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: One High Probability Change; One 'It Depends'

Offshore China ETFs Rebalance Preview: Two Changes in September

Index Rebalance & ETF Flow Recap: NKY, STAR50, NIFTY NEXT50, SF Holding

STAR50 Index Rebalance Preview: Changes Depend on Minimum Listing History

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

STAR50 Index Rebalance: Five Changes as Adds Bigly Outperform Deletes

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 index committee has used a 6-month minimum listing history and that results in two changes. This is the first rebalance with less than 5 changes at a review.</li>
<li>One way turnover is estimated at 1.03% and will result in a one-way trade of CNY 1,025m. Given the adds are new listings, there will be some reverse funding flow.</li>
<li>There appears to be little pre-positioning on the adds while there is a bigger buildup on the deletes.</li>
</ul>


The index committee has used a 6-month minimum listing history and that results in two changes. This is the first rebalance with less than 5 changes at a review.
One way turnover is estimated at 1.03% and will result in a one-way trade of CNY 1,025m. Given the adds are new listings, there will be some reverse funding flow.
There appears to be little pre-positioning on the adds while there is a bigger buildup on the deletes.


Shanghai Haohai Biological Tec (688366 CH)

Shanghai MicroPort Endovascula (688016 CH)

Autel Intelligent Technology C (688208 CH)

Shanghai Bright Power Semicond (688368 CH)

Guangdong Jia Yuan Technology (688388 CH)

CSI Smallcap 500 Index - Shang (SH000905 INDEX EQUITY)

Changchun BCHT Biotechnology C (688276 CH)

Shandong Weigao Orthopaedic De (688161 CH)

Shanghai United Imaging Health (688271 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: Two Changes in June (As Expected)

AVIC (Chengdu) UAS Co Ltd

STAR50 Index Rebalance: Two Changes in June (As Expected)