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

SSE180 Index Rebalance Preview: STAR Board Stock Entry Paves Way for MSCI/FTSE Inclusion

China Equity Index Futures: Who Holds the Open Interest?

CSI300 Index Rebalance Preview: Recovering from the Growth Sell-Off

STAR Board: CSI300 Index Rebalance: Rule Change Sees STAR Board Stocks Included

CSI300 Index Rebalance Preview: 21 Changes in June, Could Be 24 in December

STAR Board: STAR50 Index Rebalance March21: Rising AUM and a New Index Make an Exciting Combination

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

Event-Driven

Beijing Kingsoft Office Softwa / Event-Driven

Beijing Kingsoft Office Softwa (688111 CH)

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.China Securities Index Co (CSI) will announce the changes end May/beginning June and the changes will be effective after the close of trading on 11 June.There were 21 changes to the index at the June 2020 review and 26 changes at the December 2020 review. We expect 30 changes at the upcoming June 2021 index review - this is the maximum number of changes that are permitted at a single review. Estimated one-way turnover is 4.56%.With passive tracking products holding around US$32bn of AUM, plus another US$53bn in open interest on the listed futures, plus active managers benchmarked to 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>, there could be significant moves in the inclusion/exclusion names from now to the end of the review period. There will only be 9-10 trading days between the announcement of the changes and the implementation, so having a pre-position should pay off. There should not be too many changes in the possible list of inclusions and exclusions due to the averaging process over the last year of trading.

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 announce the changes end May/beginning June and the changes will be effective after the close of trading on 11 June.There were 21 changes to the index at the June 2020 review and 26 changes at the December 2020 review. We expect 30 changes at the upcoming June 2021 index review - this is the maximum number of changes that are permitted at a single review. Estimated one-way turnover is 4.56%.With passive tracking products holding around US$32bn of AUM, plus another US$53bn in open interest on the listed futures, plus active managers benchmarked to the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX), there could be significant moves in the inclusion/exclusion names from now to the end of the review period. There will only be 9-10 trading days between the announcement of the changes and the implementation, so having a pre-position should pay off. There should not be too many changes in the possible list of inclusions and exclusions due to the averaging process over the last year of trading.

Hubei Biocause Pharmaceutical Co (000627 CH)

Shanxi Meijin Energy Co, Ltd. (000723 CH)

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

Guangzhou Baiyun International Airport (600004 CH)

Kingray New Materials Science & Tech Co (600390 CH)

Jiangsu Zhongnan Construction (000961 CH)

China Grand Automotive Services (600297 CH)

China National Chemical Engineering Company A (601117 CH)

China National Chemical Engineering Company A

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

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

Guangdong Kinlong Hardware Pro (002791 CH)

Hangzhou First Applied Material-A (603806 CH)

Wuxi Lead Intelligent Equipmen (300450 CH)

Shanghai Bairun Investment Hol (002568 CH)

Qingdao Rural Commercial Bank (002958 CH)

Hebei Yangyuan Zhihui Beverage (603156 CH)

DaShenLin Pharmaceutical Group (603233 CH)

Guangzhou Kingmed Diagnostics (603882 CH)

National Silicon Industry Grou (688126 CH)

China Resources Microelectroni (688396 CH)

CSI300 Index Rebalance Preview: Maxing Out the Number of Changes