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

<ul>
<li>The announcement of the inclusion of <a href="https://www.smartkarma.com/entities/uber-technologies-inc" target="_blank" data-smartkarma-citation="entities:430:1" rel="noopener">Uber Technologies (UBER US)</a> in the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX</a> was a big one last week. There were announcements for some other indices too.</li>
<li>There are many indices in China that will be rebalanced at the close on Friday, the biggest being 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</a>, <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500</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>, <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</a> and <a href="https://www.smartkarma.com/entities/kraneshares-csi-china-internet-etf" target="_blank" data-smartkarma-citation="entities:28208:1" rel="noopener">KWEB US</a>.</li>
<li>Relatively quiet in ETF world with net inflows to China focused ETFs and net outflows for Japan.</li>
</ul>


The announcement of the inclusion of Uber Technologies (UBER US) in the S&amp;P 500 INDEX was a big one last week. There were announcements for some other indices too.
There are many indices in China that will be rebalanced at the close on Friday, the biggest being the CSI 300, CSI 500, STAR50, SSE50 and KWEB US.
Relatively quiet in ETF world with net inflows to China focused ETFs and net outflows for Japan.


Index Rebalance & ETF Flow Recap: KWEB, CSI300/500, STAR50, SSE50, ChiNext, SET50, Chips, Denso, SPX

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 weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of November 24th.</li>
<li>We estimate the weekly outflows to be US$432.1 million, led by information technology, materials, and offset by health care, consumer discretionary, consumer staples.</li>
<li>We highlight flows for Chongqing Changan Automobile, Chongqing Sokon Industry Group Stock, Sungrow Power Supply, BYD.</li>
</ul>


We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of November 24th.
We estimate the weekly outflows to be US$432.1 million, led by information technology, materials, and offset by health care, consumer discretionary, consumer staples.
We highlight flows for Chongqing Changan Automobile, Chongqing Sokon Industry Group Stock, Sungrow Power Supply, BYD.


Northbound Flows (Nov 24th): Chongqing Changan Automobile, Sokon, Sungrow Power, BYD

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

<ul>
<li>The New and Better (17 weeks old) A-H Monitor has tables, charts, measures galore to track A/H premium positioning, southbound and northbound positioning/volatility in pairs over time, etc.</li>
<li>Hs with H/A pairs <em>under</em>-perform their As on average. H/A Pair intracorrelation is up and A premia continue to trend better.</li>
<li>SOUTHBOUND and NORTHBOUND were net sells overall. Everybody sold tech.</li>
</ul>


The New and Better (17 weeks old) A-H Monitor has tables, charts, measures galore to track A/H premium positioning, southbound and northbound positioning/volatility in pairs over time, etc.
Hs with H/A pairs under-perform their As on average. H/A Pair intracorrelation is up and A premia continue to trend better.
SOUTHBOUND and NORTHBOUND were net sells overall. Everybody sold tech.


A/H Premium Tracker (To 24 Nov 23): H Down Vs A, SOUTHBOUND Selling Continues, Tech Still Sold

Semiconductor Manufacturing International Corporation (SMIC) / Event-Driven

Semiconductor Manufacturing International Corporation (SMIC)

<ul>
<li>There are 5 changes for 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> that will be implemented at the close on 8 December. There is over 1x ADV to trade on some stocks.</li>
<li>We estimate a one-way turnover of 5.4% at the December rebalance leading to a one-way trade of CNY 4.85bn. Index arb activity could add to the impact on the stocks.</li>
<li>The adds, deletes and <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> have moved nearly in lockstep since May and the passive flows could move things around a bit.</li>
</ul>


There are 5 changes for the SSE50 Index (SSE50 INDEX) that will be implemented at the close on 8 December. There is over 1x ADV to trade on some stocks.
We estimate a one-way turnover of 5.4% at the December rebalance leading to a one-way trade of CNY 4.85bn. Index arb activity could add to the impact on the stocks.
The adds, deletes and SSE50 Index (SSE50 INDEX) have moved nearly in lockstep since May and the passive flows could move things around a bit.


SSE50 Index Rebalance: Five Changes; Adds & Deletes Moving in Lockstep

China

Wingtech Technology Co.,Ltd manufactures communications equipment. The Company produces mobile phones, tablets, smart devices, and other equipment. Wingtech Technology also operates real estate development, hotel management, financing, and other businesses.

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Wingtech Technology (600745 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

Index Rebalance & ETF Flow Recap: KWEB, CSI300/500, STAR50, SSE50, ChiNext, SET50, Chips, Denso, SPX

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

Brian Freitas

Northbound Flows (Nov 24th): Chongqing Changan Automobile, Sokon, Sungrow Power, BYD

We analyzed northbound Shanghai/Shenzhen connect flows in the past week and highlight flows for Chongqing Changan Automobile, Sokon, Sungrow Power...

Ke Yan, CFA, FRM

A/H Premium Tracker (To 24 Nov 23): H Down Vs A, SOUTHBOUND Selling Continues, Tech Still Sold

The Quiddity A/H Premium tracker (an H/A discount version is also available (and I like that one better)). Hs underperform As. Tech is worst....

Travis Lundy

SSE50 Index Rebalance: Five Changes; Adds & Deletes Moving in Lockstep

There are 5 changes in Dec resulting in 1-way turnover of 5.4% and 1-way trade of CNY 4.85bn. The adds and deletes have moved in lockstep over the...

Brian Freitas

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