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

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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

Index Rebalance

<ul>
<li>There is 1 change for the S&amp;P/ASX100 Index, 5 adds/ 6 deletes for the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 INDEX</a>, and 10 adds/ 8 deletes for the S&amp;P/ASX300 Index at the September rebalance.</li>
<li>There will be 4-14 days of ADV to trade on the S&amp;P/ASX100 Index and <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 INDEX</a> adds while the impact on the deletions is between 3-12 days of ADV.</li>
<li>On average, the adds to the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> and S&amp;P/ASX 300 Index have outperformed the deletes over the last few months.</li>
</ul>


There is 1 change for the S&amp;P/ASX100 Index, 5 adds/ 6 deletes for the S&amp;P/ASX 200 INDEX, and 10 adds/ 8 deletes for the S&amp;P/ASX300 Index at the September rebalance.
There will be 4-14 days of ADV to trade on the S&amp;P/ASX100 Index and S&amp;P/ASX 200 INDEX adds while the impact on the deletions is between 3-12 days of ADV.
On average, the adds to the S&amp;P/ASX 200 (AS51 INDEX) and S&amp;P/ASX 300 Index have outperformed the deletes over the last few months.


S&P/​​​​ASX Index Rebalance (Sep 2023): Mostly Expected with a Few Surprises

Ramelius Resources

S&P/ASX Index Rebalance (Sep 2023): Mostly Expected with a Few Surprises

Ramelius Resources

S&P/​​​​ASX Index Rebalance (Sep 2023): Mostly Expected with a Few Surprises

S&P/ASX Index Rebalance (Sep 2023): Mostly Expected with a Few Surprises