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

Huatai Securities Co Ltd (A) / 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 our expectations for potential index changes for SSE 50 and SSE 180 during the June 2024 index rebal event.</li>
<li>According to my estimates, the SSE 50 expected ADDs and DELs could see US$1.7bn index buying and US$828mn index selling respectively (leaving nearly $900mm of funding sales to do).</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.
According to my estimates, the SSE 50 expected ADDs and DELs could see US$1.7bn index buying and US$828mn index selling respectively (leaving nearly $900mm of funding sales to do).


Quiddity Leaderboard SSE50/180 Jun 24: Past Trades Successful but Time to Unwind Some

<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>I continue to expect 5 changes for SSE 50 and 18 changes for SSE 180 but some names have changed since my last insight.</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.
I continue to expect 5 changes for SSE 50 and 18 changes for SSE 180 but some names have changed since my last insight.


Quiddity Leaderboard SSE50/180 Jun 24: Some New Trade Ideas

<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

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>The review period for the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY</a> family of indices, <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a>, <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50</a>, the KRX New Deal Index and a global index ends on 31 January.</li>
<li>The January rebalance of the IDX30 and LQ45 indices will be implemented at the close of trading on 31 January.</li>
<li>There have been huge inflows into the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> ETFs for another week. This will increase the impact on the index changes at the next rebalance.</li>
</ul>


The review period for the NIFTY family of indices, Nikkei 225, STAR50, the KRX New Deal Index and a global index ends on 31 January.
The January rebalance of the IDX30 and LQ45 indices will be implemented at the close of trading on 31 January.
There have been huge inflows into the CSI 300 Index ETFs for another week. This will increase the impact on the index changes at the next rebalance.


Index Rebalance & ETF Flow Recap: CSI300, CSI500, SSE50, ChiNext, KOSPI200, Renesas, IDX30/LQ45

<ul>
<li>Completing three-quarters of the review period, 6 stocks are in inclusion zone and 9 in deletion zone. However, there can be a maximum of 5 changes at a review.</li>
<li>We estimate a one-way turnover of 6.8% at the June rebalance leading to a one-way trade of CNY 7.35bn (US$1.02bn). Index arb balances could increase the impact on the stocks.</li>
<li>The potential adds have outperformed the potential deletes and the <a href="https://www.smartkarma.com/entities/shanghai-stock-exchange-sse-50-a-share-index" target="_blank" data-smartkarma-citation="entities:31073:1" rel="noopener">SSE50 Index (SSE50 INDEX)</a> over the last few months and could continue to do so as positioning builds up.</li>
</ul>


Completing three-quarters of the review period, 6 stocks are in inclusion zone and 9 in deletion zone. However, there can be a maximum of 5 changes at a review.
We estimate a one-way turnover of 6.8% at the June rebalance leading to a one-way trade of CNY 7.35bn (US$1.02bn). Index arb balances could increase the impact on the stocks.
The potential adds have outperformed the potential deletes and the SSE50 Index (SSE50 INDEX) over the last few months and could continue to do so as positioning builds up.


SSE50 Index Rebalance Preview: Financials Staging a Comeback as Expected Trade Tops US$2bn

China

Industrial Bank Co.,Ltd. provides banking services. The Company offers deposits, loans, fund management, foreign currency management, and other services. Industrial Bank provides its services to individuals, enterprises, and other clients.

Postal Savings Bank of China Co., Ltd. provides banking services. The Company offers deposits, loans, fund settlement, and other services. Postal Savings Bank of China provides its services to individuals, enterprises, and other clients.

Bank of Communications Co.,Ltd. provides banking services. The Company offers deposits, loans, domestic settlement, currency trading, and other services. Bank of Communications provides its services to individuals, enterprises, and other clients.

China CITIC Bank Corporation Limited provides banking services. The Company offers deposits, loans, domestic settlement,  currency trading, bank guarantee, and other services. China CITIC Bank provides its services to individuals, enterprises, and other clients.

Ping An Bank Co Ltd provides a full range of commercial banking services including RMB and foreign currency deposit, loan, international and domestic settlement, discount, currency trading, letter of credit, bank guarantee, and other related services.

Shanghai Pudong Development Bank Co., Ltd. provides banking services. The Company provides loans, deposits, accounts settlement, foreign exchange, and other services. Shanghai Pudong Development Bank provides its services to individuals, companies, and other groups.

Shanghai Pudong Development Bank Co. (600000 CH)

China Everbright Bank Company Limited provides banking services. The Company offers deposits, loans, domestic settlement, currency trading, and other services. China Everbright Bank provides its services to individuals, enterprises, and other clients.

Bank of Ningbo Company Ltd is a full service commercial bank. The Bank provides personal and small business loans, trade financing, and retail banking services as well as personal savings and checking accounts. Bank of Ningbo is located in China.

China Minsheng Banking Corp., Ltd. operates in commercial banking businesses. The Bank provides deposit, loan, settlement, discount, financial bond issuance, government bond underwriting and trading, letter of credit, bank guarantee, and other related financial services.

China Merchants Bank Co., Ltd. operates as a commercial bank. The Company provides deposits, loans, wealth management, asset custody, finance leasing, investment banking, and other banking services. China Merchants Bank conducts businesses domestically and internationally.

National Australia Bank Limited is an international banking group which operates in Australia, New Zealand, Europe, Asia and the United States.  The Group offers banking services, credit and access card facilities, leasing, housing and general finance, international and investment banking, wealth and funds management, life insurance and custodian, trustee and nominee services.

DBS Group Holdings Limited and its subsidiaries provide a variety of financial services.  The Company offers services including mortgage financing, lease and hire purchase financing, nominee and trustee, funds management, corporate advisory and brokerage .  DBS Group also acts as the primary dealer in Singapore government securities.

United Overseas Bank Limited provides a wide range of financial services including personal financial services, wealth management, private banking, commercial and corporate banking, transaction banking, investment banking, corporate finance, capital market activities, treasury services, futures broking, asset management, venture capital management and insurance.

Oversea-Chinese Banking Corporation Limited offers a comprehensive range of financial services.  The Company's services include deposit-taking, corporate, enterprise and personal lending, international trade financing, investment banking, private banking, treasury, stockbroking, insurance, credit cards, cash management, asset management and other financial and related services.

Kotak Mahindra Bank Limited is a full service commercial bank. The Bank offers a wide range of products and services such as personal, commercial, and corporate banking services, including deposit accounts, loans, and investments. Kotak Mahindra Bank serves customers in India.

State Bank of India provides a wide range of banking and financial services to corporate, institutional, commercial, agricultural, industrial and individual customers throughout India.  The Bank also provides international banking to its Indian customers and has operations in other countries.

Sumitomo Mitsui Financial Group, Inc. manages financial operations for its subsidiaries. The Company provides commercial banking and a variety of financial services.

Sumitomo Mitsui Financial Group (8316 JP)

Mizuho Financial Group, Inc. provides comprehensive financial services through its subsidiaries. The Group provides variety of financial services such as general banking, securities brokerage, trust banking, and assets management.

PNC Financial Services Group, Inc. is a diversified financial services organization.  The Company provides regional banking, wholesale banking, and asset management services nationally and in the Company's primary regional markets.

PT Bank Central Asia Tbk provides banking and related services.  The Bank also provides custodianship, trusteeship, and management of pension funds of financial institutions.  Through its subsidiaries, the Bank also provides leasing and consumer financing services.

Postal Savings Bank of China C (601658 CH)

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Postal Savings Bank of China C (601658 CH)

Quiddity Leaderboard SSE50/180 Jun 24: Past Trades Successful but Time to Unwind Some

Since 12th March 2024, the LONGs are up 5.42% and the SHORTs are down 0.15% on average. It is time to unwind a couple of these pair trades while...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard SSE50/180 Jun 24: Some New Trade Ideas

SSE 50 expected ADDs and DELs could see US$1.7bn index buying and US$842mn index selling respectively. Flow expectations have increased due to an...

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

Index Rebalance & ETF Flow Recap: CSI300, CSI500, SSE50, ChiNext, KOSPI200, Renesas, IDX30/LQ45

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

SSE50 Index Rebalance Preview: Financials Staging a Comeback as Expected Trade Tops US$2bn

There could be 5 changes in June as one-way turnover nears 7% and round-trip trade hits US$2bn. 4 of the 5 adds are financials and the potential...

Brian Freitas

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