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

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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

<ul>
<li>Nearing the end of the review period for the December rebalance of the CSI500 Index, we forecast 50 changes (the maximum permitted) at the close on 9 December.</li>
<li>There is a big sector skew in the potential changes. We estimate a one-way turnover of 13.67% at the December rebalance leading to a one-way trade of CNY 7.53bn.</li>
<li>The potential adds have outperformed over the last 6 months but have given up some of the gains recently as market turned volatile. Expect outperformance as the review period ends.</li>
</ul>


Nearing the end of the review period for the December rebalance of the CSI500 Index, we forecast 50 changes (the maximum permitted) at the close on 9 December.
There is a big sector skew in the potential changes. We estimate a one-way turnover of 13.67% at the December rebalance leading to a one-way trade of CNY 7.53bn.
The potential adds have outperformed over the last 6 months but have given up some of the gains recently as market turned volatile. Expect outperformance as the review period ends.


Zhejiang Conba Pharmaceutical Co, Ltd. (600572 CH)

Zhejiang Longsheng Group Co., (600352 CH)

Beijing Tiantan Biological Products (600161 CH)

Universal Scientific Industrial (Shanghai) (601231 CH)

Universal Scientific Industrial (Shanghai)

BAIC BluePark New Energy Techn (600733 CH)

Guangzhou Baiyun International Airport (600004 CH)

Dongfang Electric Corporation (600875 CH)

Jiangxi Special Electric Motor A (002176 CH)

Yangzhou Yangjie Electronic Technology (300373 CH)

Jiangsu Zhongtian Technologies Co, Ltd. (600522 CH)

Haohua Chemical Science & Tech (600378 CH)

Guizhou Xinbang Pharmaceutical Co,Ltd. (002390 CH)

Sinoma Science & Technology Co., (002080 CH)

Beijing Gehua Catv Network Co, Ltd. (600037 CH)

Zhongshan Public Utilities Group (000685 CH)

China Greatwall Technology Group Co Ltd (000066 CH)

Guangdong Baolihua New Energy Stock A (000690 CH)

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

Sinomine Resource Exploration (002738 CH)

Shanghai Waigaoqiao Free Trade (600648 CH)

Shanghai Mechanical and Electr (600835 CH)

Guangdong Kinlong Hardware Pro (002791 CH)

Ningbo Orient Wires & Cables C (603606 CH)

China Merchants Expressway Net (001965 CH)

China National Accord Medicine (000028 CH)

Shanghai Bairun Investment Hol (002568 CH)

Shenzhen Suntak Circuit Techno (002815 CH)

Shanghai Environment Group Co (601200 CH)

Ming Yang Smart Energy Group L (601615 CH)

Jiangsu Zijin Rural Commercial (601860 CH)

Jiangsu Pacific Quartz Co Ltd (603688 CH)

Guangzhou Kingmed Diagnostics (603882 CH)

Guangdong Marubi Biotechnology (603983 CH)

Shenzhen Chipscreen Bioscience (688321 CH)

Everdisplay Optronics Shanghai (688538 CH)

CSI500 Index Rebalance Preview: Positioned for Outperformance

Pylon Technologies

CSI500 Index Rebalance Preview: Positioned for Outperformance