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 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

Beijing Kingsoft Office Softwa / Event-Driven

<p>We are nearly 95% through the review period for the June review of 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>. With a large AUM in ETFs tracking the index, large open interest on the CFFEX listed futures, and volatile stocks, it could pay to look at the potential changes to the index.</p><p>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.</p><p>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 4.08% and will result in a one-way trade of CNY 10.8bn.</p><p>The expected inclusions have outperformed 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> on a year to date basis even post the momentum selloff that started in February. Buying the inclusion basket vs selling the CSI300 futures as a hedge could provide good market neutral returns over the next few weeks.</p>

We are nearly 95% through the review period for the June review of the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX). With a large AUM in ETFs tracking the index, large open interest on the CFFEX listed futures, and volatile stocks, it could pay to look at the potential changes to the index.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.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 4.08% and will result in a one-way trade of CNY 10.8bn.The expected inclusions have outperformed the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) on a year to date basis even post the momentum selloff that started in February. Buying the inclusion basket vs selling the CSI300 futures as a hedge could provide good market neutral returns over the next few weeks.

CSI300 Index Rebalance Preview: Recovering from the Growth Sell-Off

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

MSCI Emerging Markets Index / Technical Analysis

<p>Price and RS uptrends for the MSCI EM index continues to underpin our bullish outlook for emerging market equities -- remain overweight. We continue to attribute much of EM’s outperformance to the intact downtrend in the US dollar (DXY). As long as weakness in the DXY persists we believe EM’s outperformance is likely to continue.</p>

Price and RS uptrends for the MSCI EM index continues to underpin our bullish outlook for emerging market equities -- remain overweight. We continue to attribute much of EM’s outperformance to the intact downtrend in the US dollar (DXY). As long as weakness in the DXY persists we believe EM’s outperformance is likely to continue.

EM Remains Global Leadership -- Remain Overweight

<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><p>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.</p><p>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%.</p><p>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.</p>

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

China

Guangdong KinLong Hardware Products Co Ltd develops, manufactures and sells hardware systems and metal components for mid- and high-end curtain walls.  The Company sells a variety of door and window hardware including wall fittings and grooves.

Guangdong Kinlong Hardware Pro (002791 CH)

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Guangdong Kinlong Hardware Pro (002791 CH)

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

CSI300 Index Rebalance Preview: Recovering from the Growth Sell-Off

We forecast 30 changes to the CSI300 Index at the June review that will be announced at the end of May and effective 11 June. The expected...

Brian Freitas

EM Remains Global Leadership -- Remain Overweight

Price and RS uptrends for the MSCI EM index continues to underpin our bullish outlook for emerging market equities -- remain overweight.

Vermilion Research

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

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