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

CSI300 Index Rebalance Preview: 13 Potential Changes in December

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CSI500 Index Rebalance Preview: Potential Adds Outperforming Potential Deletes

CSI300 Index Rebalance: Methodology Tweak Results in More Changes & Larger Turnover

CSI300 Index Rebalance Preview: Early Look at Potential Changes in December

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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

Index Rebalance

<ul>
<li>Over 85% of the way through the review period, we see 14 potential index changes at the December rebalance that will be implemented at the close on 8 December.</li>
<li>We estimate a one-way turnover of 1.93% at the December rebalance leading to a one-way trade of CNY 6.93bn.</li>
<li>The huge inflow to passive trackers has led to the gap between the potential adds and deletes narrowing. That should reverse as passive will need to sell the deletes.</li>
</ul>


Over 85% of the way through the review period, we see 14 potential index changes at the December rebalance that will be implemented at the close on 8 December.
We estimate a one-way turnover of 1.93% at the December rebalance leading to a one-way trade of CNY 6.93bn.
The huge inflow to passive trackers has led to the gap between the potential adds and deletes narrowing. That should reverse as passive will need to sell the deletes.


Shanxi Meijin Energy Co, Ltd. (000723 CH)

China Resources Sanjiu Medical & Pharma (000999 CH)

Inner Mngl Jnzhng Eng & Cmci Gp (601216 CH)

China Avionics Systems Co., Ltd. (600372 CH)

Jiangsu Zhongtian Technologies Co, Ltd. (600522 CH)

Shijiazhuang Yiling Pharmaceutical (002603 CH)

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

Ningbo Ronbay New Energy Techn (688005 CH)

Shenzhen Kangtai Biological Pr (300601 CH)

Shanghai United Imaging Health (688271 CH)

Hygon Information Technology C (688041 CH)

CSI300 Index Rebalance Preview: 14 Potential Changes in December

Empyrean Technology

CSI300 Index Rebalance Preview: 14 Potential Changes in December