In today’s briefing:
- TOPIX May Rebalance – The BIG Flows at the Close MONDAY
- CSI300 Index Rebalance: Big Sector Shift with 28 Changes
- TOPIX Rebalance: Flows at the Close
- SSE50 Index Rebalance: Some Large Impact Changes
- SSE180/SSE380 Index Rebalance: Potential MSCI/FTSE Adds & Deletes
TOPIX May Rebalance – The BIG Flows at the Close MONDAY
- The TSE Free Float Weight Rebalance to be executed at the close Monday (30 May) is about ¥729bn a side, so it will add ~¥1.5trln to volumes.
- A sector-neutral basket of the 98 top upweights and 98 top downweights across the 33 TOPIX sectors saw the upweights UNDER-perform the downweights by about 0.3% since the April rebalance.
- Monday again sees very large buy and sell flows at the close. This is a guide to taking advantage of those flows. Sector tables and a spreadsheet is attached.
CSI300 Index Rebalance: Big Sector Shift with 28 Changes
- There are 28 changes for the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) at the upcoming rebalance that will be implemented at the close of trading on 9 June.
- We had forecast nearly all the changes, though the index committee seems to have used discretion in deciding not to add three Distillers to the index, leading to other changes.
- There’s a large sector skew with Industrials, Information Technology and Materials stocks taking 17 more spots in the index, while Health Care and Financials lose 9 and 5 spots respectively.
TOPIX Rebalance: Flows at the Close
- The second tranche of the FFW methodology change for the Tokyo Stock Exchange Tokyo Price Index Topix (TPX INDEX) will be implemented at the close of trading today.
- One way flow is ~JPY 745bn and will be spread across ~2170 stocks. The largest inflow will be on NTT (9432 JP) and the largest outflow on Toyota Motor (7203).
- The stocks with the largest inflows have outperformed the stocks with the largest outflows over the last month and the outperformance could continue going into the last tranche in June.
SSE50 Index Rebalance: Some Large Impact Changes
- There are 5 changes for the SSE50 Index that will be implemented at the close on 9 June. The impact is pretty chunky on a few deletions.
- Apart from the passive assets tracking the index, there are some liquid index futures and the impact on the stocks will be larger than just the headline numbers.
- The adds underperformed the deletes in March and April but have come roaring back in May. Playing the trade via long/short pairs could provide better risk adjusted returns.
SSE180/SSE380 Index Rebalance: Potential MSCI/FTSE Adds & Deletes
- There are 18 changes to the SSE180 Index and 38 changes to the SSE380 Index that will be implemented at the close of trading on 9 June.
- There will be 9 deletions from the MSCI Standard Index and 22 deletions from the FTSE All-World/All-Cap indices at the close on 9 June.
- Currently, 16 stocks meet the threshold/are close for inclusion in the MSCI China Index while there are 38 stocks that meet the threshold for inclusion in the FTSE All-World/All-Cap indices.
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