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

CSI Liquor/ Alcoholic Drink Index Rebalance: Capping to Drive Larger Flows

CSI300 Index Rebalance Preview: Rising Markets and ETF Creations Take Round-Trip Trade to US$8.5bn

China ETF Inflows & Implications: YTD Inflows Nearing US$150bn

CSI300/CSI500 Index Rebalance: Big Flows and US$5bn Round-Trip Trade

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>There are 16 changes for the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a>, 50 changes for the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500 Index</a> and 100 changes for the CSI1000 Index that will be implemented on 13 December.</li>
<li>There are 257 unique names that are adds or deletes and the round-trip trade across all 3 indices is close to US$9bn.</li>
<li>Stocks with the largest inflows and impact have outperformed stocks with the largest outflows and impact over the last few weeks. That could continue for the next couple of weeks.</li>
</ul>


There are 16 changes for the CSI 300 Index, 50 changes for the CSI 500 Index and 100 changes for the CSI1000 Index that will be implemented on 13 December.
There are 257 unique names that are adds or deletes and the round-trip trade across all 3 indices is close to US$9bn.
Stocks with the largest inflows and impact have outperformed stocks with the largest outflows and impact over the last few weeks. That could continue for the next couple of weeks.


Wus Printed Circuit (Kunshan) Co,Ltd. (002463 CH)

China Shipbuilding Industry Group Power (600482 CH)

Tongling Nonferrous Metals Group (000630 CH)

Shijiazhuang Yiling Pharmaceutical (002603 CH)

China Zhenhua (Group) Science & Tech (000733 CH)

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

Asymchem Laboratories Tianjin (002821 CH)

Guangzhou Shiyuan Electronic T (002841 CH)

Chongqing Rural Commercial Ban (601077 CH)

Yunnan Botanee Bio-Technology (300957 CH)

CSI Smallcap 500 Index - Shang (SH000905 INDEX EQUITY)

Sichuan Biokin Pharmaceutical (688506 CH)

CSI300/CSI500/CSI1000 Index Rebalance: US$9bn Round-Trip Trade

Sieyuan Electric Co Ltd A

CSI300/CSI500/CSI1000 Index Rebalance: US$9bn Round-Trip Trade