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

Hainan Island Construction / Event-Driven

<ul>
<li>After market close on Friday 24th November 2023, the December 2023 index review results for CSI 300/500 and SSE 50/180 were announced.</li>
<li>CSI 300 and CSI will have 14 and 50 changes while SSE 50 and SSE 180 will have 5 and 18 changes respectively. There are many overlapping flows.</li>
<li>In this insight, I have presented the details of the index changes and aggregated the expected flows attributable to the four indices mentioned above.</li>
</ul>


After market close on Friday 24th November 2023, the December 2023 index review results for CSI 300/500 and SSE 50/180 were announced.
CSI 300 and CSI will have 14 and 50 changes while SSE 50 and SSE 180 will have 5 and 18 changes respectively. There are many overlapping flows.
In this insight, I have presented the details of the index changes and aggregated the expected flows attributable to the four indices mentioned above.


Quiddity Aggregation of CSI300/500 and SSE50/180 Index Flows for Dec 2023: US$4.2bn 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

Western Superconducting Techno / Event-Driven

<ul>
<li>Over 85% of the way through the review period for the December rebalance of the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI500 Index</a>, we forecast 50 changes (the maximum permitted) at the close on 8 December.</li>
<li>There is a big sector skew in the potential changes. We estimate a one-way turnover of 9.4% at the December rebalance resulting in a one-way trade of CNY 7.22bn.</li>
<li>With the market being stabilised through the ETF route, the index constituents have outperformed the non-index constituents over the last 6-7 weeks. That could reverse over the near term.</li>
</ul>


Over 85% of the way through the review period for the December rebalance of the CSI500 Index, we forecast 50 changes (the maximum permitted) at the close on 8 December.
There is a big sector skew in the potential changes. We estimate a one-way turnover of 9.4% at the December rebalance resulting in a one-way trade of CNY 7.22bn.
With the market being stabilised through the ETF route, the index constituents have outperformed the non-index constituents over the last 6-7 weeks. That could reverse over the near term.


CSI500 Index Rebalance Preview: ETF Inflows Lead to Performance Skew

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>We estimate the outflows to be $12.8bn in August and consumer staples, and financials sectors led the outflows.</li>
<li>We highlight flows for CATL, Wuxi Wapptec, Fuyao Glass, Foxconn Industrial, CMB, Wuliangye, Mindray, Moutai, Longi Green.</li>
</ul>


We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
We estimate the outflows to be $12.8bn in August and consumer staples, and financials sectors led the outflows.
We highlight flows for CATL, Wuxi Wapptec, Fuyao Glass, Foxconn Industrial, CMB, Wuliangye, Mindray, Moutai, Longi Green.


Northbound Flows Monthly (August): $12.8bn Outflows

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>I currently expect 14 ADDs/DELs for CSI 300 and 50 ADDs/DELs for CSI 500. </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.
I currently expect 14 ADDs/DELs for CSI 300 and 50 ADDs/DELs for CSI 500. 


Quiddity Leaderboard CSI 300/​​500 Dec 23: US$2.5bn One-Way Turnover; Some Changes to Expectations

<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>I currently expect 13 ADDs/DELs for CSI 300 and 50 ADDs/DELs for CSI 500. </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.
I currently expect 13 ADDs/DELs for CSI 300 and 50 ADDs/DELs for CSI 500. 


Quiddity Leaderboard CSI 300/​500 Dec 23: Massive Baskets, US$2.5bn One-Way

China

Oriental Energy Co., Ltd. manufactures, processes and distributes liquefied petroleum gas (LPG).  The Company produces LPG using oilfield associated gases, mainly including propane and butane. Zhangjiagang's products are mainly used as industrial gas, as well as chemical raw materials.

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Oriental Energy Co Ltd A (002221 CH)

Quiddity Aggregation of CSI300/500 and SSE50/180 Index Flows for Dec 2023: US$4.2bn One-Way!

Large Mainland China index flows coming up. I expect the CSI300/500 and the SSE50/180 Inclusion and Exclusion events to take place at the close of...

Janaghan Jeyakumar, CFA

CSI500 Index Rebalance Preview: ETF Inflows Lead to Performance Skew

There should be 50 changes in Dec with a big sector skew. Turnover is ~10% and 31 stocks will have 1x ADV to trade. Huge ETF inflows have led to...

Brian Freitas

Northbound Flows Monthly (August): $12.8bn Outflows

We analyzed the Shanghai/Shenzhen Connect Scheme for August and highlight flows for CATL, Wuxi Wapptec, Fuyao Glass, Foxconn Industrial, CMB,...

Ke Yan, CFA, FRM

Quiddity Leaderboard CSI 300/500 Dec 23: US$2.5bn One-Way Turnover; Some Changes to Expectations

The 13 CSI 300 Expected ADDs and DELs could see US$824mn index buying and US$534mn index selling. The 50 CSI 500 Expected ADDs and DELs could see...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard CSI 300/500 Dec 23: Massive Baskets, US$2.5bn One-Way

Collectively, the CSI 300 and CSI 500 ADDs could see one-way flows of more than US$2.5bn. However, the flow patterns are complex and it is...

Janaghan Jeyakumar, CFA

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Quiddity Aggregation of CSI300/500 and SSE50/180 Index Flows for Dec 2023: US$4.2bn One-Way!

Large Mainland China index flows coming up. I expect the CSI300/500 and the SSE50/180 Inclusion and Exclusion events to take place at the close of...

Janaghan Jeyakumar, CFA

CSI500 Index Rebalance Preview: ETF Inflows Lead to Performance Skew

There should be 50 changes in Dec with a big sector skew. Turnover is ~10% and 31 stocks will have 1x ADV to trade. Huge ETF inflows have led to...

Brian Freitas

Northbound Flows Monthly (August): $12.8bn Outflows

We analyzed the Shanghai/Shenzhen Connect Scheme for August and highlight flows for CATL, Wuxi Wapptec, Fuyao Glass, Foxconn Industrial, CMB,...

Ke Yan, CFA, FRM

Quiddity Leaderboard CSI 300/​​500 Dec 23: US$2.5bn One-Way Turnover; Some Changes to Expectations

The 13 CSI 300 Expected ADDs and DELs could see US$824mn index buying and US$534mn index selling. The 50 CSI 500 Expected ADDs and DELs could see...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard CSI 300/​500 Dec 23: Massive Baskets, US$2.5bn One-Way

Collectively, the CSI 300 and CSI 500 ADDs could see one-way flows of more than US$2.5bn. However, the flow patterns are complex and it is...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard CSI 300/500 Dec 23: US$2.5bn One-Way Turnover; Some Changes to Expectations

Quiddity Leaderboard CSI 300/500 Dec 23: Massive Baskets, US$2.5bn One-Way