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

Bank of Communications   / Index Rebalance

<ul>
<li>With the review period nearing completion, 6 stocks are in inclusion zone and 8 are in deletion zone. However, there can be a maximum of 5 changes at a review.</li>
<li>We estimate a one-way turnover of 7% at the June rebalance leading to a one-way trade of CNY 9.7bn (US$1.34bn). Index arb balances could increase the impact on the stocks.</li>
<li>The inflows into mainland China ETFs have further increased the flow and impact on the potential changes. The potential adds have continued to outperform the potential deletes.</li>
</ul>


With the review period nearing completion, 6 stocks are in inclusion zone and 8 are in deletion zone. However, there can be a maximum of 5 changes at a review.
We estimate a one-way turnover of 7% at the June rebalance leading to a one-way trade of CNY 9.7bn (US$1.34bn). Index arb balances could increase the impact on the stocks.
The inflows into mainland China ETFs have further increased the flow and impact on the potential changes. The potential adds have continued to outperform the potential deletes.


SSE50 Index Rebalance Preview: 5 Changes and US$2.7bn Round-Trip Trade

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Huatai Securities Co Ltd (A) / 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 our expectations for potential index changes for SSE 50 and SSE 180 during the June 2024 index rebal event.</li>
<li>According to my estimates, the SSE 50 expected ADDs and DELs could see US$1.7bn index buying and US$828mn index selling respectively (leaving nearly $900mm of funding sales to do).</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 our expectations for potential index changes for SSE 50 and SSE 180 during the June 2024 index rebal event.
According to my estimates, the SSE 50 expected ADDs and DELs could see US$1.7bn index buying and US$828mn index selling respectively (leaving nearly $900mm of funding sales to do).


Quiddity Leaderboard SSE50/180 Jun 24: Past Trades Successful but Time to Unwind Some

<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 our expectations for potential index changes for SSE 50 and SSE 180 during the June 2024 index rebal event.</li>
<li>I continue to expect 5 changes for SSE 50 and 18 changes for SSE 180 but some names have changed since my 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 our expectations for potential index changes for SSE 50 and SSE 180 during the June 2024 index rebal event.
I continue to expect 5 changes for SSE 50 and 18 changes for SSE 180 but some names have changed since my last insight.


Quiddity Leaderboard SSE50/180 Jun 24: Some New Trade Ideas

Asia Pac ECM and Index Rebal, Shenton Research

Ke Yan, CFA, FRM

Asia Pac ECM and Index Rebal

Asia Pac IPO & Placement Research, China Biotech

DZT Research

DZT Research is an independent Asia Pacific equity specialist. Our quantitative research covers index rebalancing flows, alongside exchange data analytics accross Asia Pacific. On the equity capital markets side, we focus on Asia Pacific ECM, especially biotech and TMT. Our lead analyst is frequently cited by international media.

Quantitative Analysis

<ul>
<li>We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.</li>
<li>The monthly inflows of US$9.3bn tops the monthly inflows in the past 12 months. The inflows were led by the financials, consumer staples, and industrial sectors.</li>
<li>We highlight inflows into Moutai, Ping An, CMB, ICBC, Wuliangye.</li>
</ul>


We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
The monthly inflows of US$9.3bn tops the monthly inflows in the past 12 months. The inflows were led by the financials, consumer staples, and industrial sectors.
We highlight inflows into Moutai, Ping An, CMB, ICBC, Wuliangye.


Northbound Flows (Feb): $9.3bn Inflows in Feb

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Event-Driven

Contemporary Amperex Technology (CATL) / Event-Driven

Contemporary Amperex Technology (CATL) (300750 CH)

<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 23.5bn of A-shares on strong average activity after RMB +49bn the previous four trading weeks. More efforts by authorities to eliminate selling.</li>
<li>No finance names of any kind in the top ten this week after 5/10 the week before. Slight tendencies to trade on reversion.</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 23.5bn of A-shares on strong average activity after RMB +49bn the previous four trading weeks. More efforts by authorities to eliminate selling.
No finance names of any kind in the top ten this week after 5/10 the week before. Slight tendencies to trade on reversion.


Mainland Connect NORTHBOUND Flows (To 1 Mar 2024): Foreigners Buy a New Set of Names

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.

Price Gauge
52-week Range	0.00 - 0.00
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Bank of Jiangsu (600919 CH)

SSE50 Index Rebalance Preview: 5 Changes and US$2.7bn Round-Trip Trade

There could be 5 index changes in June. We estimate a one-way turnover of 7% at the June rebalance leading to a one-way trade of CNY 9.7bn...

Brian Freitas

Quiddity Leaderboard SSE50/180 Jun 24: Past Trades Successful but Time to Unwind Some

Since 12th March 2024, the LONGs are up 5.42% and the SHORTs are down 0.15% on average. It is time to unwind a couple of these pair trades while...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard SSE50/180 Jun 24: Some New Trade Ideas

SSE 50 expected ADDs and DELs could see US$1.7bn index buying and US$842mn index selling respectively. Flow expectations have increased due to an...

Janaghan Jeyakumar, CFA

Northbound Flows (Feb): $9.3bn Inflows in Feb

Analysis of Shanghai/Shenzhen northbound Connect flows shows record monthly inflows of US$9.3bn, led by financials, consumer staples, and...

Ke Yan, CFA, FRM

Mainland Connect NORTHBOUND Flows (To 1 Mar 2024): Foreigners Buy a New Set of Names

Mainland Connect NORTHBOUND net flows were again heavily to the buy side. This is the fifth week of trading in a row of net buying. Almost every...

Travis Lundy

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

SSE50 Index Rebalance Preview: 5 Changes and US$2.7bn Round-Trip Trade

There could be 5 index changes in June. We estimate a one-way turnover of 7% at the June rebalance leading to a one-way trade of CNY 9.7bn...

Brian Freitas

Quiddity Leaderboard SSE50/180 Jun 24: Past Trades Successful but Time to Unwind Some

Since 12th March 2024, the LONGs are up 5.42% and the SHORTs are down 0.15% on average. It is time to unwind a couple of these pair trades while...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard SSE50/180 Jun 24: Some New Trade Ideas

SSE 50 expected ADDs and DELs could see US$1.7bn index buying and US$842mn index selling respectively. Flow expectations have increased due to an...

Janaghan Jeyakumar, CFA

Northbound Flows (Feb): $9.3bn Inflows in Feb

​Analysis of Shanghai/Shenzhen northbound Connect flows shows record monthly inflows of US$9.3bn, led by financials, consumer staples, and...

Ke Yan, CFA, FRM

Mainland Connect NORTHBOUND Flows (To 1 Mar 2024): Foreigners Buy a New Set of Names

Mainland Connect NORTHBOUND net flows were again heavily to the buy side. This is the fifth week of trading in a row of net buying. Almost every...

Travis Lundy

Analysis of Shanghai/Shenzhen northbound Connect flows shows record monthly inflows of US$9.3bn, led by financials, consumer staples, and...