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 (June): Maxing Out the 30 Changes

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

CSI300 Index Rebalance: Big Sector Shift with 28 Changes

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

CSI300 Index Rebalance Preview (Dec 2021): It Was A Good Entry Point

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

Battle Lines Drawn As BABA Builds Out First/Last-Mile Capacity; But Who Will Fund 75+ Bn CNY CapEx?

Event-Driven

<ul>
<li>Nearly midway through the review period for the June rebalance of 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>, we see 29 potential changes to the index.</li>
<li>There are a lot of high and medium probability changes that could result in a one-way turnover of 4.2% and a one-way trade of CNY 10.17bn at the June rebalance.</li>
<li>The potential inclusions have underperformed the potential deletions by c.15% over the last month and this provides a good entry point into a long short/trade.</li>
</ul>


Nearly midway through the review period for the June rebalance of the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX), we see 29 potential changes to the index.
There are a lot of high and medium probability changes that could result in a one-way turnover of 4.2% and a one-way trade of CNY 10.17bn at the June rebalance.
The potential inclusions have underperformed the potential deletions by c.15% over the last month and this provides a good entry point into a long short/trade.


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)

Dawning Information Industry C (603019 CH)

DaShenLin Pharmaceutical Group (603233 CH)

Yunnan Botanee Bio-Technology (300957 CH)

CSI300 Index Rebalance Preview (June 2022): Changes Near the Midway Mark

TBEA Co Ltd A

CSI300 Index Rebalance Preview (June 2022): Changes Near the Midway Mark