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: CSI300/500, Chinext, China Semi Chips, Nifty Next50, SET50, REMX

MVIS Global Rare Earth/​​​​Strategic Metals Index Rebalance: Three Adds; Float & Capping Changes

MVIS Global Rare Earth/​​​​​​​​Strategic Metals Index Rebalance Preview: A Week to Go

MVIS Global Rare Earth/​​​​​​Strategic Metals Index Rebalance Preview: Identifying Potential Changes

Liontown Resources (LTR AU) Turns Down Albemarle's A$2.5/Share Offer

MVIS Global Rare Earth/​​​Strategic Metals Index Rebalance Preview: Stocks Plunge as Cutoff Passes

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 31 May. Announcement of the changes will be made on 9 June with implementation at the close on 16 June.</li>
<li>There could be 3 or 4 A-share additions due to their inclusion in Northbound Stock Connect. That in turn expands the index universe and could result in 2-3 deletions.</li>
<li>If there are 4 adds and 2 deletes at the June rebalance, estimated one-way turnover at the rebalance will be 13.4% and will result in a one-way trade of US$81m.</li>
</ul>


The review period for the June rebalance ended on 31 May. Announcement of the changes will be made on 9 June with implementation at the close on 16 June.
There could be 3 or 4 A-share additions due to their inclusion in Northbound Stock Connect. That in turn expands the index universe and could result in 2-3 deletions.
If there are 4 adds and 2 deletes at the June rebalance, estimated one-way turnover at the rebalance will be 13.4% and will result in a one-way trade of US$81m.


Yunnan Chihong Zinc&Germanium Co, Ltd. (600497 CH)

Jinduicheng Molybdenum Co, Ltd. (601958 CH)

China Northern Rare Earth Group High-Tech (600111 CH)

China Northern Rare Earth Group High-Tech

Rising Nonferrous Metals Share (600259 CH)

MVIS Global Rare Earth/​​​​​​​Strategic Metals Index Rebalance Preview: Changes Afoot

Liontown Resources

MVIS Global Rare Earth/​​​​​​​Strategic Metals Index Rebalance Preview: Changes Afoot

MVIS Global Rare Earth/Strategic Metals Index Rebalance Preview: Changes Afoot