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

ChiNext/ChiNext50 Index Rebalance Preview: Overlapping Stocks & Mean Reversion

Index Rebalance & ETF Flow Recap: TW Div+, CSI500, ChiNext, SSE180, KS200, KQ150, FTSE CH50, AMFI

CSI 500 Index Rebalance: 50 Changes a Side Leads to 12%+ One-Way Turnover

CSI500 Index Rebalance Preview: Positioned for Outperformance

CSI300 Index Rebalance Preview: Outperformance Continues & Could Keep Going

CSI300 Index Rebalance Preview: Potential Changes and Close Names

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

Haohua Chemical Science & Tech / Event-Driven

Haohua Chemical Science & Tech (600378 CH)

<ul>
<li>With a day left in the review period, we forecast 50 changes (the maximum permitted) for the CSI500 Index at the close on 9 December.</li>
<li>We estimate a one-way turnover of 13.53% at the December rebalance leading to a one-way trade of CNY 8.01bn. The Materials, Consumer Discretionary and Information Technology sectors are net gainers.</li>
<li>The potential adds and potential deletes have performed in line over the last few weeks, and we'd look to position for outperformance post the end of the review period.</li>
</ul>


With a day left in the review period, we forecast 50 changes (the maximum permitted) for the CSI500 Index at the close on 9 December.
We estimate a one-way turnover of 13.53% at the December rebalance leading to a one-way trade of CNY 8.01bn. The Materials, Consumer Discretionary and Information Technology sectors are net gainers.
The potential adds and potential deletes have performed in line over the last few weeks, and we'd look to position for outperformance post the end of the review period.


Zhejiang Conba Pharmaceutical Co, Ltd. (600572 CH)

Zhejiang Longsheng Group Co., (600352 CH)

Xizang Haisco Pharmaceutical Group Co (002653 CH)

CSI500 Index Rebalance Preview: 50 Adds/Deletes in December