outperformance Maintained