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

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

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

Index Rebalance

Foxconn Industrial Internet / Index Rebalance

<ul>
<li>Over 90% of the way through the review period, we see 9 potential adds/10 potential deletes in December. However, there can be a maximum of 5 changes at a review.</li>
<li>We estimate a one-way turnover of 6.1% at the December rebalance leading to a one-way trade of CNY 5.27bn. Index arb balances could increase the impact on the stocks.</li>
<li>The adds have outperformed the deletes this year though there has been a deterioration in performance over the last few months.</li>
</ul>


Over 90% of the way through the review period, we see 9 potential adds/10 potential deletes in December. However, there can be a maximum of 5 changes at a review.
We estimate a one-way turnover of 6.1% at the December rebalance leading to a one-way trade of CNY 5.27bn. Index arb balances could increase the impact on the stocks.
The adds have outperformed the deletes this year though there has been a deterioration in performance over the last few months.


SSE50 Index Rebalance Preview: Consolidating After Big Outperformance

<ul>
<li>SSE 50 and SSE180, respectively, aim to represent the performance of the 50 and 180 largest and most liquid A-share stocks listed on Shanghai Stock Exchange.</li>
<li>In this insight, we take a look at our expectations for potential index changes for SSE 50 and SSE 180 during the December 2023 Rebalance event.</li>
<li>I currently expect 5 ADDs/DELETEs for the SSE 50 index 18 ADDs/DELs for the SSE 180 index. Some of these names are different from my previous expectations.</li>
</ul>


SSE 50 and SSE180, respectively, aim to represent the performance of the 50 and 180 largest and most liquid A-share stocks listed on Shanghai Stock Exchange.
In this insight, we take a look at our expectations for potential index changes for SSE 50 and SSE 180 during the December 2023 Rebalance event.
I currently expect 5 ADDs/DELETEs for the SSE 50 index 18 ADDs/DELs for the SSE 180 index. Some of these names are different from my previous expectations.


Quiddity Leaderboard SSE50/180 Dec 23: US$937mn One-Way; Some Changes to Expectations

<ul>
<li>SSE 50 and SSE180, respectively, aim to represent the performance of the 50 and 180 largest and most liquid A-share stocks listed on Shanghai Stock Exchange. </li>
<li>Earlier this month, I discussed the historical price and volume performance of SSE 50 and SSE 180 Rebalance events in <a href="https://www.smartkarma.com/insights/quiddity-primer-for-sse-50-180-380-index-rebalance-events" target="_blank" data-smartkarma-citation="insights:109693" rel="noopener">Quiddity Primer for SSE 50/180/380 Index Rebalance Events</a>. </li>
<li>In this insight, we take a look at our expectations for potential index changes for SSE 50 and SSE 180 during the December 2023 Rebalance event.</li>
</ul>


SSE 50 and SSE180, respectively, aim to represent the performance of the 50 and 180 largest and most liquid A-share stocks listed on Shanghai Stock Exchange. 
Earlier this month, I discussed the historical price and volume performance of SSE 50 and SSE 180 Rebalance events in Quiddity Primer for SSE 50/180/380 Index Rebalance Events. 
In this insight, we take a look at our expectations for potential index changes for SSE 50 and SSE 180 during the December 2023 Rebalance event.


Quiddity Leaderboard SSE50/180 Dec 23: 5 Changes for SSE50 and 18 Changes for SSE180

Asia Pac IPO & Placement Research, China biotech, Aequitas Research

Ke Yan, CFA, FRM

Asia Pac IPO & Placement Research, China biotech

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Quantitative Analysis

<ul>
<li>We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of July 14th.</li>
<li>We estimate the weekly inflows to be US$2,869.4 million, led by consumer discretionary, consumer staples, financials sectors.</li>
<li>We highlight flows for Moutai, CATL, Wuliangye, China Yangtze Power, China Telecom, Inspur Electronic Information Industry, Tcl Technology, China Mobile, BYD, Haitian Flavouring, Wus Printed Circuit (Kunshan).</li>
</ul>


We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of July 14th.
We estimate the weekly inflows to be US$2,869.4 million, led by consumer discretionary, consumer staples, financials sectors.
We highlight flows for Moutai, CATL, Wuliangye, China Yangtze Power, China Telecom, Inspur Electronic Information Industry, Tcl Technology, China Mobile, BYD, Haitian Flavouring, Wus Printed Circuit (Kunshan).


Northbound Flows (Jul 14th): Moutai, CATL, Wuliangye, Yangtze Power, China Telecom, Haitian

China

China CSSC Holdings Ltd. offers shipbuilding, ship components, ship repairing and diesel engines manufacturing. The Company distributes its products within the domestic market and to overseas markets.

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China CSSC Holdings Ltd A (600150 CH)

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

SSE50 Index Rebalance Preview: Consolidating After Big Outperformance

The potential adds have outperformed the potential deletes this year but there has been a downward drift over the last few months. As we near the...

Brian Freitas

Quiddity Leaderboard SSE50/180 Dec 23: US$937mn One-Way; Some Changes to Expectations

My latest estimates for one-way flows for the SSE 50 and SSE 180 are roughly US$678mn and US$259mn respectively. Most of these names have fairly...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard SSE50/180 Dec 23: 5 Changes for SSE50 and 18 Changes for SSE180

One-way flows for the SSE 50 and SSE 180 could be roughly US$693mn and US$258mn respectively. SSE 50 cases are more interesting than SSE 180 cases...

Janaghan Jeyakumar, CFA

Northbound Flows (Jul 14th): Moutai, CATL, Wuliangye, Yangtze Power, China Telecom, Haitian

We analyzed northbound Shanghai/Shenzhen connect flows in the past week and highlight flows for Moutai, CATL, Wuliangye, China Yangtze Power, China...

Ke Yan, CFA, FRM

Price Gauge

52-week Range

Market Cap (USDm)

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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

SSE50 Index Rebalance Preview: Consolidating After Big Outperformance

The potential adds have outperformed the potential deletes this year but there has been a downward drift over the last few months. As we near the...

Brian Freitas

Quiddity Leaderboard SSE50/180 Dec 23: US$937mn One-Way; Some Changes to Expectations

My latest estimates for one-way flows for the SSE 50 and SSE 180 are roughly US$678mn and US$259mn respectively. Most of these names have fairly...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard SSE50/180 Dec 23: 5 Changes for SSE50 and 18 Changes for SSE180

One-way flows for the SSE 50 and SSE 180 could be roughly US$693mn and US$258mn respectively. SSE 50 cases are more interesting than SSE 180 cases...

Janaghan Jeyakumar, CFA

Northbound Flows (Jul 14th): Moutai, CATL, Wuliangye, Yangtze Power, China Telecom, Haitian

We analyzed northbound Shanghai/Shenzhen connect flows in the past week and highlight flows for Moutai, CATL, Wuliangye, China Yangtze Power, China...

Ke Yan, CFA, FRM

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