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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Event-Driven

Beijing Roborock Technology  / Event-Driven

Yesterday evening post market close, the Shanghai Stock Exchange and China Securities Index Company announced the changes to the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">SSE STAR 50 (STAR50 INDEX)</a>. The changes will be effective after the close of trading on 11 December.The  inclusions are <a href="https://www.smartkarma.com/entities/national-silicon-industry-a" target="_blank" data-smartkarma-citation="entities:30349:1" rel="noopener">National Silicon Industry -A (688126 CH)</a>, <a href="https://www.smartkarma.com/entities/beijing-roborock-technolog-a" target="_blank" data-smartkarma-citation="entities:30358:1" rel="noopener">Beijing Roborock Technolog-A (688169 CH)</a>, <a href="https://www.smartkarma.com/entities/autel-intelligent-technolo-a" target="_blank" data-smartkarma-citation="entities:30369:1" rel="noopener">Autel Intelligent Technolo-A (688208 CH)</a>, <a href="https://www.smartkarma.com/entities/china-resources-microelect-a" target="_blank" data-smartkarma-citation="entities:30396:1" rel="noopener">China Resources Microelect-A (688396 CH)</a> and SMIC (688981 CH).The deletions are <a href="https://www.smartkarma.com/entities/suzhou-harmontronics-autom-a" target="_blank" data-smartkarma-citation="entities:30315:1" rel="noopener">Suzhou Harmontronics Autom-A (688022 CH)</a>, <a href="https://www.smartkarma.com/entities/beijing-worldia-diamond-tools" target="_blank" data-smartkarma-citation="entities:30319:1" rel="noopener">Beijing Worldia Diamond Tools (688028 CH)</a>, <a href="https://www.smartkarma.com/entities/beijing-tianyishangjia-new-a" target="_blank" data-smartkarma-citation="entities:30322:1" rel="noopener">Beijing Tianyishangjia New-A (688033 CH)</a>, <a href="https://www.smartkarma.com/entities/beijing-baolande-software-a" target="_blank" data-smartkarma-citation="entities:30327:1" rel="noopener">Beijing Baolande Software-A (688058 CH)</a> and <a href="https://www.smartkarma.com/entities/beijing-abt-networks-co-ltd" target="_blank" data-smartkarma-citation="entities:30357:1" rel="noopener">Beijing ABT Networks Co Ltd (688168 CH)</a>.With a little more than CNY 21bn benchmarked to the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">SSE STAR 50 (STAR50 INDEX)</a>, there is quite an impact expected on a few stocks. One-way turnover is close to 30% and the funding flow will impact quite a few index constituents with over 1.5 days of ADV to sell. There are only 11 trading days to implementation and we do not expect a lot of pre-positions have been built up on the stocks.

Yesterday evening post market close, the Shanghai Stock Exchange and China Securities Index Company announced the changes to the SSE STAR 50 (STAR50 INDEX). The changes will be effective after the close of trading on 11 December.The  inclusions are National Silicon Industry -A (688126 CH), Beijing Roborock Technolog-A (688169 CH), Autel Intelligent Technolo-A (688208 CH), China Resources Microelect-A (688396 CH) and SMIC (688981 CH).The deletions are Suzhou Harmontronics Autom-A (688022 CH), Beijing Worldia Diamond Tools (688028 CH), Beijing Tianyishangjia New-A (688033 CH), Beijing Baolande Software-A (688058 CH) and Beijing ABT Networks Co Ltd (688168 CH).With a little more than CNY 21bn benchmarked to the SSE STAR 50 (STAR50 INDEX), there is quite an impact expected on a few stocks. One-way turnover is close to 30% and the funding flow will impact quite a few index constituents with over 1.5 days of ADV to sell. There are only 11 trading days to implementation and we do not expect a lot of pre-positions have been built up on the stocks.

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

Beijing Worldia Diamond Tools (688028 CH)

Beijing Tianyishangjia New Mat (688033 CH)

National Silicon Industry Grou (688126 CH)

Autel Intelligent Technology C (688208 CH)

China Resources Microelectroni (688396 CH)

STAR 50 Index Rebalance: We Thought BIG, Turns Out Its BIGGER