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

CSI500 Index Rebalance Preview: Potential Adds Continuing to Outperform

Index Rebalance & ETF Flow Recap: MSCI, CSI500, XIN9I, DTAC/TRUE, Newcrest, Adani, Korea Spinoffs

CSI300 Index Rebalance Preview: Narrowing the Gap

CSI300 Index Rebalance: The Surprises Could Outperform

CSI300 Index Rebalance Preview: Potential Changes and Close Names

CSI300 Index Rebalance Preview: Outperformance Continues & Could Keep Going

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>Two thirds of the way through the review period, we see 15 potential index changes at the June rebalance that will be implemented at the close on 9 June.</li>
<li>We estimate a one-way turnover of 2.35% at the June rebalance leading to a one-way trade of CNY 5.57bn.</li>
<li>The potential adds have outperformed the potential deletes and 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> over the last six months, though there is some near-term deterioration.</li>
</ul>


Two thirds of the way through the review period, we see 15 potential index changes at the June rebalance that will be implemented at the close on 9 June.
We estimate a one-way turnover of 2.35% at the June rebalance leading to a one-way trade of CNY 5.57bn.
The potential adds have outperformed the potential deletes and the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) over the last six months, though there is some near-term deterioration.


Shanghai Electric Group Company (601727 CH)

Inspur Electronic Infmtn Indtry (000977 CH)

Inner Mngl Jnzhng Eng & Cmci Gp (601216 CH)

Dongfang Electric Corporation (600875 CH)

Jiangsu Zhongtian Technologies Co, Ltd. (600522 CH)

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

Dawning Information Industry C (603019 CH)

Shanghai Jinjiang Internationa (600754 CH)

Guangzhou Kingmed Diagnostics (603882 CH)

Shanghai Rural Commercial Bank (601825 CH)

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

Jinko Solar

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