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

ETF Flows in Q1: Inflows for Taiwan, Outflows for China

HSTECH Index Rebalance: Horizon Robotics, Tencent Music Replace East Buy, ZA Online; US$2.3bn Trade

Nikkei 225 Index Rebalance: Baycurrent (6532) Replaces Mitsubishi Logistics (9301); Kokusai Elec👎

How Has the Index Rebalance Strategy Performed During Market Turmoil?

Nikkei 225 Index Rebalance: Performance of Potential Adds/Deletes & Positioning

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>We look at the performance of the index rebalance strategy over the year using weekly forecasts. In short, it has been a mixed bag for Asia.</li>
<li>India and China have been among the worst performing markets in the region while Australia and Korea have been among the better performers.</li>
<li>A lot of the outperformance appears to be front loaded, so getting the forecasts right early in the review period is of paramount importance.</li>
</ul>


We look at the performance of the index rebalance strategy over the year using weekly forecasts. In short, it has been a mixed bag for Asia.
India and China have been among the worst performing markets in the region while Australia and Korea have been among the better performers.
A lot of the outperformance appears to be front loaded, so getting the forecasts right early in the review period is of paramount importance.


Hang Seng China Enterprises Index (HSCEI INDEX)

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

Philippines Stock Exchange PSEi Index (PCOMP INDEX)

Kuala Lumpur Composite Index (KLCI) (FBMKLCI INDEX)

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

NSE Nifty Bank Index (NSEBANK INDEX EQUITY)

KraneShares CSI China Internet ETF (KWEB US)

Hang Seng TECH Index (HSTECH INDEX EQUITY)

Stock Exchange of Thailand SET 50 Index (SET50 INDEX)

S&P BSE SENSEX Index (SENSEX INDEX EQUITY)

CSI Smallcap 500 Index - Shang (SH000905 INDEX EQUITY)

NSE Nifty Next 50 Index (NIFTYJR INDEX EQUITY)

Index Rebalance Strategy YTD Performance: Not Many Places to Hide in Asia