Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Pan-Asia Index Flows & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Event-Driven

<ul>
<li>The HSCEI serves as a benchmark to reflect the overall performance of the top 50 "Mainland China" securities listed in Hong Kong.</li>
<li>In mid-June 2024, we had two expected ADDs and DELs for the September 2024 index rebal event and they remain unchanged even after the end of the reference period.</li>
<li>However, our capping flow expectations continue to change as the pro-forma post-rebalance weights change with share prices. In this insight, we have provided our latest flow estimates.</li>
</ul>


The HSCEI serves as a benchmark to reflect the overall performance of the top 50 "Mainland China" securities listed in Hong Kong.
In mid-June 2024, we had two expected ADDs and DELs for the September 2024 index rebal event and they remain unchanged even after the end of the reference period.
However, our capping flow expectations continue to change as the pro-forma post-rebalance weights change with share prices. In this insight, we have provided our latest flow estimates.


Quiddity Leaderboard HSCEI Sep 24: Final Ranks and Updated Flow Expectations

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

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

<ul>
<li>
<a href="https://www.smartkarma.com/entities/sensetime-group-inc" target="_blank" data-smartkarma-citation="entities:34319:1" rel="noopener">SenseTime Group (20 HK)</a> and <a href="https://www.smartkarma.com/entities/jd-logistics-inc" target="_blank" data-smartkarma-citation="entities:31500:1" rel="noopener">JD Logistics (2618 HK)</a> are potential deletions while <a href="https://www.smartkarma.com/entities/picc-property-casualty-h" target="_blank" data-smartkarma-citation="entities:350:1" rel="noopener">PICC Property &amp; Casualty (2328 HK)</a> and <a href="https://www.smartkarma.com/entities/new-oriental-education-techn" target="_blank" data-smartkarma-citation="entities:32210:1" rel="noopener">New Oriental Education &amp; Techn (9901 HK)</a> are potential adds.</li>
<li>Estimated one-way turnover at the rebalance is 1.8% resulting in a one-way trade of HK$950m. Official capping will be based off the close of trading on 3 September.</li>
<li>There will be 1-2x ADV to buy on the adds and over 2x ADV to sell in <a href="https://www.smartkarma.com/entities/jd-logistics-inc" target="_blank" data-smartkarma-citation="entities:31500:1" rel="noopener">JD Logistics</a>. The impact on <a href="https://www.smartkarma.com/entities/sensetime-group-inc" target="_blank" data-smartkarma-citation="entities:34319:1" rel="noopener">SenseTime</a> is lower given the recent surge in volume.</li>
</ul>



SenseTime Group (20 HK) and JD Logistics (2618 HK) are potential deletions while PICC Property &amp; Casualty (2328 HK) and New Oriental Education &amp; Techn (9901 HK) are potential adds.
Estimated one-way turnover at the rebalance is 1.8% resulting in a one-way trade of HK$950m. Official capping will be based off the close of trading on 3 September.
There will be 1-2x ADV to buy on the adds and over 2x ADV to sell in JD Logistics. The impact on SenseTime is lower given the recent surge in volume.


HSCEI Index Rebalance Preview: Two Changes Likely in September

New Oriental Education & Techn / Event-Driven

<ul>
<li>The HSCEI serves as a benchmark to reflect the overall performance of the top 50 "Mainland China" securities listed in Hong Kong.</li>
<li>In this insight, we take a look at the potential index changes and the resultant capping flows for HSCEI index rebal event in September 2024.</li>
<li>Based on the current data, I see two ADDs and two DELs.</li>
</ul>


The HSCEI serves as a benchmark to reflect the overall performance of the top 50 "Mainland China" securities listed in Hong Kong.
In this insight, we take a look at the potential index changes and the resultant capping flows for HSCEI index rebal event in September 2024.
Based on the current data, I see two ADDs and two DELs.


Quiddity Leaderboard HSCEI Sep 24: Two Changes Possible; US$256mn One-Way

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

<ul>
<li>The HSI added <a href="https://www.smartkarma.com/entities/byd-electronic-international-co-ltd" target="_blank" data-smartkarma-citation="entities:1927:1" rel="noopener">BYD Electronics (285 HK)</a> and deleted <a href="https://www.smartkarma.com/entities/country-garden-services-holdin" target="_blank" data-smartkarma-citation="entities:27343:1" rel="noopener">Country Garden Services (6098 HK)</a>. HSCEI added <a href="https://www.smartkarma.com/entities/zijin-mining-group-co-ltd-h" target="_blank" data-smartkarma-citation="entities:6358:1" rel="noopener">Zijin Mining Group Co Ltd H (2899 HK)</a> deleted <a href="https://www.smartkarma.com/entities/xinyi-solar-holdings-ltd" target="_blank" data-smartkarma-citation="entities:318:1" rel="noopener">Xinyi Solar Holdings (968 HK)</a> </li>
<li>HSTECH had no changes, but lots of flow. The index team sets capping levels, then resets them a three days before the actual rebalancing. There were some capping/recapping changes.</li>
<li>Below we offer tables showing all the changes and flows across the indices for each stock, ranked by Flows, ADV, and Ticker. And a spreadsheet with all the relevant data.</li>
</ul>


The HSI added BYD Electronics (285 HK) and deleted Country Garden Services (6098 HK). HSCEI added Zijin Mining Group Co Ltd H (2899 HK) deleted Xinyi Solar Holdings (968 HK) 
HSTECH had no changes, but lots of flow. The index team sets capping levels, then resets them a three days before the actual rebalancing. There were some capping/recapping changes.
Below we offer tables showing all the changes and flows across the indices for each stock, ranked by Flows, ADV, and Ticker. And a spreadsheet with all the relevant data.


HSI/HSCEI/HSTECH June 2024 Rebal Final Re-Capping (Or Re-Re-Capping) Flows

Zijin Mining Group Co Ltd H / Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/zijin-mining-group-co-ltd-h" target="_blank" data-smartkarma-citation="entities:6358:1" rel="noopener">Zijin Mining Group Co Ltd H (2899 HK)</a> will replace <a href="https://www.smartkarma.com/entities/xinyi-solar-holdings-ltd" target="_blank" data-smartkarma-citation="entities:318:1" rel="noopener">Xinyi Solar Holdings (968 HK)</a> in the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">Hang Seng China Enterprises Index (HSCEI INDEX)</a> after the close on 7 June.</li>
<li>An increase in the FAF for <a href="https://www.smartkarma.com/entities/sensetime-group-inc" target="_blank" data-smartkarma-citation="entities:34319:1" rel="noopener">SenseTime Group (20 HK)</a> results in the stock avoiding deletion at the June rebalance.</li>
<li>Estimated one-way turnover at the rebalance is 2.9% resulting in a round-trip trade of HK$3.8bn with over 1x ADV to trade on the add and delete.</li>
</ul>



Zijin Mining Group Co Ltd H (2899 HK) will replace Xinyi Solar Holdings (968 HK) in the Hang Seng China Enterprises Index (HSCEI INDEX) after the close on 7 June.
An increase in the FAF for SenseTime Group (20 HK) results in the stock avoiding deletion at the June rebalance.
Estimated one-way turnover at the rebalance is 2.9% resulting in a round-trip trade of HK$3.8bn with over 1x ADV to trade on the add and delete.


HSCEI Index Rebalance: Zijin Mining In; Xinyi Solar Out; SenseTime Survives (For Now)

China

PICC Property and Casualty Company Limited provides insurance services. The Company provides property loss insurances, liability insurances, credit insurances, accidental injury insurances, short term health insurances, guarantee insurances, and other insurance products. PICC Property and Casualty also operates investment businesses.

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PICC Property & Casualty H (2328 HK)

Quiddity Leaderboard HSCEI Sep 24: Final Ranks and Updated Flow Expectations

The expected ADDs have underperformed the expected DELs in the last month and the last three months which means avoiding the standard LONG-SHORT...

Janaghan Jeyakumar, CFA

HSCEI Index Rebalance Preview: Two Changes Likely in September

We forecast two changes in September with a 1-way turnover of 1.8% resulting in a 1-way trade of HK$950m. There will be 1-2 days of ADV to trade on...

Brian Freitas

Quiddity Leaderboard HSCEI Sep 24: Two Changes Possible; US$256mn One-Way

JD Logistics and SenseTime are currently ranked 65th and 64th respectively and we see them as expected DELs. We see PICC Property & Casualty and...

Janaghan Jeyakumar, CFA

HSI/HSCEI/HSTECH June 2024 Rebal Final Re-Capping (Or Re-Re-Capping) Flows

The Hang Seng Index team provides initial expected changes 2wks before the rebalance, then we review/recap/re-recap 3 days before. That's done....

Travis Lundy

HSCEI Index Rebalance: Zijin Mining In; Xinyi Solar Out; SenseTime Survives (For Now)

Zijin Mining will replace Xinyi Glass in the HSCEI at the close on 7 June. Zijin Mining has jumped over the last few months but still trades...

Brian Freitas

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