Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Pan-Asia Index Flows & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

<ul>
<li>CSI 300 represents the 300 largest stocks by market cap and liquidity from the Shanghai and Shenzhen Exchanges. CSI 500 is the next 500.</li>
<li>The reference period for December 2024 index rebal event ended on 31st October 2024.</li>
<li>In this insight, we take a look at our final list of expected ADDs and DELs.</li>
</ul>


CSI 300 represents the 300 largest stocks by market cap and liquidity from the Shanghai and Shenzhen Exchanges. CSI 500 is the next 500.
The reference period for December 2024 index rebal event ended on 31st October 2024.
In this insight, we take a look at our final list of expected ADDs and DELs.


Quiddity Leaderboard CSI 300/​​500 Dec 24: Final-Minute Changes to Expectations; Time for a Trade

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

Sieyuan Electric Co Ltd A / Index Rebalance

<ul>
<li>There are 16 changes for the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a>, 50 changes for the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500 Index</a> and 100 changes for the CSI1000 Index that will be implemented on 13 December.</li>
<li>There are 257 unique names that are adds or deletes and the round-trip trade across all 3 indices is close to US$9bn.</li>
<li>Stocks with the largest inflows and impact have outperformed stocks with the largest outflows and impact over the last few weeks. That could continue for the next couple of weeks.</li>
</ul>


There are 16 changes for the CSI 300 Index, 50 changes for the CSI 500 Index and 100 changes for the CSI1000 Index that will be implemented on 13 December.
There are 257 unique names that are adds or deletes and the round-trip trade across all 3 indices is close to US$9bn.
Stocks with the largest inflows and impact have outperformed stocks with the largest outflows and impact over the last few weeks. That could continue for the next couple of weeks.


CSI300/CSI500/CSI1000 Index Rebalance: US$9bn Round-Trip Trade

<ul>
<li>There could be 18 changes at the December rebalance with the Industrials sector gaining 3 index spots and the Information Technology sector losing 5 spots.</li>
<li>We estimate one-way turnover of 3.3% at the rebalance leading to a one-way trade of CNY 22.07bn (US$3bn). There are a lot of stocks with multiple days ADV to trade.</li>
<li>The potential adds have outperformed the potential deletes. There were ETF inflows last week amid a short selling crackdown as the Third Plenum kicks off.</li>
</ul>


There could be 18 changes at the December rebalance with the Industrials sector gaining 3 index spots and the Information Technology sector losing 5 spots.
We estimate one-way turnover of 3.3% at the rebalance leading to a one-way trade of CNY 22.07bn (US$3bn). There are a lot of stocks with multiple days ADV to trade.
The potential adds have outperformed the potential deletes. There were ETF inflows last week amid a short selling crackdown as the Third Plenum kicks off.


CSI300 Index Rebalance Preview: 18 Changes in Dec; Third Plenum; ETF Inflows; Short Sell Crackdown

Shenzhen New Industries Biomedical Engineering-A / Index Rebalance

Shenzhen New Industries Biomedical Engineering-A

<ul>
<li>The June 2024 index review results for China's CSI 300 and CSI 500 indices were announced after market close on Friday 31st May 2024.</li>
<li>There will be 12 changes in CSI 300 and 50 changes in CSI 500 which could collectively cause one-way index flows of ~US$3.7bn during the June 2024 index rebal event.</li>
<li>Compared to Quiddity's final expectations, 114 out of the 124 index changes (both ways) were correct translating to a hit rate of 92%. </li>
</ul>


The June 2024 index review results for China's CSI 300 and CSI 500 indices were announced after market close on Friday 31st May 2024.
There will be 12 changes in CSI 300 and 50 changes in CSI 500 which could collectively cause one-way index flows of ~US$3.7bn during the June 2024 index rebal event.
Compared to Quiddity's final expectations, 114 out of the 124 index changes (both ways) were correct translating to a hit rate of 92%. 


Quiddity CSI 300/​​500 Jun 24 Rebalance: 92% Hit Rate; US$3.7bn One-Way Flows

China Merchants Expressway Net / Index Rebalance

<ul>
<li>The review period for the June rebalance is complete and we expect 11 changes to 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>. </li>
<li>We estimate one-way turnover of 1.4% at the rebalance leading to a one-way trade of CNY 8.82bn (US$1.22bn). There are a lot of stocks with multiple days ADV to trade.</li>
<li>The potential deletes have bounced off their lows as the market has recovered. But the potential passive selling could see them underperform over the next month.</li>
</ul>


The review period for the June rebalance is complete and we expect 11 changes to the Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX). 
We estimate one-way turnover of 1.4% at the rebalance leading to a one-way trade of CNY 8.82bn (US$1.22bn). There are a lot of stocks with multiple days ADV to trade.
The potential deletes have bounced off their lows as the market has recovered. But the potential passive selling could see them underperform over the next month.


CSI300 Index Rebalance Preview: Bounce in the Potential Deletes Could Be Short Lived

China

Capital Securities Co., Ltd. provides institutional brokerage services. The Company offers securities brokerage, securities advisory, securities underwriting, securities sponsorship, securities investment, and other services. Capital Securities provides its services throughout China.

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Capital Securities (601136 CH)

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Brian Freitas

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Quiddity Leaderboard CSI 300/​​500 Dec 24: Final-Minute Changes to Expectations; Time for a Trade

We expect the CSI, SSE, and STAR index family ADDs/DELs for December 2024 to be confirmed after market close today. It is a good time to revisit...

Janaghan Jeyakumar, CFA

CSI300/CSI500/CSI1000 Index Rebalance: US$9bn Round-Trip Trade

The CSI indices (and a bunch of others) rebalance at the close today - it's going to be a big volume day in China. The CSI300 adds have...

Brian Freitas

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Janaghan Jeyakumar, CFA

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Brian Freitas

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