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

Hainan Island Construction / Event-Driven

<ul>
<li>After market close on Friday 24th November 2023, the December 2023 index review results for CSI 300/500 and SSE 50/180 were announced.</li>
<li>CSI 300 and CSI will have 14 and 50 changes while SSE 50 and SSE 180 will have 5 and 18 changes respectively. There are many overlapping flows.</li>
<li>In this insight, I have presented the details of the index changes and aggregated the expected flows attributable to the four indices mentioned above.</li>
</ul>


After market close on Friday 24th November 2023, the December 2023 index review results for CSI 300/500 and SSE 50/180 were announced.
CSI 300 and CSI will have 14 and 50 changes while SSE 50 and SSE 180 will have 5 and 18 changes respectively. There are many overlapping flows.
In this insight, I have presented the details of the index changes and aggregated the expected flows attributable to the four indices mentioned above.


Quiddity Aggregation of CSI300/500 and SSE50/180 Index Flows for Dec 2023: US$4.2bn One-Way!

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>The announcement of the inclusion of <a href="https://www.smartkarma.com/entities/uber-technologies-inc" target="_blank" data-smartkarma-citation="entities:430:1" rel="noopener">Uber Technologies (UBER US)</a> in the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX</a> was a big one last week. There were announcements for some other indices too.</li>
<li>There are many indices in China that will be rebalanced at the close on Friday, the biggest being the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300</a>, <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500</a>, <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">STAR50</a>, <a href="https://www.smartkarma.com/entities/shanghai-stock-exchange-sse-50-a-share-index" target="_blank" data-smartkarma-citation="entities:31073:1" rel="noopener">SSE50</a> and <a href="https://www.smartkarma.com/entities/kraneshares-csi-china-internet-etf" target="_blank" data-smartkarma-citation="entities:28208:1" rel="noopener">KWEB US</a>.</li>
<li>Relatively quiet in ETF world with net inflows to China focused ETFs and net outflows for Japan.</li>
</ul>


The announcement of the inclusion of Uber Technologies (UBER US) in the S&amp;P 500 INDEX was a big one last week. There were announcements for some other indices too.
There are many indices in China that will be rebalanced at the close on Friday, the biggest being the CSI 300, CSI 500, STAR50, SSE50 and KWEB US.
Relatively quiet in ETF world with net inflows to China focused ETFs and net outflows for Japan.


Index Rebalance & ETF Flow Recap: KWEB, CSI300/500, STAR50, SSE50, ChiNext, SET50, Chips, Denso, SPX

<ul>
<li>There are 14 changes for the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX)</a> at the upcoming rebalance that will be implemented at the close of trading on 8 December.</li>
<li>While most changes are in line with forecasts, there are some stocks that have not been added or deleted as the index committee has used their discretion.</li>
<li>The adds outperformed the deletes in the first half of the year with performance staying stable over the second half of the year. Position for outperformance ahead of implementation.</li>
</ul>


There are 14 changes for the Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX) at the upcoming rebalance that will be implemented at the close of trading on 8 December.
While most changes are in line with forecasts, there are some stocks that have not been added or deleted as the index committee has used their discretion.
The adds outperformed the deletes in the first half of the year with performance staying stable over the second half of the year. Position for outperformance ahead of implementation.


CSI300 Index Rebalance: 14 Changes & A Few Surprises

Hygon Information Technology C / Event-Driven

<ul>
<li>With the review period for the December rebalance of the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX)</a> complete, there could be 13 changes for the index.</li>
<li>We estimate one-way turnover of 1.94% at the December rebalance leading to a one-way trade of CNY 6.98bn. There are a lot of stocks with over 1x ADV to trade.</li>
<li>Over the last 6 months, the potential adds and potential deletes have tracked each other and underperformed the index. Positioning has led to outperformance in the last week.</li>
</ul>


With the review period for the December rebalance of the Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX) complete, there could be 13 changes for the index.
We estimate one-way turnover of 1.94% at the December rebalance leading to a one-way trade of CNY 6.98bn. There are a lot of stocks with over 1x ADV to trade.
Over the last 6 months, the potential adds and potential deletes have tracked each other and underperformed the index. Positioning has led to outperformance in the last week.


CSI300 Index Rebalance Preview: 13 Potential Changes in December

Shanghai United Imaging Health / Event-Driven

<ul>
<li>CSI 300 represents the 300 largest stocks by market capitalization and liquidity from the entire universe of Shanghai and Shenzhen Stock Exchanges. CSI 500 represents the <em>next</em> largest 500 names.</li>
<li>In this insight, we take a look at the potential ADDs/DELs for the CSI 300 and CSI 500 rebalance in December 2023.</li>
<li>A couple of baskets I suggested in my last insight have both outperformed the CSI 300 index by more than 2% in less than a month.</li>
</ul>


CSI 300 represents the 300 largest stocks by market capitalization and liquidity from the entire universe of Shanghai and Shenzhen Stock Exchanges. CSI 500 represents the next largest 500 names.
In this insight, we take a look at the potential ADDs/DELs for the CSI 300 and CSI 500 rebalance in December 2023.
A couple of baskets I suggested in my last insight have both outperformed the CSI 300 index by more than 2% in less than a month.


Quiddity Leaderboard CSI 300/​​500 Dec 23: Basket Trade Off to A Positive Start; US$2.8bn One-Way

China

Cambricon Technologies Corporation Limited develops and distributes software products. The Company produces terminal intelligent processors, cloud intelligent chips, accelerator cards, intelligent computing cluster systems, and other products. Cambricon Technologies also produces computer peripheral products.

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Cambricon Technologies Lt (688256 CH)

Quiddity Aggregation of CSI300/500 and SSE50/180 Index Flows for Dec 2023: US$4.2bn One-Way!

Large Mainland China index flows coming up. I expect the CSI300/500 and the SSE50/180 Inclusion and Exclusion events to take place at the close of...

Janaghan Jeyakumar, CFA

Index Rebalance & ETF Flow Recap: KWEB, CSI300/500, STAR50, SSE50, ChiNext, SET50, Chips, Denso, SPX

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

CSI300 Index Rebalance: 14 Changes & A Few Surprises

There are 14 changes for the CSI300 in December. Most of the changes were expected and there are a few surprises as the index committee has...

Brian Freitas

CSI300 Index Rebalance Preview: 13 Potential Changes in December

There could be 13 changes for the CSI300 in Dec. With an increase in tracking AUM, there are many stocks with over 1x ADV to trade. Adds, deletes...

Brian Freitas

Quiddity Leaderboard CSI 300/500 Dec 23: Basket Trade Off to A Positive Start; US$2.8bn One-Way

There could be 12 ADDs/DELs for CSI 300 and 50 ADDs/DELs for CSI 500 and I see combined one-way flow for CSI 300 and CSI 500 of around US$2.8bn...

Janaghan Jeyakumar, CFA

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Quiddity Aggregation of CSI300/500 and SSE50/180 Index Flows for Dec 2023: US$4.2bn One-Way!

Large Mainland China index flows coming up. I expect the CSI300/500 and the SSE50/180 Inclusion and Exclusion events to take place at the close of...

Janaghan Jeyakumar, CFA

Index Rebalance & ETF Flow Recap: KWEB, CSI300/500, STAR50, SSE50, ChiNext, SET50, Chips, Denso, SPX

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

CSI300 Index Rebalance: 14 Changes & A Few Surprises

There are 14 changes for the CSI300 in December. Most of the changes were expected and there are a few surprises as the index committee has...

Brian Freitas

CSI300 Index Rebalance Preview: 13 Potential Changes in December

There could be 13 changes for the CSI300 in Dec. With an increase in tracking AUM, there are many stocks with over 1x ADV to trade. Adds, deletes...

Brian Freitas

Quiddity Leaderboard CSI 300/​​500 Dec 23: Basket Trade Off to A Positive Start; US$2.8bn One-Way

There could be 12 ADDs/DELs for CSI 300 and 50 ADDs/DELs for CSI 500 and I see combined one-way flow for CSI 300 and CSI 500 of around US$2.8bn...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard CSI 300/500 Dec 23: Basket Trade Off to A Positive Start; US$2.8bn One-Way