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: 25 Changes as Long/Short Trade Does Well

SSE50 Index Rebalance: 5 Changes; Another Inclusion for CICC

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

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

CSI300 Index Rebalance Preview: Maxing Out the Number of Changes

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)

We are nearly 95% through the review period for the June review 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>. With a large AUM in ETFs tracking the index, large open interest on the CFFEX listed futures, and volatile stocks, it could pay to look at the potential changes to the index.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.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 4.08% and will result in a one-way trade of CNY 10.8bn.The expected inclusions have outperformed 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> on a year to date basis even post the momentum selloff that started in February. Buying the inclusion basket vs selling the CSI300 futures as a hedge could provide good market neutral returns over the next few weeks.

We are nearly 95% through the review period for the June review of the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX). With a large AUM in ETFs tracking the index, large open interest on the CFFEX listed futures, and volatile stocks, it could pay to look at the potential changes to the index.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.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 4.08% and will result in a one-way trade of CNY 10.8bn.The expected inclusions have outperformed the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) on a year to date basis even post the momentum selloff that started in February. Buying the inclusion basket vs selling the CSI300 futures as a hedge could provide good market neutral returns over the next few weeks.

Hubei Biocause Pharmaceutical Co (000627 CH)

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

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

Beijing Shiji Information Technology Co., Ltd.

Guangzhou Baiyun International Airport (600004 CH)

Jiangsu Zhongtian Technologies Co, Ltd. (600522 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)

Chengdu Kanghong Pharmaceutical Group-A (002773 CH)

Guangdong Kinlong Hardware Pro (002791 CH)

Hangzhou First Applied Material-A (603806 CH)

Wuxi Lead Intelligent Equipmen (300450 CH)

Shanghai Jinjiang Internationa (600754 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: Recovering from the Growth Sell-Off