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

Research and consultancy, Tabbush Report

Daniel Tabbush

Research and consultancy

Tabbush Report

We provide research and consultancy on Asian banks. Our focus is on what we call “Asian bank research, without the noise.” We are interested in the most critical swing-factors for banks, the NPL and credit cycle, and where we believe there is a gap between perception and reality. We often focus on the less studied components of bank financial statements.  Our research is highly thematic, sometimes examining unlisted banks and companies as a window on mainstream banks. 

Being independent allows us to look at smaller banks, often overlooked by others. Analysis of BIS bank guidelines in the context of Asia, is also a focal point, while we also analyze global banks operating in the region. We use what we believe is the most comprehensive, reliable financials database, SNL Financial. S&P Capital IQ augments our database, with corporate data and CEIC, with economics. 

Asian bank research, without the noise.

Equity Bottom-Up

China Construction Bank H / Equity Bottom-Up

<ul>
<li>The large SOE bank indicates that it will list its housing rental subsidiary, although the proceeds may be inconsequential given the size of CCB.</li>
<li>CCB shows lower (and very low) credit costs despite what appears to be a major weakening in its NPL distribution.</li>
<li>Loss NPLs are up 2.5x from FY19 to 1H23 much more than its 1.5x rise in total NPLs, so that its declining and benign credit costs may not last.</li>
</ul>


The large SOE bank indicates that it will list its housing rental subsidiary, although the proceeds may be inconsequential given the size of CCB.
CCB shows lower (and very low) credit costs despite what appears to be a major weakening in its NPL distribution.
Loss NPLs are up 2.5x from FY19 to 1H23 much more than its 1.5x rise in total NPLs, so that its declining and benign credit costs may not last.


CCB- Housing Rental Subsidiary Listing May Be Overshadowed By Weak Credit Metrics

Asset Allocation & Fund Positioning, Copley Fund Research

Steven Holden

Asset Allocation & Fund Positioning

Copley Fund Research

Copley Fund Research provide research and data on asset allocation among Global and Emerging Market equity funds.  The analysis details absolute and relative positioning across countries, sectors and industries together with highly granular data on single stock and single fund allocations.  The data is updated monthly with time series going back to January 2011.

Global Research - Analysis of 165 prominent Global equity funds, combined AUM $335bn
GEM Research - Analysis of 127 prominent global EM equity funds, combined AUM $250bn

Asset Allocation - Global and GEM Equity

Cross Asset Strategy

<ul>
<li>Industrials and Consumer Staples Remain Top Overweights, Though Sentiment Fragile for Both.</li>
<li>Energy sector shows signs of a turnaround from long-term decline, whilst Financials remain unloved by China investors.</li>
<li>Real Estate allocations have hit record lows, with average holdings at just 2.93%, while Consumer Discretionary sector approaches all-time highs.</li>
</ul>


Industrials and Consumer Staples Remain Top Overweights, Though Sentiment Fragile for Both.
Energy sector shows signs of a turnaround from long-term decline, whilst Financials remain unloved by China investors.
Real Estate allocations have hit record lows, with average holdings at just 2.93%, while Consumer Discretionary sector approaches all-time highs.


Financials & FinTech research, Galliano’s Financials Research

Victor Galliano

Financials & FinTech research

Financials & FinTech, EM & Developed Markets

Galliano’s Financials Research

Galliano's Financials Research provides fundamental research in Emerging Markets financials, including FinTech, as well as financials in select Developed Markets.

The investment style applied is generally value oriented, although Growth At Reasonable Price (GARP) strategies can also be used where appropriate. 

Our investment research approach aim is often contrarian, looking to capitalise on overly sceptical or optimistic consensus views. In terms of valuation techniques, the focus is on PBV ratio to ROE, PE multiples and dividend yield, as well as the application of PEG ratios and, where appropriate, Sum of the Parts (SOTP) valuations.

Thematic (Sector/Industry)

<ul>
<li>Among bigger cap GEM banks, we pick four longs and two shorts as our conviction calls for 2023</li>
<li>Our core buys are Bank Mandiri from Indonesia, Hana Financial from South Korea, China Construction Bank and BanColombia; we also have a special mentions category for Banco Itau and Nubank</li>
<li>Our key sells are ICICI Bank from India and digital bank Jago from Indonesia</li>
</ul>


Among bigger cap GEM banks, we pick four longs and two shorts as our conviction calls for 2023
Our core buys are Bank Mandiri from Indonesia, Hana Financial from South Korea, China Construction Bank and BanColombia; we also have a special mentions category for Banco Itau and Nubank
Our key sells are ICICI Bank from India and digital bank Jago from Indonesia


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

China

China Construction Bank Corporation provides banking services. The Company offers deposits, loans, fund management, foreign exchange, and other services. China Construction Bank provides its services to individuals, enterprises, and other clients.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

China Construction Bank (601939 CH)

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

CCB- Housing Rental Subsidiary Listing May Be Overshadowed By Weak Credit Metrics

CCB will list its subsidiary China Housing Rental although this may be small relative to the bank's total loans, and any benefits can be...

Daniel Tabbush

China Macro: Sector Positioning Update

Sector positioning among active China Funds. Industrials and Consumer Staples Remain Top Overweights, Energy shows signs of a turnaround, whilst...

Steven Holden

GEM Banks; Conviction Calls for 2023

Our core buys are Bank Mandiri, Hana Financial, China Construction Bank and BanColombia; we also have special mention for Banco Itau and Nubank;...

Victor Galliano

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

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)