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: STAR50, PCOMP, SET50, AMFI, ALX

STAR50 Index Rebalance Preview: Stable Long/Short Performance in a Volatile Market

STAR50 Index Rebalance: Adds Outperform Deletes in the Last Week

STAR50 Index Rebalance Preview (Sep): Adds Outperforming the Deletes

STAR50 Index Rebalance: Adds Continue to Outperform as Changes Are Announced

STAR50 Index Rebalance: Dear Index Committee...

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 United Imaging Health / Event-Driven

Shanghai United Imaging Health (688271 CH)

<ul>
<li>Nearly 90% of the way through the review period, we see 4 changes using a 12 month minimum listing history, and 5 changes using a 6 month minimum listing history.</li>
<li>There are overlaps in the inclusions using 6/12 month minimum listing history, so there is less risk if the index committee switches from 6 to 12 months at the review.</li>
<li>Using a 6 month minimum listing history, one-way turnover is estimated at 5.07% and will result in a one-way trade of CNY 2,795m.</li>
</ul>


Nearly 90% of the way through the review period, we see 4 changes using a 12 month minimum listing history, and 5 changes using a 6 month minimum listing history.
There are overlaps in the inclusions using 6/12 month minimum listing history, so there is less risk if the index committee switches from 6 to 12 months at the review.
Using a 6 month minimum listing history, one-way turnover is estimated at 5.07% and will result in a one-way trade of CNY 2,795m.


Shanghai Haohai Biological Tec (688366 CH)

Shanghai MicroPort Endovascula (688016 CH)

BrightGene Bio-Medical Technology (688166 CH)

Autel Intelligent Technology C (688208 CH)

Suzhou Zelgen Biopharmaceutica (688266 CH)

Shenzhen Chipscreen Bioscience (688321 CH)

Shanghai Bright Power Semicond (688368 CH)

Guangdong Jia Yuan Technology (688388 CH)

Everdisplay Optronics Shanghai (688538 CH)

Changchun BCHT Biotechnology C (688276 CH)

Shandong Weigao Orthopaedic De (688161 CH)

Hygon Information Technology C (688041 CH)

Zhongfu Shenying Carbon Fiber (688295 CH)

Suzhou Novosense Microelectron (688052 CH)

Shanghai Fudan Microelectronic (688385 CH)

STAR50 Index Rebalance Preview: Four or Five Changes in December