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

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CSI300 Index Rebalance Preview: Large Turnover as Potential Inclusions Keep Rallying

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Event-Driven

Contemporary Amperex Technology (CATL) / Event-Driven

Contemporary Amperex Technology (CATL) (300750 CH)

<div><p>The <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a> consists of stocks from the Shanghai Stock Exchange and the Shenzhen Stock Exchange and is one of the most widely tracked A-share indices with passive tracking products listed in multiple markets globally. There are CFFEX listed futures that trade actively as well.</p></div><div>
<p>China Securities Index Co (CSI) will most likely announce the changes for the December rebalance after market close on 26 November and the changes will be effective after the close of trading on 10 December.</p>
<p>With over 90% of the review period complete, we see 26 potential changes at the upcoming December 2021 review. Estimated one-way turnover at the rebalance is 9.30% and will result in a one-way trade of slightly less than US$3bn.</p>
<p>The potential inclusions have outperformed the potential exclusions over the last 3 months but have given up a large part of the gains over the last couple of weeks. Given the trading history of past rebalances, we recommend buying the potential inclusions and selling the potential exclusions over the next couple of weeks and unwinding the positions post the end of the review period. There will then be more trading opportunities as we near the announcement date and implementation date.</p>
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The Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) consists of stocks from the Shanghai Stock Exchange and the Shenzhen Stock Exchange and is one of the most widely tracked A-share indices with passive tracking products listed in multiple markets globally. There are CFFEX listed futures that trade actively as well.
China Securities Index Co (CSI) will most likely announce the changes for the December rebalance after market close on 26 November and the changes will be effective after the close of trading on 10 December.
With over 90% of the review period complete, we see 26 potential changes at the upcoming December 2021 review. Estimated one-way turnover at the rebalance is 9.30% and will result in a one-way trade of slightly less than US$3bn.
The potential inclusions have outperformed the potential exclusions over the last 3 months but have given up a large part of the gains over the last couple of weeks. Given the trading history of past rebalances, we recommend buying the potential inclusions and selling the potential exclusions over the next couple of weeks and unwinding the positions post the end of the review period. There will then be more trading opportunities as we near the announcement date and implementation date.


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

Beijing Shunxin Agriculture A (000860 CH)

China Shipbuilding Industry Group Power (600482 CH)

Beijing Shiji Information Technology Co., Ltd. (002153 CH)

Beijing Shiji Information Technology Co., Ltd.

Jiangsu Zhongtian Technologies Co, Ltd. (600522 CH)

Zhejiang Jingsheng Mechanical & Electr (300316 CH)

Jiangsu Eastern Shenghong Co., Ltd. (000301 CH)

Zhejiang Huahai Pharmaceutical Co, Ltd. (600521 CH)

Guangzhou Tinci Materials Technlgy (002709 CH)

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

Chengdu Kanghong Pharmaceutical Group-A (002773 CH)

Guangdong Kinlong Hardware Pro (002791 CH)

Shenzhen Mindray Bio-Medical Electronics (300760 CH)

China Three Gorges Renewables (600905 CH)

Shanghai Bairun Investment Hol (002568 CH)

Chongqing Rural Commercial Ban (601077 CH)

Semiconductor Manufacturing International Corporation (SMIC) (688981 CH)

Semiconductor Manufacturing International Corporation (SMIC)

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