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

CSI 1000 Index Rebalance Preview: 100 Changes; 10% Turnover; US$4bn Round-Trip Trade

CSI300 Index Rebalance Preview: Rising Markets and ETF Creations Take Round-Trip Trade to US$8.5bn

CSI Liquor/ Alcoholic Drink Index Rebalance Preview: Getting Tipsy with It

CSI300 Index Rebalance Preview: 18 Changes in Dec; Third Plenum; ETF Inflows; Short Sell Crackdown

CSI500 Index Rebalance Preview: Potential Adds Rally and Outperform the Potential Deletes

China ETF Inflows & Implications: YTD Inflows Near US$100bn

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

Index Rebalance

China Shipbuilding Industry Group Power / Index Rebalance

China Shipbuilding Industry Group Power (600482 CH)

<ul>
<li>There could be 17 changes at the December rebalance with the Industrials sector gaining 3 index spots and the Information Technology sector losing 3 spots.</li>
<li>We estimate one-way turnover of 2.9% at the rebalance leading to a one-way trade of CNY 21.96bn (US$3.1bn). There are 22 stocks with over 3x ADV to trade.</li>
<li>Impact on the stocks has increased as creations in ETFs linked to the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> continue. That flow will reverse from the deletions in the next few months.</li>
</ul>


There could be 17 changes at the December rebalance with the Industrials sector gaining 3 index spots and the Information Technology sector losing 3 spots.
We estimate one-way turnover of 2.9% at the rebalance leading to a one-way trade of CNY 21.96bn (US$3.1bn). There are 22 stocks with over 3x ADV to trade.
Impact on the stocks has increased as creations in ETFs linked to the CSI 300 Index continue. That flow will reverse from the deletions in the next few months.


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

Shijiazhuang Yiling Pharmaceutical (002603 CH)

China Zhenhua (Group) Science & Tech (000733 CH)

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

Wuxi Lead Intelligent Equipmen (300450 CH)

Asymchem Laboratories Tianjin (002821 CH)

Guangzhou Shiyuan Electronic T (002841 CH)

Yunnan Botanee Bio-Technology (300957 CH)

CSI Smallcap 500 Index - Shang (SH000905 INDEX EQUITY)

Shanghai Rural Commercial Bank (601825 CH)

Sichuan Biokin Pharmaceutical (688506 CH)

CSI300 Index Rebalance Preview: Round-Trip Trade Tops US$6bn as ETF Creations Soar