Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Event-Driven

Beijing Kingsoft Office Softwa / Event-Driven

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.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 <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.

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

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.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 <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.

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

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

In our weekly Shanghai/Shenzhen Connect Ideas series, we aim to help our investors understand the flow of northbound trades via the Shanghai and Shenzhen Connect, as analyzed by our proprietary data engine and highlight interesting trade ideas. We split the stocks eligible for the Shanghai/Shenzhen Connect trade into two groups: stocks with a market capitalization above USD 5 billion, as well as between USD 1 billion and USD 5 billion.In this insight, we will highlight inflows into <a href="https://www.smartkarma.com/entities/ping-an-insurance-group-co-of" target="_blank" data-smartkarma-citation="entities:24682:1" rel="noopener">Ping An Insurance Group Co Of (601318 CH)</a> and <a href="https://www.smartkarma.com/entities/east-money-information-co-a" target="_blank" data-smartkarma-citation="entities:8075:1" rel="noopener">East Money Information Co A (300059 CH)</a>, as well as outflows from <a href="https://www.smartkarma.com/entities/han-s-laser-technology-in-a" target="_blank" data-smartkarma-citation="entities:18441:1" rel="noopener">Han'S Laser Technology In A (002008 CH)</a>, and <a href="https://www.smartkarma.com/entities/hangzhou-hikvision-digital-techgy-co-ltd" target="_blank" data-smartkarma-citation="entities:7152:1" rel="noopener">Hangzhou Hikvision (002415 CH)</a>.

In our weekly Shanghai/Shenzhen Connect Ideas series, we aim to help our investors understand the flow of northbound trades via the Shanghai and Shenzhen Connect, as analyzed by our proprietary data engine and highlight interesting trade ideas. We split the stocks eligible for the Shanghai/Shenzhen Connect trade into two groups: stocks with a market capitalization above USD 5 billion, as well as between USD 1 billion and USD 5 billion.In this insight, we will highlight inflows into Ping An Insurance Group Co Of (601318 CH) and East Money Information Co A (300059 CH), as well as outflows from Han'S Laser Technology In A (002008 CH), and Hangzhou Hikvision (002415 CH).

Shanghai/​Shenzhen Connect Ideas: Ping An, Han's Laser, Hikvision, East Money (2019-07-19)

Equity Bottom-Up

Chongqing Zhifei Biological Products / Equity Bottom-Up

In our weekly Shanghai/Shenzhen Connect Ideas series, we aim to help our investors understand the flow of northbound trades via the Shanghai and Shenzhen Connect, as analyzed by our proprietary data engine and highlight interesting trade ideas. 
We split the stocks eligible for the Shanghai/Shenzhen Connect trade into two groups: stocks with a market capitalization above USD 5 billion, as well as between USD 1 billion and USD 5 billion. 
In this insight, we would like to highlight the three weeks of consecutive inflows into A-share stocks. We highlight the top inflows including <a href="https://www.smartkarma.com/entities/midea-group-co-ltd-a" target="_blank" data-smartkarma-citation="entities:16185:1" rel="noopener">Midea Group Co Ltd A (000333 CH)</a>​, <a href="https://www.smartkarma.com/entities/tsingtao-brewery-co-ltd-a" target="_blank" data-smartkarma-citation="entities:846:1" rel="noopener">Tsingtao Brewery Co Ltd A (600600 CH)</a> ​and <a href="https://www.smartkarma.com/entities/chongqing-zhifei-biological-prdct-co-ltd" target="_blank" data-smartkarma-citation="entities:6245:1" rel="noopener">Chongqing Zhifei Biological Prdct (300122 CH)</a>​. We also highlight the outflows <a href="https://www.smartkarma.com/entities/china-merchants-bank-co-ltd" target="_blank" data-smartkarma-citation="entities:714:1" rel="noopener">China Merchants Bank A (600036 CH)</a> ​which preceded news report that the bank could face severe penalty given its potential involvement in North Korea related transaction.

In our weekly Shanghai/Shenzhen Connect Ideas series, we aim to help our investors understand the flow of northbound trades via the Shanghai and Shenzhen Connect, as analyzed by our proprietary data engine and highlight interesting trade ideas. 
We split the stocks eligible for the Shanghai/Shenzhen Connect trade into two groups: stocks with a market capitalization above USD 5 billion, as well as between USD 1 billion and USD 5 billion. 
In this insight, we would like to highlight the three weeks of consecutive inflows into A-share stocks. We highlight the top inflows including Midea Group Co Ltd A (000333 CH)​, Tsingtao Brewery Co Ltd A (600600 CH) ​and Chongqing Zhifei Biological Prdct (300122 CH)​. We also highlight the outflows China Merchants Bank A (600036 CH) ​which preceded news report that the bank could face severe penalty given its potential involvement in North Korea related transaction.

Shanghai/​Shenzhen Connect Ideas: USD 3.3 Bn Inflows, CMB, Tsingtao, Zhifei (2019-06-21)

In our weekly Shanghai/Shenzhen Connect Snippet series, we aim to help our investors understand the flow of northbound trades via the Shanghai and Shenzhen Connect, as analyzed by our proprietary data engine and highlight interesting trade ideas. We split the stocks eligible for the Shanghai/Shenzhen Connect trade into two groups: stocks with a market capitalization above USD 5 billion, as well as between USD 1 billion and USD 5 billion. In this insight, we will highlight the consecutive three weeks of net outflow from the A-share market. We highlight the inflows into <a href="https://www.smartkarma.com/entities/foshan-haitian-flavouring-food-co-ltd" target="_blank" data-smartkarma-citation="entities:15577:1">Foshan Haitian Flavouring &amp; Food (603288 CH)</a>, a leading culinary ingredient manufacturer, in contrast to the outflows from <a href="https://www.smartkarma.com/entities/1553" target="_blank" data-smartkarma-citation="entities:1553:1">Kweichow Moutai Co Ltd A (600519 CH),</a> a leading premium hard liquor manufacturer.

In our weekly Shanghai/Shenzhen Connect Snippet series, we aim to help our investors understand the flow of northbound trades via the Shanghai and Shenzhen Connect, as analyzed by our proprietary data engine and highlight interesting trade ideas. We split the stocks eligible for the Shanghai/Shenzhen Connect trade into two groups: stocks with a market capitalization above USD 5 billion, as well as between USD 1 billion and USD 5 billion. In this insight, we will highlight the consecutive three weeks of net outflow from the A-share market. We highlight the inflows into Foshan Haitian Flavouring &amp; Food (603288 CH), a leading culinary ingredient manufacturer, in contrast to the outflows from Kweichow Moutai Co Ltd A (600519 CH), a leading premium hard liquor manufacturer.

Shanghai/​Shenzhen Connect Snippet: Moutai Out, Foshan Haitian In (2019-05-31)

China

Sungrow Power Supply Company Limited develops, produces, sells and provides services for solar PV inverters, wind power converters and other power supply. The Company also provides system solutions to renewable energy industry users.

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Sungrow Power Supply (300274 CH)

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

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

Shanghai/Shenzhen Connect Ideas: Ping An, Han's Laser, Hikvision, East Money (2019-07-19)

In our weekly Shanghai/Shenzhen Connect Ideas series, we aim to help our investors understand the flow of northbound trades via the Shanghai and...

Ke Yan, CFA, FRM

Shanghai/Shenzhen Connect Ideas: USD 3.3 Bn Inflows, CMB, Tsingtao, Zhifei (2019-06-21)

In our weekly Shanghai/Shenzhen Connect Ideas series, we aim to help our investors understand the flow of northbound trades via the Shanghai and...

Ke Yan, CFA, FRM

Shanghai/Shenzhen Connect Snippet: Moutai Out, Foshan Haitian In (2019-05-31)

In our weekly Shanghai/Shenzhen Connect Snippet series, we aim to help our investors understand the flow of northbound trades via the Shanghai and...

Ke Yan, CFA, FRM

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

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

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

Shanghai/​Shenzhen Connect Ideas: Ping An, Han's Laser, Hikvision, East Money (2019-07-19)

In our weekly Shanghai/Shenzhen Connect Ideas series, we aim to help our investors understand the flow of northbound trades via the Shanghai and...

Ke Yan, CFA, FRM

Shanghai/​Shenzhen Connect Ideas: USD 3.3 Bn Inflows, CMB, Tsingtao, Zhifei (2019-06-21)

In our weekly Shanghai/Shenzhen Connect Ideas series, we aim to help our investors understand the flow of northbound trades via the Shanghai and...

Ke Yan, CFA, FRM

Shanghai/​Shenzhen Connect Snippet: Moutai Out, Foshan Haitian In (2019-05-31)

In our weekly Shanghai/Shenzhen Connect Snippet series, we aim to help our investors understand the flow of northbound trades via the Shanghai and...

Ke Yan, CFA, FRM

Shanghai/Shenzhen Connect Ideas: Ping An, Han's Laser, Hikvision, East Money (2019-07-19)

Shanghai/Shenzhen Connect Ideas: USD 3.3 Bn Inflows, CMB, Tsingtao, Zhifei (2019-06-21)

Shanghai/Shenzhen Connect Snippet: Moutai Out, Foshan Haitian In (2019-05-31)