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: KOSPI200, KQ150, CSI300, STAR50, SET50, China A50, HSCI, SenseTime

Additions & Deletions to KOSPI 200 and Trading Strategies Post Announcement

KOSPI200 June Index Rebalance Preview: 7 Changes as Adds Outperform Deletes

KOSPI200 Index Rebalance (March): LG Energy IN; Dongwon F&B Out

KOSPI200 June Index Rebalance Preview: High Probability Adds/Deletes

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

<ul>
<li>The review period for the June rebalance ended on Friday. The changes will be announced in around 3 weeks and will be effective after the close on 9 June.</li>
<li>We see 7 changes for the index with most of them being high probability. The potential adds have outperformed the potential deletions, but have given up some gains in April.</li>
<li>Short interest on some of the potential deletions has risen sharply over the last month and now almost equals the estimated passive selling.</li>
</ul>


The review period for the June rebalance ended on Friday. The changes will be announced in around 3 weeks and will be effective after the close on 9 June.
We see 7 changes for the index with most of them being high probability. The potential adds have outperformed the potential deletions, but have given up some gains in April.
Short interest on some of the potential deletions has risen sharply over the last month and now almost equals the estimated passive selling.


Hyundai Home Shopping Network (057050 KS)

Meritz Fire & Marine Insurance (000060 KS)

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

KOSPI200 Index Rebalance Preview (June): Review Period Ends as Reversion Kicks In

SD Biosensor

KOSPI200 Index Rebalance Preview (June): Review Period Ends as Reversion Kicks In