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

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Event-Driven

Beijing Kingsoft Office Softwa / Event-Driven

The <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a> consists of stocks from the Shanghai Stock Exchange and the Shenzhen Stock Exchange and is one of the most widely tracked A-share indices with passive tracking products listed in multiple markets globally. There are CFFEX listed futures that trade actively as well.China Securities Index Co (CSI) will announce the changes end May/beginning June and the changes will be effective after the close of trading on 11 June.There were 21 changes to the index at the June 2020 review and 26 changes at the December 2020 review. We expect 30 changes at the upcoming June 2021 index review - this is the maximum number of changes that are permitted at a single review. Estimated one-way turnover is 4.56%.With passive tracking products holding around US$32bn of AUM, plus another US$53bn in open interest on the listed futures, plus active managers benchmarked to the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a>, there could be significant moves in the inclusion/exclusion names from now to the end of the review period. There will only be 9-10 trading days between the announcement of the changes and the implementation, so having a pre-position should pay off. There should not be too many changes in the possible list of inclusions and exclusions due to the averaging process over the last year of trading.

The Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) consists of stocks from the Shanghai Stock Exchange and the Shenzhen Stock Exchange and is one of the most widely tracked A-share indices with passive tracking products listed in multiple markets globally. There are CFFEX listed futures that trade actively as well.China Securities Index Co (CSI) will announce the changes end May/beginning June and the changes will be effective after the close of trading on 11 June.There were 21 changes to the index at the June 2020 review and 26 changes at the December 2020 review. We expect 30 changes at the upcoming June 2021 index review - this is the maximum number of changes that are permitted at a single review. Estimated one-way turnover is 4.56%.With passive tracking products holding around US$32bn of AUM, plus another US$53bn in open interest on the listed futures, plus active managers benchmarked to the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX), there could be significant moves in the inclusion/exclusion names from now to the end of the review period. There will only be 9-10 trading days between the announcement of the changes and the implementation, so having a pre-position should pay off. There should not be too many changes in the possible list of inclusions and exclusions due to the averaging process over the last year of trading.

CSI300 Index Rebalance Preview: Maxing Out the Number of Changes

Beijing Roborock Technology  / Event-Driven

Yesterday evening post market close, the Shanghai Stock Exchange and China Securities Index Company announced the changes to the <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">SSE STAR 50 (STAR50 INDEX)</a>. The changes will be effective after the close of trading on 11 December.The  inclusions are <a href="https://www.smartkarma.com/entities/national-silicon-industry-a" target="_blank" data-smartkarma-citation="entities:30349:1" rel="noopener">National Silicon Industry -A (688126 CH)</a>, <a href="https://www.smartkarma.com/entities/beijing-roborock-technolog-a" target="_blank" data-smartkarma-citation="entities:30358:1" rel="noopener">Beijing Roborock Technolog-A (688169 CH)</a>, <a href="https://www.smartkarma.com/entities/autel-intelligent-technolo-a" target="_blank" data-smartkarma-citation="entities:30369:1" rel="noopener">Autel Intelligent Technolo-A (688208 CH)</a>, <a href="https://www.smartkarma.com/entities/china-resources-microelect-a" target="_blank" data-smartkarma-citation="entities:30396:1" rel="noopener">China Resources Microelect-A (688396 CH)</a> and SMIC (688981 CH).The deletions are <a href="https://www.smartkarma.com/entities/suzhou-harmontronics-autom-a" target="_blank" data-smartkarma-citation="entities:30315:1" rel="noopener">Suzhou Harmontronics Autom-A (688022 CH)</a>, <a href="https://www.smartkarma.com/entities/beijing-worldia-diamond-tools" target="_blank" data-smartkarma-citation="entities:30319:1" rel="noopener">Beijing Worldia Diamond Tools (688028 CH)</a>, <a href="https://www.smartkarma.com/entities/beijing-tianyishangjia-new-a" target="_blank" data-smartkarma-citation="entities:30322:1" rel="noopener">Beijing Tianyishangjia New-A (688033 CH)</a>, <a href="https://www.smartkarma.com/entities/beijing-baolande-software-a" target="_blank" data-smartkarma-citation="entities:30327:1" rel="noopener">Beijing Baolande Software-A (688058 CH)</a> and <a href="https://www.smartkarma.com/entities/beijing-abt-networks-co-ltd" target="_blank" data-smartkarma-citation="entities:30357:1" rel="noopener">Beijing ABT Networks Co Ltd (688168 CH)</a>.With a little more than CNY 21bn benchmarked to the <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">SSE STAR 50 (STAR50 INDEX)</a>, there is quite an impact expected on a few stocks. One-way turnover is close to 30% and the funding flow will impact quite a few index constituents with over 1.5 days of ADV to sell. There are only 11 trading days to implementation and we do not expect a lot of pre-positions have been built up on the stocks.

Yesterday evening post market close, the Shanghai Stock Exchange and China Securities Index Company announced the changes to the SSE STAR 50 (STAR50 INDEX). The changes will be effective after the close of trading on 11 December.The  inclusions are National Silicon Industry -A (688126 CH), Beijing Roborock Technolog-A (688169 CH), Autel Intelligent Technolo-A (688208 CH), China Resources Microelect-A (688396 CH) and SMIC (688981 CH).The deletions are Suzhou Harmontronics Autom-A (688022 CH), Beijing Worldia Diamond Tools (688028 CH), Beijing Tianyishangjia New-A (688033 CH), Beijing Baolande Software-A (688058 CH) and Beijing ABT Networks Co Ltd (688168 CH).With a little more than CNY 21bn benchmarked to the SSE STAR 50 (STAR50 INDEX), there is quite an impact expected on a few stocks. One-way turnover is close to 30% and the funding flow will impact quite a few index constituents with over 1.5 days of ADV to sell. There are only 11 trading days to implementation and we do not expect a lot of pre-positions have been built up on the stocks.

STAR 50 Index Rebalance: We Thought BIG, Turns Out Its BIGGER

China

China Resources Microelectronics Limited manufactures electronic products and semiconductors. The Company produces and distributes open foundries, integrated circuits, discrete devices, and other related products. China Resources Microelectronics also operates investment, high technology microelectronics management, and other businesses.

China Resources Microelectroni (688396 CH)

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China Resources Microelectroni (688396 CH)

CSI300 Index Rebalance Preview: Maxing Out the Number of Changes

We see 30 potential inclusions/exclusions to the CSI300 index at the June review that will become effective COB 11 June. With a lot of benchmarked...

Brian Freitas

STAR 50 Index Rebalance: We Thought BIG, Turns Out Its BIGGER

The second rebalance of the STAR50 index is going be BIG with 5 additions/deletions and one-way turnover of 30%. We do not expect a lot of pre...

Brian Freitas

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