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

STAR50 Index Rebalance Preview: Two Changes in June (Possibly)

Index Rebalance & ETF Flow Recap: STAR50, HSCEI, CSI300, KOSDAQ150, Japan Post Bank

STAR50 Index Rebalance Preview: Changes Depend on Minimum Listing History

STAR50 Index Rebalance Preview: Another Five Potential Changes in March

STAR50 Index Rebalance: Adds Outperform Deletes in the Last Week

STAR50 Index Rebalance Preview: 5 Changes Forecast as Review Period Ends

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

Shanghai Fudan Microelectronic / Event-Driven

Shanghai Fudan Microelectronic (688385 CH)

<ul>
<li>The index committee has continued to use a 6-month minimum listing history leading to five 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 STAR50 (STAR50 INDEX)</a> in March.</li>
<li>One way turnover is estimated at 4.95% and will result in a one-way trade of CNY 4,413m. The estimated impact on the deletes is higher than that on the adds.</li>
<li>The inclusions have outperformed the deletions over multiple time periods. There will be pre-positions on the stocks and those could be unwound over the next week or two.</li>
</ul>


The index committee has continued to use a 6-month minimum listing history leading to five changes to the SSE STAR50 (STAR50 INDEX) in March.
One way turnover is estimated at 4.95% and will result in a one-way trade of CNY 4,413m. The estimated impact on the deletes is higher than that on the adds.
The inclusions have outperformed the deletions over multiple time periods. There will be pre-positions on the stocks and those could be unwound over the next week or two.


Shanghai Haohai Biological Tec (688366 CH)

Shanghai MicroPort Endovascula (688016 CH)

STAR50 Index Rebalance: Five Changes as Adds Bigly Outperform Deletes