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: Big Sector Shift with 28 Changes

CSI300 Index Rebalance Preview: Outperformance Continues & Could Keep Going

SSE50 Index Rebalance Preview: Sector Rotation To Continue

CSI300 Index Rebalance Preview (Dec 2021): Pullback Provides Entry Point

CSI300 Index Rebalance Preview (June): Maxing Out the 30 Changes

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

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>We expect the maximum permitted 30 changes at a single review to take place at the June rebalance. Most changes are high probability.</li>
<li>We estimate a one-way turnover of 4.25% at the rebalance leading to a one-way trade of CNY 10.677bn.</li>
<li>Industrials, Information Technology and Materials sectors are expected to have the most net inclusions, while Health Care and Financials are expected to have the most net deletions.</li>
</ul>


We expect the maximum permitted 30 changes at a single review to take place at the June rebalance. Most changes are high probability.
We estimate a one-way turnover of 4.25% at the rebalance leading to a one-way trade of CNY 10.677bn.
Industrials, Information Technology and Materials sectors are expected to have the most net inclusions, while Health Care and Financials are expected to have the most net deletions.


Shanghai Electric Group Company (601727 CH)

Shanghai Pharmaceuticals Holding (601607 CH)

Universal Scientific Industrial (Shanghai) (601231 CH)

Universal Scientific Industrial (Shanghai)

Hangzhou Silan Microelectronics Co., Ltd (600460 CH)

Meinian Onehealth Healthcare H (002044 CH)

Songcheng Performance Development (300144 CH)

China National Chemical Engineering Company A (601117 CH)

China National Chemical Engineering Company A

Changjiang Securities Company (000783 CH)

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

China Railway Signal & Communi (688009 CH)

DaShenLin Pharmaceutical Group (603233 CH)

Yunnan Botanee Bio-Technology (300957 CH)

Shanghai Rural Commercial Bank (601825 CH)

CSI300 Index Rebalance Preview: 30 Potential Changes as Sector Rotation Continues

SG Micro

CSI300 Index Rebalance Preview: 30 Potential Changes as Sector Rotation Continues