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

China ETF Inflows & Implications: YTD Inflows Near US$100bn

ChiNext/​​​ChiNext50 Index Rebalance Preview: 22 Changes & US$700m Trade

CSI300 Index Rebalance Preview: Round-Trip Trade Tops US$6bn as ETF Creations Soar

CSI300 Index Rebalance Preview: Bounce in the Potential Deletes Could Be Short Lived

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

CSI300 Index Rebalance Preview: Potential Adds Outperforming Despite ETF Inflows

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>There could be 18 changes at the December rebalance with the Industrials sector gaining 3 index spots and the Information Technology sector losing 5 spots.</li>
<li>We estimate one-way turnover of 3.3% at the rebalance leading to a one-way trade of CNY 22.07bn (US$3bn). There are a lot of stocks with multiple days ADV to trade.</li>
<li>The potential adds have outperformed the potential deletes. There were ETF inflows last week amid a short selling crackdown as the Third Plenum kicks off.</li>
</ul>


There could be 18 changes at the December rebalance with the Industrials sector gaining 3 index spots and the Information Technology sector losing 5 spots.
We estimate one-way turnover of 3.3% at the rebalance leading to a one-way trade of CNY 22.07bn (US$3bn). There are a lot of stocks with multiple days ADV to trade.
The potential adds have outperformed the potential deletes. There were ETF inflows last week amid a short selling crackdown as the Third Plenum kicks off.


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

Hangzhou Silan Microelectronics Co., Ltd (600460 CH)

Tongling Nonferrous Metals Group (000630 CH)

Jiangsu Zhongtian Technologies Co, Ltd. (600522 CH)

Shijiazhuang Yiling Pharmaceutical (002603 CH)

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

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

Wuxi Lead Intelligent Equipmen (300450 CH)

Asymchem Laboratories Tianjin (002821 CH)

Guangzhou Shiyuan Electronic T (002841 CH)

Yunnan Botanee Bio-Technology (300957 CH)

CSI Smallcap 500 Index - Shang (SH000905 INDEX EQUITY)

Shanghai Rural Commercial Bank (601825 CH)

Sichuan Biokin Pharmaceutical (688506 CH)

CSI300 Index Rebalance Preview: 18 Changes in Dec; Third Plenum; ETF Inflows; Short Sell Crackdown

Eoptolink Technology

CSI300 Index Rebalance Preview: 18 Changes in Dec; Third Plenum; ETF Inflows; Short Sell Crackdown