Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/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

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!)

Beijing-Shanghai High Speed Ra / Index Rebalance

Beijing-Shanghai High Speed Ra (601816 CH)

<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>There have been some changes to the SSE 180 expected ADDs/DELs lists since our last insight.</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.
There have been some changes to the SSE 180 expected ADDs/DELs lists since our last insight.


Quiddity Leaderboard SSE50/180 Dec 24: US$1.6bn+ One-Way; Some Changes to Expectations.

<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 estimate one-way flows to be US$1.4bn and US$235mn for the SSE 50 and 180, respectively.</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 estimate one-way flows to be US$1.4bn and US$235mn for the SSE 50 and 180, respectively.


Quiddity Leaderboard SSE50/180 Dec 24: Some Expected DELs Could Underperform Peers

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Event-Driven

<ul>
<li>The Quiddity Mainland Connect NORTHBOUND Monitor. Like the A/H Premium Monitor and HK Connect SOUTHBOUND Monitor. Lots of Flows/Position Tables and Charts with which to play.</li>
<li>Last week saw NORTHBOUND net BUY RMB 5.3bn of A-shares on lower gross volumes. NORTHBOUND bought utilities, renewables, and semiconductors, and sold Kweichow Moutai, Midea, Bk Jiangsu, and Wuliangye Yibin.</li>
<li>Ongoing questions as to whether the NORTHBOUND volumes to the buy side are all foreigners. Some suspect there is national team buying mixed in, as was expected from earlier announcements.</li>
</ul>


The Quiddity Mainland Connect NORTHBOUND Monitor. Like the A/H Premium Monitor and HK Connect SOUTHBOUND Monitor. Lots of Flows/Position Tables and Charts with which to play.
Last week saw NORTHBOUND net BUY RMB 5.3bn of A-shares on lower gross volumes. NORTHBOUND bought utilities, renewables, and semiconductors, and sold Kweichow Moutai, Midea, Bk Jiangsu, and Wuliangye Yibin.
Ongoing questions as to whether the NORTHBOUND volumes to the buy side are all foreigners. Some suspect there is national team buying mixed in, as was expected from earlier announcements.


Mainland Connect NORTHBOUND Flows (To 7 June 2024): Large Renewables Buying Drive Small Net Buying

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)

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

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

Quiddity Leaderboard SSE50/180 Dec 24: US$1.6bn+ One-Way; Some Changes to Expectations.

There could be US$1.4bn and US$240mn one-way flows, respectively, for the SSE 50 and SSE 180 December 2024 rebalances. Around 70% of the reference...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard SSE50/180 Dec 24: Some Expected DELs Could Underperform Peers

We see 5 changes for the SSE 50 index and 18 changes for the SSE 180 index. There are four more months for the reference period to end and our...

Janaghan Jeyakumar, CFA

Mainland Connect NORTHBOUND Flows (To 7 June 2024): Large Renewables Buying Drive Small Net Buying

NORTHBOUND saw net buying this week. Large caps saw net selling but semiconductor names see ongoing buying. I expect semicaps will continue to see...

Travis Lundy

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