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

Index Rebalance & ETF Flow Recap: MSCI, CSI500, XIN9I, DTAC/TRUE, Newcrest, Adani, Korea Spinoffs

CSI500 Index Rebalance Preview: Potential Changes as Review Period Nears Completion

CSI500 Index Rebalance: Adds Starting to Outperform

CSI300 Index Rebalance Preview: Early Look at Potential Changes in June

CSI500 Index Rebalance Preview: 50 Adds/Deletes in December

CSI500 Index Rebalance Preview: Positioned for Outperformance

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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

Jiangxi Special Electric Motor A / Event-Driven

Jiangxi Special Electric Motor A (002176 CH)

<ul>
<li>Three quarters of the way through the review period for the June rebalance of the CSI500 Index, we forecast 50 changes (the maximum permitted) at the close on 9 June.</li>
<li>There is a big sector skew in the potential changes. We estimate a one-way turnover of 11.47% at the June rebalance resulting in a one-way trade of CNY 10.11bn.</li>
<li>The potential adds have outperformed the potential deletes and the CSI500 Index over the last few weeks. There could be more outperformance till nearer the end of the review period.</li>
</ul>


Three quarters of the way through the review period for the June rebalance of the CSI500 Index, we forecast 50 changes (the maximum permitted) at the close on 9 June.
There is a big sector skew in the potential changes. We estimate a one-way turnover of 11.47% at the June rebalance resulting in a one-way trade of CNY 10.11bn.
The potential adds have outperformed the potential deletes and the CSI500 Index over the last few weeks. There could be more outperformance till nearer the end of the review period.


Shanghai Pharmaceuticals Holding (601607 CH)

Yunnan Wenshan Electric Power Co,Ltd. (600995 CH)

Inspur Electronic Infmtn Indtry (000977 CH)

Jinyu Bio-Technology Co., Ltd. (600201 CH)

Gansu Jiu Steel Group Hongxing Iron (600307 CH)

Zhejiang Shangfeng Industrial (000967 CH)

Ningbo Huaxiang Electronic Co, Ltd. (002048 CH)

Inner Mngl Jnzhng Eng & Cmci Gp (601216 CH)

BAIC BluePark New Energy Techn (600733 CH)

Shanxi Lu'An Environmental Energy Dev.Co (601699 CH)

Guangzhou Baiyun International Airport (600004 CH)

Jiangsu Xinmin Textile Sci & Tech (002127 CH)

Beijing Sanju Ep& New Materials (300072 CH)

Jiangsu Zhongnan Construction (000961 CH)

Shenzhen Jinjia Color Printing Gp (002191 CH)

Shijiazhuang Yiling Pharmaceutical (002603 CH)

Asia - Potash International In (000893 CH)

Zj Wanliyang Transmission Co, Ltd. (002434 CH)

Fujian Star Net Communication Co,Ltd. (002396 CH)

China Greatwall Technology Group Co Ltd (000066 CH)

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

Shanghai Waigaoqiao Free Trade (600648 CH)

Guangdong Kinlong Hardware Pro (002791 CH)

Range Intelligent Computing Te (300442 CH)

Ningbo Orient Wires & Cables C (603606 CH)

Dawning Information Industry C (603019 CH)

COSCO SHIPPING Energy Transpor (600026 CH)

Beijing United Information Tec (603613 CH)

Jiangsu Pacific Quartz Co Ltd (603688 CH)

Fujian Kuncai Material Technol (603826 CH)

Guangzhou Kingmed Diagnostics (603882 CH)

Zhongfu Shenying Carbon Fiber (688295 CH)

CSI500 Index Rebalance Preview: Potential Adds Continuing to Outperform