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>SSE 50 and SSE 180, respectively, aim to represent the performance of the 50 and 180 largest and most liquid A-share stocks listed on the Shanghai Stock Exchange.</li>
<li>In this insight, we take a look at the names leading the race to become ADDs and DELs during the December 2024 index rebal event.</li>
<li>Some of our index change expectations have changed since our <a href="https://www.smartkarma.com/insights/quiddity-leaderboard-sse50-180-dec-24-us-1-6bn-one-way-some-changes-to-expectations" target="_blank" rel="noopener">last insight</a>.</li>
</ul>


SSE 50 and SSE 180, respectively, aim to represent the performance of the 50 and 180 largest and most liquid A-share stocks listed on the Shanghai Stock Exchange.
In this insight, we take a look at the names leading the race to become ADDs and DELs during the December 2024 index rebal event.
Some of our index change expectations have changed since our last insight.


Quiddity Leaderboard SSE50/180 Dec 24: SSE 50 Expected ADDs Vs DELs Trade Looks Interesting

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

<ul>
<li><em>The Quiddity Mainland Connect NORTHBOUND Monitor. Like the A/H Premium Monitor and HK Connect SOUTHBOUND Monitor. Lots of Flows/Position Tables and Charts with which to play.</em></li>
<li>Last week saw NORTHBOUND net SELL RMB 5.0bn of A-shares. NORTHBOUND volumes were very, very low overall.</li>
<li>HK large caps again outperformed Mainland large caps generally. Tech (HSTECH vs Star50 and ChiNext) saw even better HK outperformance.</li>
</ul>


The Quiddity Mainland Connect NORTHBOUND Monitor. Like the A/H Premium Monitor and HK Connect SOUTHBOUND Monitor. Lots of Flows/Position Tables and Charts with which to play.
Last week saw NORTHBOUND net SELL RMB 5.0bn of A-shares. NORTHBOUND volumes were very, very low overall.
HK large caps again outperformed Mainland large caps generally. Tech (HSTECH vs Star50 and ChiNext) saw even better HK outperformance.


Mainland Connect NORTHBOUND Flows (To 16 Aug 2024): Banks Bought, Industry & Materials Sold

<ul>
<li><em>The Quiddity Mainland Connect NORTHBOUND Monitor. Like the A/H Premium Monitor and HK Connect SOUTHBOUND Monitor. Lots of Flows/Position Tables and Charts with which to play.</em></li>
<li>Last week saw NORTHBOUND net SELL RMB 14.8bn of A-shares. It was a big net sell week in relatively low gross NORTHBOUND volume.</li>
<li>HK large caps outperformed Mainland large caps generally. Tech (HSTECH vs Star50 and ChiNext) saw even better HK outperformance.</li>
</ul>


The Quiddity Mainland Connect NORTHBOUND Monitor. Like the A/H Premium Monitor and HK Connect SOUTHBOUND Monitor. Lots of Flows/Position Tables and Charts with which to play.
Last week saw NORTHBOUND net SELL RMB 14.8bn of A-shares. It was a big net sell week in relatively low gross NORTHBOUND volume.
HK large caps outperformed Mainland large caps generally. Tech (HSTECH vs Star50 and ChiNext) saw even better HK outperformance.


Mainland Connect NORTHBOUND Flows (To 9 Aug 2024): Back to Net Selling of Renewables and Consumer

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 monthly Shanghai/Shenzhen northbound Connect flows with our data engine.</li>
<li>Consumer Staples ($962 million worth of outflows), Consumer Discretionary ($561 million worth of outflows) led the outflows (first chart below).</li>
<li>We highlight monthly outflows for CATL, Zhongji, Moutai, Wuliangye, Mindray.</li>
</ul>


We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
Consumer Staples ($962 million worth of outflows), Consumer Discretionary ($561 million worth of outflows) led the outflows (first chart below).
We highlight monthly outflows for CATL, Zhongji, Moutai, Wuliangye, Mindray.


Northbound Flows (July): Two Months of Outflows

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

Cambricon Technologies  Lt / Event-Driven

<ul>
<li>With 70% of the review period complete, 4 non-constituents are in inclusion zone and 5 constituents are in deletion zone.</li>
<li>We estimate one-way turnover of 6.5% at the December rebalance leading to a one-way trade of CNY 8.8bn (US$1.2bn). Index arb balances could increase the impact on the stocks.</li>
<li>The potential adds have outperformed the potential deletes. With multiple days ADV to trade on the changes and the recent short selling clampdown, there could be further outperformance.</li>
</ul>


With 70% of the review period complete, 4 non-constituents are in inclusion zone and 5 constituents are in deletion zone.
We estimate one-way turnover of 6.5% at the December rebalance leading to a one-way trade of CNY 8.8bn (US$1.2bn). Index arb balances could increase the impact on the stocks.
The potential adds have outperformed the potential deletes. With multiple days ADV to trade on the changes and the recent short selling clampdown, there could be further outperformance.


SSE50 Index Rebalance Preview: Potential Inclusions Outperforming (And How!)

Taiwan

Foxconn Industrial Internet Co., Ltd. operates as a communication network equipment development company. The Company develops and sells network switches, routers, wireless devices, web servers, set top boxes, smart home gateways, and other products. Foxconn Industrial Internet also manufactures storage equipment.

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Foxconn Industrial Internet (601138 CH)

Quiddity Leaderboard SSE50/180 Dec 24: SSE 50 Expected ADDs Vs DELs Trade Looks Interesting

The 5 SSE 50 expected ADDs/DELs could result in US$1.4bn one-way flows and the 18 SSE 180 changes cause US$243mn one-way flows in December 2024.

Janaghan Jeyakumar, CFA

Mainland Connect NORTHBOUND Flows (To 16 Aug 2024): Banks Bought, Industry & Materials Sold

NORTHBOUND was again a net sell, but volumes were very low. Renewables and appliances were again tilted sell - not surprising as property...

Travis Lundy

Mainland Connect NORTHBOUND Flows (To 9 Aug 2024): Back to Net Selling of Renewables and Consumer

NORTHBOUND back to the sell side last week. Pretty much across the board but renewables-related (solar, btty, EVs) were all sells. EVs to be...

Travis Lundy

Northbound Flows (July): Two Months of Outflows

We analyzed the Shanghai/Shenzhen Connect Scheme for July and highlight outflows for CATL, Zhongji, Moutai, Wuliangye, Mindray.

Ke Yan, CFA, FRM

SSE50 Index Rebalance Preview: Potential Inclusions Outperforming (And How!)

There could be 4-5 changes in Dec. Estimate one-way turnover is 6.5% leading to a one-way trade of CNY 8.8bn (US$1.2bn). The potential adds have...

Brian Freitas

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