Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

<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 the names leading the race to become ADDs and DELs during the December 2024 index rebal event.</li>
<li>Some of our index change expectations have changed since our <a href="https://www.smartkarma.com/insights/quiddity-leaderboard-sse50-180-dec-24-us-1-6bn-one-way-some-changes-to-expectations" target="_blank" rel="noopener">last insight</a>.</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 the names leading the race to become ADDs and DELs during the December 2024 index rebal event.
Some of our index change expectations have changed since our last insight.


Quiddity Leaderboard SSE50/180 Dec 24: SSE 50 Expected ADDs Vs DELs Trade Looks Interesting

Articles from Caixin Global, Caixin Global

Caixin Global

Articles from Caixin Global

Caixin is a media group dedicated to providing financial and business news through periodicals, online content, mobile apps, conferences, books and TV/video programs. Caixin aims to blaze a trail that helps traditional media prosper in the new media age through integrated multimedia platforms.

News from Caixin

Cross Asset Strategy

<ul><li>Trade / Cover Story: Fixing China’s trade imbalance needs a home remedy</li><li>FDI /: Net foreign direct investment withdrawals from China hit record high</li><li>Zhongzhi /: Criminal charges handed to 49 Zhongzhi employees after dramatic downfall</li></ul>

Trade / Cover Story: Fixing China’s trade imbalance needs a home remedyFDI /: Net foreign direct investment withdrawals from China hit record highZhongzhi /: Criminal charges handed to 49 Zhongzhi employees after dramatic downfall

CX Daily: Fixing China’s Trade Imbalance Needs a Home Remedy 

<ul><li>Trucks /In Depth: As sales surge, electric trucks could be here for the long haul</li><li>Drones /: China adds drone components with military applications to export blacklist</li><li>PMI /: China’s manufacturing shrinks for first time in nine months as demand falls, Caixin PMI shows</li></ul>

Trucks /In Depth: As sales surge, electric trucks could be here for the long haulDrones /: China adds drone components with military applications to export blacklistPMI /: China’s manufacturing shrinks for first time in nine months as demand falls, Caixin PMI shows

As Sales Surge, Electric Trucks Could Be Here for the Long Haul

<ul><li>Plenum /: Plenum Explained: Beijing outlines reforms to boost foreign trade and promote the private sector</li><li>U.S. /Cover Story: U.S. presidential race upended by Biden’s withdrawal, assassination attempt on Trump</li><li>Corruption /: China’s top prosecutors order arrest of former vice chair of Hunan legislature</li></ul>

Plenum /: Plenum Explained: Beijing outlines reforms to boost foreign trade and promote the private sectorU.S. /Cover Story: U.S. presidential race upended by Biden’s withdrawal, assassination attempt on TrumpCorruption /: China’s top prosecutors order arrest of former vice chair of Hunan legislature

CX Daily: Beijing to Bolster Industrial Chains, Promote Private Sector

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

Cambricon Technologies  Lt / Index Rebalance

<ul>
<li>With 70% of the review period complete, 4 non-constituents are in inclusion zone and 5 constituents are in deletion zone.</li>
<li>We estimate one-way turnover of 6.5% at the December rebalance leading to a one-way trade of CNY 8.8bn (US$1.2bn). Index arb balances could increase the impact on the stocks.</li>
<li>The potential adds have outperformed the potential deletes. With multiple days ADV to trade on the changes and the recent short selling clampdown, there could be further outperformance.</li>
</ul>


With 70% of the review period complete, 4 non-constituents are in inclusion zone and 5 constituents are in deletion zone.
We estimate one-way turnover of 6.5% at the December rebalance leading to a one-way trade of CNY 8.8bn (US$1.2bn). Index arb balances could increase the impact on the stocks.
The potential adds have outperformed the potential deletes. With multiple days ADV to trade on the changes and the recent short selling clampdown, there could be further outperformance.


SSE50 Index Rebalance Preview: Potential Inclusions Outperforming (And How!)

China

SAIC Motor Corporation Ltd., through joint ventures, manufactures and markets automobiles and related parts and accessories.

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SAIC Motor (600104 CH)

Quiddity Leaderboard SSE50/180 Dec 24: SSE 50 Expected ADDs Vs DELs Trade Looks Interesting

The 5 SSE 50 expected ADDs/DELs could result in US$1.4bn one-way flows and the 18 SSE 180 changes cause US$243mn one-way flows in December 2024.

Janaghan Jeyakumar, CFA

CX Daily: Fixing China’s Trade Imbalance Needs a Home Remedy

Trade / Cover Story: Fixing China’s trade imbalance needs a home remedy Amid a prolonged real estate downturn and lukewarm domestic consumption,...

Caixin Global

As Sales Surge, Electric Trucks Could Be Here for the Long Haul

Trucks /In Depth: As sales surge, electric trucks could be here for the long haul Drones /: China adds drone components with military applications...

Caixin Global

CX Daily: Beijing to Bolster Industrial Chains, Promote Private Sector

Plenum /: Plenum Explained: Beijing outlines reforms to boost foreign trade and promote the private sector U.S. /Cover Story: U.S. presidential...

Caixin Global

SSE50 Index Rebalance Preview: Potential Inclusions Outperforming (And How!)

There could be 4-5 changes in Dec. Estimate one-way turnover is 6.5% leading to a one-way trade of CNY 8.8bn (US$1.2bn). The potential adds have...

Brian Freitas

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52-week Range

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