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

China Northern Rare Earth Group High-Tech / Event-Driven

China Northern Rare Earth Group High-Tech

<ul>
<li>The June 2024 index review results for the SSE 50 and SSE 180 indices were announced after market close on Friday 31st May 2024.</li>
<li>There will be 5 changes for the SSE 50 index and 18 changes for the SSE 180 index.</li>
<li>These changes could collectively cause one-way index flows of ~US$1.8bn during the June 2024 index rebal event. In this insight, we take a look at our final flow expectations.</li>
</ul>


The June 2024 index review results for the SSE 50 and SSE 180 indices were announced after market close on Friday 31st May 2024.
There will be 5 changes for the SSE 50 index and 18 changes for the SSE 180 index.
These changes could collectively cause one-way index flows of ~US$1.8bn during the June 2024 index rebal event. In this insight, we take a look at our final flow expectations.


Quiddity SSE50/180 Jun 24 Rebalance: US$1.8bn One-Way Flow; LONGs up 8.6% Vs SHORTs in a Month

<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 our expectations for potential index changes for SSE 50 and SSE 180 during the June 2024 index rebal event.</li>
<li>Since my last insight, there have been a couple of changes to our expected ADDs basket and a couple of changes to our expected DELs basket for the SSE180 index.</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 our expectations for potential index changes for SSE 50 and SSE 180 during the June 2024 index rebal event.
Since my last insight, there have been a couple of changes to our expected ADDs basket and a couple of changes to our expected DELs basket for the SSE180 index.


Quiddity Leaderboard SSE50/180 Jun 24: US$1.5bn Index Flows One-Way

Asset Allocation & Fund Positioning, Copley Fund Research

Steven Holden

Asset Allocation & Fund Positioning

Copley Fund Research

Copley Fund Research provide research and data on asset allocation among Global and Emerging Market equity funds.  The analysis details absolute and relative positioning across countries, sectors and industries together with highly granular data on single stock and single fund allocations.  The data is updated monthly with time series going back to January 2011.

Global Research - Analysis of 165 prominent Global equity funds, combined AUM $335bn
GEM Research - Analysis of 127 prominent global EM equity funds, combined AUM $250bn

Asset Allocation - Global and GEM Equity

Thematic (Sector/Industry)

<ul>
<li>A record 80.7% of China managers have exposure to the Semiconductor sector at an average weight of 3.68%, or +2.58% overweight the MSCI China benchmark.</li>
<li>Over the last 6-months, Semiconductor allocations have remained largely unchanged, whilst rebalancing occurs among other key industry groups.</li>
<li>With record overweights and stalling ownership growth, active China managers should consider whether overweight is the right stance, at this juncture.</li>
</ul>


A record 80.7% of China managers have exposure to the Semiconductor sector at an average weight of 3.68%, or +2.58% overweight the MSCI China benchmark.
Over the last 6-months, Semiconductor allocations have remained largely unchanged, whilst rebalancing occurs among other key industry groups.
With record overweights and stalling ownership growth, active China managers should consider whether overweight is the right stance, at this juncture.


MSCI China Funds: Semiconductor Growth Stalls

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

<ul>
<li>There are 28 changes for 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> at the upcoming rebalance that will be implemented at the close of trading on 9 June.</li>
<li>We had forecast nearly all the changes, though the index committee seems to have used discretion in deciding not to add three Distillers to the index, leading to other changes.</li>
<li>There's a large sector skew with Industrials, Information Technology and Materials stocks taking 17 more spots in the index, while Health Care and Financials lose 9 and 5 spots respectively.</li>
</ul>


There are 28 changes for the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) at the upcoming rebalance that will be implemented at the close of trading on 9 June.
We had forecast nearly all the changes, though the index committee seems to have used discretion in deciding not to add three Distillers to the index, leading to other changes.
There's a large sector skew with Industrials, Information Technology and Materials stocks taking 17 more spots in the index, while Health Care and Financials lose 9 and 5 spots respectively.


CSI300 Index Rebalance: Big Sector Shift with 28 Changes

<ul>
<li>We expect the maximum permitted 30 changes at a single review to take place at the June rebalance. Most changes are high probability.</li>
<li>We estimate a one-way turnover of 4.25% at the rebalance leading to a one-way trade of CNY 10.677bn.</li>
<li>Industrials, Information Technology and Materials sectors are expected to have the most net inclusions, while Health Care and Financials are expected to have the most net deletions.</li>
</ul>


We expect the maximum permitted 30 changes at a single review to take place at the June rebalance. Most changes are high probability.
We estimate a one-way turnover of 4.25% at the rebalance leading to a one-way trade of CNY 10.677bn.
Industrials, Information Technology and Materials sectors are expected to have the most net inclusions, while Health Care and Financials are expected to have the most net deletions.


CSI300 Index Rebalance Preview: 30 Potential Changes as Sector Rotation Continues

China

Hangzhou Silan Microelectronics Co., Ltd develops, researches, tests, and sells integrated circuits.

Hangzhou Silan Microelectronics Co., Ltd (600460 CH)

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Hangzhou Silan Microelectronics Co., Ltd (600460 CH)

Quiddity SSE50/180 Jun 24 Rebalance: US$1.8bn One-Way Flow; LONGs up 8.6% Vs SHORTs in a Month

On average, the LONGs are up 5.6% and the SHORTs are down 3.0% since the pair trades were suggested (on 6th May 2024). Some of these have to be...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard SSE50/180 Jun 24: US$1.5bn Index Flows One-Way

According to my latest estimates, the SSE 50 expected ADDs and DELs could see US$1.34bn index buying and US$697mn index selling respectively.

Janaghan Jeyakumar, CFA

MSCI China Funds: Semiconductor Growth Stalls

With near record overweights and stalling ownership growth, active China managers should consider whether overweight Semiconductors is the right...

Steven Holden

CSI300 Index Rebalance: Big Sector Shift with 28 Changes

The June rebalance of the CSI300 Index will have 28 changes, a large sector skew, one-way turnover of 4.11% and a one-way trade of CNY 10bn. The...

Brian Freitas

CSI300 Index Rebalance Preview: 30 Potential Changes as Sector Rotation Continues

We forecast 30 changes at the June rebalance for the CSI300 Index - most high probability. Industrials, IT and Materials sectors will have net...

Brian Freitas

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