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

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Event-Driven

Contemporary Amperex Technology (CATL) / Event-Driven

<div><p>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 are actively traded as well.</p></div><div>
<p>China Securities Index Co (CSI) will most likely announce the changes for the December rebalance after market close on 26 November and the changes will be effective after the close of trading on 10 December.</p>
<p>The review period ended on 29 October and we see 26 potential changes at the December rebalance. Of these, 23 are high probability changes with another 3 likely to take place.</p>
<p>Since our last Insight a month ago, the potential inclusions have outperformed the potential deletion by 13% with the inclusions rising on average and the deletions dropping on average. 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> was flat over the period. We recommend trimming positions and waiting for an opportunity to re-enter the trade at lower levels in the next couple of weeks.</p>
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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 are actively traded as well.
China Securities Index Co (CSI) will most likely announce the changes for the December rebalance after market close on 26 November and the changes will be effective after the close of trading on 10 December.
The review period ended on 29 October and we see 26 potential changes at the December rebalance. Of these, 23 are high probability changes with another 3 likely to take place.
Since our last Insight a month ago, the potential inclusions have outperformed the potential deletion by 13% with the inclusions rising on average and the deletions dropping on average. The Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) was flat over the period. We recommend trimming positions and waiting for an opportunity to re-enter the trade at lower levels in the next couple of weeks.


CSI300 Index Rebalance Preview (Dec 2021): It Was A Good Entry Point

<div><p>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.</p></div><div>
<p>China Securities Index Co (CSI) will most likely announce the changes for the December rebalance after market close on 26 November and the changes will be effective after the close of trading on 10 December.</p>
<p>With over 90% of the review period complete, we see 26 potential changes at the upcoming December 2021 review. Estimated one-way turnover at the rebalance is 9.30% and will result in a one-way trade of slightly less than US$3bn.</p>
<p>The potential inclusions have outperformed the potential exclusions over the last 3 months but have given up a large part of the gains over the last couple of weeks. Given the trading history of past rebalances, we recommend buying the potential inclusions and selling the potential exclusions over the next couple of weeks and unwinding the positions post the end of the review period. There will then be more trading opportunities as we near the announcement date and implementation date.</p>
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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 most likely announce the changes for the December rebalance after market close on 26 November and the changes will be effective after the close of trading on 10 December.
With over 90% of the review period complete, we see 26 potential changes at the upcoming December 2021 review. Estimated one-way turnover at the rebalance is 9.30% and will result in a one-way trade of slightly less than US$3bn.
The potential inclusions have outperformed the potential exclusions over the last 3 months but have given up a large part of the gains over the last couple of weeks. Given the trading history of past rebalances, we recommend buying the potential inclusions and selling the potential exclusions over the next couple of weeks and unwinding the positions post the end of the review period. There will then be more trading opportunities as we near the announcement date and implementation date.


CSI300 Index Rebalance Preview (Dec 2021): Pullback Provides Entry Point

<div><p>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.</p></div><div>
<p>China Securities Index Co (CSI) will announce the changes for the December rebalance at the end of  November or beginning December and the changes will be effective after the close of trading on 10 December.</p>
<p>Half way through the review period that runs from May to October, we see 26 changes at the upcoming December 2021 review. Estimated one-way turnover at the rebalance is 9.24% and will result in a one-way trade of just shy of US$3bn.</p>
<p>The Information Technology and Materials sectors gain 4 spots each in the index while Financials are the biggest losers with 7 spots gone.</p>
<p>The potential inclusions have outperformed the potential exclusions and 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> by a wide margin on a year to date basis. We recommend building up positions gradually and scaling in on a correction.</p>
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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 for the December rebalance at the end of  November or beginning December and the changes will be effective after the close of trading on 10 December.
Half way through the review period that runs from May to October, we see 26 changes at the upcoming December 2021 review. Estimated one-way turnover at the rebalance is 9.24% and will result in a one-way trade of just shy of US$3bn.
The Information Technology and Materials sectors gain 4 spots each in the index while Financials are the biggest losers with 7 spots gone.
The potential inclusions have outperformed the potential exclusions and the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) by a wide margin on a year to date basis. We recommend building up positions gradually and scaling in on a correction.


CSI300 Index Rebalance Preview: Large Turnover as Potential Inclusions Keep Rallying

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Thematic (Sector/Industry)

<p>In 1998, before the US and China entered into Permanent Normal Trade Relations with China in 2000, the US Congress enacted a law requiring the Clinton Administration to publish a list of Chinese companies in the US which did business with the People's Liberation Army (Public Law 105-261, Section 1237), and a "Communist Chinese military company" was defined in that law as any company named in to Defense Intelligence Agency documents from 1990 and 1995 and "any other entity owned or controlled by the PLA and engaged in providing commercial services, manufacturing, or exporting."</p><p>That law basically lay dormant until last year when the Pentagon launched a review of such companies following the Trump White House's labelling of China (and Russia) a "revisionist" power in its first National Security Strategy <a href="https://www.whitehouse.gov/wp-content/uploads/2017/12/NSS-Final-12-18-2017-0905-2.pdf" target="_blank" rel="noopener">report</a> in 2017. The goal was to investigate and warn about supply-chain vulnerabilities. The Department of Defense published a list in June 2020 of 20 companies which were "Qualified Entities". It updated the list in late August 2020. The former Secretary of Defense was ousted several days ago and the new Secretary of Defense is now responsible for the list. </p><p>There is, as of last night, an Executive Order by the White House blocking US 'persons' investment in any of the names mentioned - a list now 31 names long.</p><p>More below on the impact.</p>

In 1998, before the US and China entered into Permanent Normal Trade Relations with China in 2000, the US Congress enacted a law requiring the Clinton Administration to publish a list of Chinese companies in the US which did business with the People's Liberation Army (Public Law 105-261, Section 1237), and a "Communist Chinese military company" was defined in that law as any company named in to Defense Intelligence Agency documents from 1990 and 1995 and "any other entity owned or controlled by the PLA and engaged in providing commercial services, manufacturing, or exporting."That law basically lay dormant until last year when the Pentagon launched a review of such companies following the Trump White House's labelling of China (and Russia) a "revisionist" power in its first National Security Strategy report in 2017. The goal was to investigate and warn about supply-chain vulnerabilities. The Department of Defense published a list in June 2020 of 20 companies which were "Qualified Entities". It updated the list in late August 2020. The former Secretary of Defense was ousted several days ago and the new Secretary of Defense is now responsible for the list. There is, as of last night, an Executive Order by the White House blocking US 'persons' investment in any of the names mentioned - a list now 31 names long.More below on the impact.

Trump's Executive Order on Chinese Military Companies

HK/China Equity Long-Short

Osbert Tang, CFA

<p>The China aerospace &amp; defense A-share sector has had a stellar performance over the last two months, logging an average of 59.5% return.  Despite their strong performance, we continue to find positive fundamentals in the sector, backed by the evolving macro-environment. </p><p>We believe the following factors are the drivers of the sector: 1.) further escalation of Sino-US tension, 2.) reiteration of the importance of military strength, 3.) first successful flights of ARJ21 by the Big Three, and 4.) resilience as shown by 1H20 result announcement. We maintain our view that <a href="https://www.smartkarma.com/entities/avic-shenyang-aircraft-co-ltd" target="_blank" data-smartkarma-citation="entities:12150:1" rel="noopener">Avic Shenyang Aircraft (600760 CH)</a> and <a href="https://www.smartkarma.com/entities/aecc-aviation-power-co-ltd" target="_blank" data-smartkarma-citation="entities:2461:1" rel="noopener">AECC Aviation Power (600893 CH)</a> are the top two picks in the sector.</p><p>For more background discussions, please refer to <a href="https://www.smartkarma.com/insights/china-aerospace-defense-a-shares-an-in-depth-walkthrough" target="_blank" data-smartkarma-citation="insights:38904" rel="noopener">China Aerospace &amp; Defense A Shares: An In-Depth Walkthrough</a>. </p>

The China aerospace &amp; defense A-share sector has had a stellar performance over the last two months, logging an average of 59.5% return.  Despite their strong performance, we continue to find positive fundamentals in the sector, backed by the evolving macro-environment. We believe the following factors are the drivers of the sector: 1.) further escalation of Sino-US tension, 2.) reiteration of the importance of military strength, 3.) first successful flights of ARJ21 by the Big Three, and 4.) resilience as shown by 1H20 result announcement. We maintain our view that Avic Shenyang Aircraft (600760 CH) and AECC Aviation Power (600893 CH) are the top two picks in the sector.For more background discussions, please refer to China Aerospace &amp; Defense A Shares: An In-Depth Walkthrough. 

China Aerospace & Defense A Shares: Value After Recent Sharp Rally

China

China Spacesat Co., Ltd. develops and manufactures satellites and related products. The Company also operates retail stores, hotels, and travel properties .

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China Spacesat Co Ltd A (600118 CH)

CSI300 Index Rebalance Preview (Dec 2021): It Was A Good Entry Point

We forecast 26 changes to the CSI300 Index at the December rebalance. The inclusions outperformed the deletions by 13% in October. Trim positions...

Brian Freitas

CSI300 Index Rebalance Preview (Dec 2021): Pullback Provides Entry Point

With 90% of the review period complete, we see 26 changes to the CSI300 at the Dec rebal. One-way turnover is 9.3% and the one-way trade is US$3bn....

Brian Freitas

CSI300 Index Rebalance Preview: Large Turnover as Potential Inclusions Keep Rallying

Half way through the review period, we see 26 changes to the CSI300 Index. Estimated one-way turnover is 9%+ & would result in a one way trade of...

Brian Freitas

Trump's Executive Order on Chinese Military Companies

The White House announced an Executive Order prohibiting "US persons" from "providing capital" to a list of "China Military Cos" which has been...

Travis Lundy

China Aerospace & Defense A Shares: Value After Recent Sharp Rally

The China aerospace & defense A-share sector has had a stellar performance over the last two months, logging an average of 59.5% return. ...

Osbert Tang, CFA

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