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

Index Rebalance

<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> and 18 changes for the SSE180 Index that will be implemented at the close on 13 December.</li>
<li>
<a href="https://www.smartkarma.com/entities/seres-group-co-ltd" target="_blank" data-smartkarma-citation="entities:29951:1" rel="noopener">Seres Group (601127 CH)</a> is an add to both indices, plus the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a>, and passive trackers will need to buy over US$900m of the stock.</li>
<li>The adds have outperformed the deletes with a lot of the outperformance coming in the last couple of months. Trim positions in the expected adds/deletes and build positions in surprises.</li>
</ul>


There are 5 changes for the SSE50 Index (SSE50 INDEX) and 18 changes for the SSE180 Index that will be implemented at the close on 13 December.

Seres Group (601127 CH) is an add to both indices, plus the CSI 300 Index, and passive trackers will need to buy over US$900m of the stock.
The adds have outperformed the deletes with a lot of the outperformance coming in the last couple of months. Trim positions in the expected adds/deletes and build positions in surprises.


SSE50/SSE180 Index Rebalance: Couple of Surprises; Seres Group's Multiple Inclusions; US$3.2bn Trade

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<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>The reference period is for the December 2024 index rebal event is now complete. In this insight, we have presented our final list of expected ADDs and DELs.</li>
<li><em>While our SSE 50 expected ADDs/DELs list remains unchanged, there have been multiple last-minute changes to our SSE 180 expected ADDs/DELs list.</em></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.
The reference period is for the December 2024 index rebal event is now complete. In this insight, we have presented our final list of expected ADDs and DELs.
While our SSE 50 expected ADDs/DELs list remains unchanged, there have been multiple last-minute changes to our SSE 180 expected ADDs/DELs list.


Quiddity Leaderboard SSE50/180 Dec 24: Multiple Changes to Expectations; ~US$2.3bn Collective Flows

Cambricon Technologies  Lt / Index Rebalance

<ul>
<li>With over 95% of the review period complete, 4 non-constituents are in inclusion zone and 6 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 11.95bn (US$1.7bn). Index arb balances could increase the impact on the stocks.</li>
<li>The potential adds have continued to outperform the potential deletes. There has been a big jump in the last few weeks as markets have rallied. Trim positions into strength.</li>
</ul>


With over 95% of the review period complete, 4 non-constituents are in inclusion zone and 6 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 11.95bn (US$1.7bn). Index arb balances could increase the impact on the stocks.
The potential adds have continued to outperform the potential deletes. There has been a big jump in the last few weeks as markets have rallied. Trim positions into strength.


SSE50 Index Rebalance Preview: Potential Inclusions Continue to Outperform; Trim into Strength

<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>While our SSE 50 expected ADDs/DELs list remains unchanged, there have been multiple changes to our SSE 180 expected ADDs/DELs list.</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.
While our SSE 50 expected ADDs/DELs list remains unchanged, there have been multiple changes to our SSE 180 expected ADDs/DELs list.


Quiddity Leaderboard SSE50/180 Dec 24: Multiple Changes to Expectations; US$2.2bn One-Way

<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>We currently see 5 ADDs/DELs for the SSE 50 index and 18 ADDs/DELs for the SSE 180 index. </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.
We currently see 5 ADDs/DELs for the SSE 50 index and 18 ADDs/DELs for the SSE 180 index. 


Quiddity Leaderboard SSE50/180 Dec 24: Some Changes to Expectations; US$1.5bn One-Way for SSE 50

China

Bank of Jiangsu Co., Ltd. operates as a commercial bank. The Company offers deposits, loans, gross settlement, investment, wealth management, bill discounting, online banking, and other banking services. Bank of Jiangsu also conducts internet finance businesses.

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Bank of Jiangsu (600919 CH)

SSE50/SSE180 Index Rebalance: Couple of Surprises; Seres Group's Multiple Inclusions; US$3.2bn Trade

5/18 changes for the SSE50/180 in Dec. Seres Group is an add to both indices and the CSI300, so plenty to buy there. Couple of other surprises. The...

Brian Freitas

Quiddity Leaderboard SSE50/180 Dec 24: Multiple Changes to Expectations; ~US$2.3bn Collective Flows

We estimate SSE 50 one-way flow to be US$1.98bn and SSE 180 one-way flow to be US$286mn during the December 2024 index rebal event.

Janaghan Jeyakumar, CFA

SSE50 Index Rebalance Preview: Potential Inclusions Continue to Outperform; Trim into Strength

There could be 5 changes in Dec. Estimate 1-way turnover is 6.5% leading to a one-way trade of CNY11.95bn (US$1.7bn). The potential adds have...

Brian Freitas

Quiddity Leaderboard SSE50/180 Dec 24: Multiple Changes to Expectations; US$2.2bn One-Way

On average, the SSE 50 expected ADDs/DELs have ~3x ADV to trade. We expect US$1.9bn one-way flows for SSE 50 and US$288mn one-way flows for SSE 180...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard SSE50/180 Dec 24: Some Changes to Expectations; US$1.5bn One-Way for SSE 50

We estimate one-way flows for SSE 50 and SSE 180 to be US$1.5bn and US$235mn respectively. Some of the names in our expected ADDs/DELs list have...

Janaghan Jeyakumar, CFA

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