In today’s briefing:
- CSI 500 Index Rebalance: 50 Changes a Side Leads to 12%+ One-Way Turnover
- FTSE China 50 Index Rebalance: JD Health, Yum China IN; Longfor, Xpeng OUT
- FTSE EPRA Nareit Index Rebalance: One Deletion for Australia
- CES China Semiconductor Chips Index Rebalance: Four Changes in December
- ChiNext/ChiNext 50 Index Rebalance: Materials & Industrials Take Spots from IT, Health Care
- FTSE TWSE Taiwan 50 Index Rebalance: Far Eastern New Century IN; AUO OUT
- Toshiba Privatisation In Trouble
- S&P ASX Dec 22 Rebalance: MND Is the Top Pick
- Index Rebalance & ETF Flow Recap: STAR50, CSI300/500, SSE50/180/380, ChiNext, SZSE1000, CH50, EPRA
- FTSE TWSE Dividend+ Dec 22: Confirmed Index Changes and Revised Capping Flow Expectations
CSI 500 Index Rebalance: 50 Changes a Side Leads to 12%+ One-Way Turnover
- There are 50 changes a side for the CSI 500 Index at the upcoming rebalance that will be implemented at the close of trading on 9 December.
- One-Way turnover at the rebalance is estimated at 12.64% leading to a one-way trade of CNY 9.3bn. The Materials, Information Technology and Consumer Discretionary sectors are net gainers.
- 9 adds to the CSI 500 Index are deletes from the CSI 300 Index while 7 deletes from the CSI 500 Index are adds to the CSI 300 Index.
FTSE China 50 Index Rebalance: JD Health, Yum China IN; Longfor, Xpeng OUT
- JD Health (6618 HK) and Yum China Holdings Inc (9987 HK) will replace Longfor Properties (960 HK) and XPeng (9868 HK) in the FTSE China 50 Index on 16 December.
- The largest flow and impact of passive trading will be on Yum China Holdings Inc (9987 HK). There could be buying on Yum China Holdings, Inc (YUMC US) overnight.
- Short interest on the deletes is over 7% of float and there could be short covering against the passive selling at the close on 16 December.
FTSE EPRA Nareit Index Rebalance: One Deletion for Australia
- There are no adds for the FTSE EPRA Nareit Developed Asia Index in December. The only deletion is Home Consortium Ltd (HMC AU).
- Passive trackers are estimated to sell 12x ADV on Home Consortium Ltd at the close 16 December. Short interest is nearly the same and there could be some covering.
- Home Consortium Ltd (HMC AU) has underperformed its peers over the last 12 months and still trades more expensive to its peer group.
CES China Semiconductor Chips Index Rebalance: Four Changes in December
- There are 4 changes for the CES China Semiconductor Chips Index that will be implemented at the close on 9 December.
- Empyrean Technology, GalaxyCore, Shanghai Fudan Microelectronics and Shanghai Awinic Technology will replace Grinm Advanced Materials, Chengdu Corpro Technology, Shanghai Sinyang Smcndctr Mtls and Espressif Systems Shanghai in the index.
- Shanghai Fudan Microelectronics Group (688385 CH) will be added to the MSCI China Index at the close today and will also be added to the CSI 500 Index in December.
ChiNext/ChiNext 50 Index Rebalance: Materials & Industrials Take Spots from IT, Health Care
- There will be 10 changes for the Chinext Price Index and 5 changes for the ChiNext 50 Index. Implementation is at the close on 9 December.
- One surprise is the inclusion of Hunan Zhongke Electric Co,Ltd. (300035 CH) in both indices. Four stocks are adds to both indices while two stocks are deletes from both indices.
- The adds have outperformed the deletes over the last 8 months but have given up some of the gains over the last month. There is a big sector skew.
FTSE TWSE Taiwan 50 Index Rebalance: Far Eastern New Century IN; AUO OUT
- Far Eastern New Century (1402 TT) will replace AU Optronics (2409 TT) in the FTSE TWSE Taiwan 50 Index at the close on 16 December.
- Passive trackers will need to buy 4.8 days of ADV on Far Eastern New Century (1402 TT) and sell 1.9 days of ADV on AU Optronics (2409 TT).
- There will be same way flow from FTSE TWSE Taiwan Dividend+ Index trackers on both stocks and that will significantly add to the passive flow.
Toshiba Privatisation In Trouble
- After a few successive rounds of Management and Board Proposals were shot down, last March Toshiba Corp (6502 JP) embarked on a process to generate a privatisation proposal.
- The result has ended up with one, maybe two privatisation proposals in the offing. The “leading” candidate’s proposal will not fly as proposed. The other is MIA for the moment.
- That leaves a complicated situation. Activists+active holders are stuck with Toshiba and vice versa. They want change, and out, and financiers do too. Change happens. The question is how.
S&P ASX Dec 22 Rebalance: MND Is the Top Pick
- The index changes for the S&P ASX Index family for the December 2022 Rebalance were announced after the close on Friday 2nd December 2022.
- There will be one ADD/DEL for the ASX 50 index and one ADD/DEL for the ASX 200 index.
- In this insight, we take a closer look at our expectations for index flows and potential trading ideas.
Index Rebalance & ETF Flow Recap: STAR50, CSI300/500, SSE50/180/380, ChiNext, SZSE1000, CH50, EPRA
- It was a busy week with the implementation of the MSCI Nov SAIR and the Hang Seng December rebalance, plus a lot of announcements for the FTSE indices.
- The coming week has the implementation of the December rebalance for the KOSPI2 INDEX, KOSDAQ 150 Index and a range of indices in China.
- Inflows to iShares MSCI Emerging Markets (EEM) and iShares MSCI ACWI ETF (ACWI US) during the week as markets move higher on expectations of slower rate hikes from the Fed.
FTSE TWSE Dividend+ Dec 22: Confirmed Index Changes and Revised Capping Flow Expectations
- The index changes for the FTSE TWSE Taiwan Dividend+ Index for the December 2022 index review were confirmed after market close on Friday 2nd December 2022.
- There will be 26 ADDs and 5 DELs which are mostly in line with Quiddity’s expectations.
- In this insight, we take a look at our revised expectations for capping flows taking into account the confirmed index changes for the December 2022 review
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