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

China: Passive Selling Expected Later This Month

China A50 ETFs Rebalance Preview: Two High Probability Changes in Sep

China A50 ETF Rebalance: Two Adds, Two Deletes, as Expected

Hong Kong: Stocks Facing the Passive Boot in August

Nikkei 225 Index Rebalance Preview (Sep 2024): Review Period Done; Fast Retailing Capping Confirmed

Yuanta/​P-Shares Taiwan Div+ ETF Rebalance Preview: Nuvoton Deletion & Positioning

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

<ul>
<li>The market turmoil over the last few trading sessions has not been kind to a simple index rebalance strategy of buying the forecast adds and selling the forecast deletes.</li>
<li>The overall returns and stock specific returns indicate that trades are more crowded in some indices as compared to others and traders should consider that when position sizing.</li>
<li>Anecdotally, periods of negative returns are followed by periods of strong returns for the strategy as weak hands are shaken out of their positions.</li>
</ul>


The market turmoil over the last few trading sessions has not been kind to a simple index rebalance strategy of buying the forecast adds and selling the forecast deletes.
The overall returns and stock specific returns indicate that trades are more crowded in some indices as compared to others and traders should consider that when position sizing.
Anecdotally, periods of negative returns are followed by periods of strong returns for the strategy as weak hands are shaken out of their positions.


How Has the Index Rebalance Strategy Performed During Market Turmoil?