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

Hygon Information Technology C / Event-Driven

<ul>
<li>The SSE 50 and SSE180, 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 <em>final</em> expectations for potential index changes for SSE 50 and SSE 180 during the December 2023 Rebalance event.</li>
<li>I currently expect 5 ADDs/DELETEs for the SSE 50 index 18 ADDs/DELs for the SSE 180 index. Some of these names are different from my previous expectations.</li>
</ul>


The SSE 50 and SSE180, 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 final expectations for potential index changes for SSE 50 and SSE 180 during the December 2023 Rebalance event.
I currently expect 5 ADDs/DELETEs for the SSE 50 index 18 ADDs/DELs for the SSE 180 index. Some of these names are different from my previous expectations.


Quiddity Leaderboard SSE50/180 Dec 23: Triple Impact Possible for Hygon Info Tech (688041 CH)

Shanghai United Imaging Health / Event-Driven

<ul>
<li>CSI 300 represents the 300 largest stocks by market capitalization and liquidity from the entire universe of Shanghai and Shenzhen Stock Exchanges. CSI 500 represents the <em>next</em> largest 500 names.</li>
<li>In this insight, we take a look at the potential ADDs/DELs for the CSI 300 and CSI 500 rebalance in December 2023.</li>
<li>A couple of baskets I suggested in my last insight have both outperformed the CSI 300 index by more than 2% in less than a month.</li>
</ul>


CSI 300 represents the 300 largest stocks by market capitalization and liquidity from the entire universe of Shanghai and Shenzhen Stock Exchanges. CSI 500 represents the next largest 500 names.
In this insight, we take a look at the potential ADDs/DELs for the CSI 300 and CSI 500 rebalance in December 2023.
A couple of baskets I suggested in my last insight have both outperformed the CSI 300 index by more than 2% in less than a month.


Quiddity Leaderboard CSI 300/​​500 Dec 23: Basket Trade Off to A Positive Start; US$2.8bn One-Way

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

Foxconn Industrial Internet / Event-Driven

<ul>
<li>Over 90% of the way through the review period, we see 9 potential adds/10 potential deletes in December. However, there can be a maximum of 5 changes at a review.</li>
<li>We estimate a one-way turnover of 6.1% at the December rebalance leading to a one-way trade of CNY 5.27bn. Index arb balances could increase the impact on the stocks.</li>
<li>The adds have outperformed the deletes this year though there has been a deterioration in performance over the last few months.</li>
</ul>


Over 90% of the way through the review period, we see 9 potential adds/10 potential deletes in December. However, there can be a maximum of 5 changes at a review.
We estimate a one-way turnover of 6.1% at the December rebalance leading to a one-way trade of CNY 5.27bn. Index arb balances could increase the impact on the stocks.
The adds have outperformed the deletes this year though there has been a deterioration in performance over the last few months.


SSE50 Index Rebalance Preview: Consolidating After Big Outperformance

<ul>
<li>SSE 50 and SSE180, respectively, aim to represent the performance of the 50 and 180 largest and most liquid A-share stocks listed on 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 December 2023 Rebalance event.</li>
<li>I currently expect 5 ADDs/DELETEs for the SSE 50 index 18 ADDs/DELs for the SSE 180 index. Some of these names are different from my previous expectations.</li>
</ul>


SSE 50 and SSE180, respectively, aim to represent the performance of the 50 and 180 largest and most liquid A-share stocks listed on 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 December 2023 Rebalance event.
I currently expect 5 ADDs/DELETEs for the SSE 50 index 18 ADDs/DELs for the SSE 180 index. Some of these names are different from my previous expectations.


Quiddity Leaderboard SSE50/180 Dec 23: US$937mn One-Way; Some Changes to Expectations

<ul>
<li>SSE 50 and SSE180, respectively, aim to represent the performance of the 50 and 180 largest and most liquid A-share stocks listed on Shanghai Stock Exchange. </li>
<li>Earlier this month, I discussed the historical price and volume performance of SSE 50 and SSE 180 Rebalance events in <a href="https://www.smartkarma.com/insights/quiddity-primer-for-sse-50-180-380-index-rebalance-events" target="_blank" data-smartkarma-citation="insights:109693" rel="noopener">Quiddity Primer for SSE 50/180/380 Index Rebalance Events</a>. </li>
<li>In this insight, we take a look at our expectations for potential index changes for SSE 50 and SSE 180 during the December 2023 Rebalance event.</li>
</ul>


SSE 50 and SSE180, respectively, aim to represent the performance of the 50 and 180 largest and most liquid A-share stocks listed on Shanghai Stock Exchange. 
Earlier this month, I discussed the historical price and volume performance of SSE 50 and SSE 180 Rebalance events in Quiddity Primer for SSE 50/180/380 Index Rebalance Events. 
In this insight, we take a look at our expectations for potential index changes for SSE 50 and SSE 180 during the December 2023 Rebalance event.


Quiddity Leaderboard SSE50/180 Dec 23: 5 Changes for SSE50 and 18 Changes for SSE180

China

Inner Mongolian Baotou Steel Union Co., Ltd. smelts and processes ferrous metal products.  The Company's products include plates, seamless metal tubes, heavy tubes, square steel, wire rods, steel pipes, steel scraps, and other related products.

Inner Mongolia Baotou Steel Union (600010 CH)

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
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Dividend (Yield)	0.00

Inner Mongolia Baotou Steel Union (600010 CH)

Quiddity Leaderboard SSE50/180 Dec 23: Triple Impact Possible for Hygon Info Tech (688041 CH)

Hygon Information Technology C (688041 CH) is an Expected ADD for SSE 50 and SSE 180 according to my estimates. On top of that, it is also an...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard CSI 300/500 Dec 23: Basket Trade Off to A Positive Start; US$2.8bn One-Way

There could be 12 ADDs/DELs for CSI 300 and 50 ADDs/DELs for CSI 500 and I see combined one-way flow for CSI 300 and CSI 500 of around US$2.8bn...

Janaghan Jeyakumar, CFA

SSE50 Index Rebalance Preview: Consolidating After Big Outperformance

The potential adds have outperformed the potential deletes this year but there has been a downward drift over the last few months. As we near the...

Brian Freitas

Quiddity Leaderboard SSE50/180 Dec 23: US$937mn One-Way; Some Changes to Expectations

My latest estimates for one-way flows for the SSE 50 and SSE 180 are roughly US$678mn and US$259mn respectively. Most of these names have fairly...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard SSE50/180 Dec 23: 5 Changes for SSE50 and 18 Changes for SSE180

One-way flows for the SSE 50 and SSE 180 could be roughly US$693mn and US$258mn respectively. SSE 50 cases are more interesting than SSE 180 cases...

Janaghan Jeyakumar, CFA

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Quiddity Leaderboard SSE50/180 Dec 23: Triple Impact Possible for Hygon Info Tech (688041 CH)

Hygon Information Technology C (688041 CH) is an Expected ADD for SSE 50 and SSE 180 according to my estimates. On top of that, it is also an...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard CSI 300/​​500 Dec 23: Basket Trade Off to A Positive Start; US$2.8bn One-Way

There could be 12 ADDs/DELs for CSI 300 and 50 ADDs/DELs for CSI 500 and I see combined one-way flow for CSI 300 and CSI 500 of around US$2.8bn...

Janaghan Jeyakumar, CFA

SSE50 Index Rebalance Preview: Consolidating After Big Outperformance

The potential adds have outperformed the potential deletes this year but there has been a downward drift over the last few months. As we near the...

Brian Freitas

Quiddity Leaderboard SSE50/180 Dec 23: US$937mn One-Way; Some Changes to Expectations

My latest estimates for one-way flows for the SSE 50 and SSE 180 are roughly US$678mn and US$259mn respectively. Most of these names have fairly...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard SSE50/180 Dec 23: 5 Changes for SSE50 and 18 Changes for SSE180

One-way flows for the SSE 50 and SSE 180 could be roughly US$693mn and US$258mn respectively. SSE 50 cases are more interesting than SSE 180 cases...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard CSI 300/500 Dec 23: Basket Trade Off to A Positive Start; US$2.8bn One-Way