Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

China Northern Rare Earth Group High-Tech / Index Rebalance

China Northern Rare Earth Group High-Tech (600111 CH)

China Northern Rare Earth Group High-Tech

<ul>
<li>The June 2024 index review results for the SSE 50 and SSE 180 indices were announced after market close on Friday 31st May 2024.</li>
<li>There will be 5 changes for the SSE 50 index and 18 changes for the SSE 180 index.</li>
<li>These changes could collectively cause one-way index flows of ~US$1.8bn during the June 2024 index rebal event. In this insight, we take a look at our final flow expectations.</li>
</ul>


The June 2024 index review results for the SSE 50 and SSE 180 indices were announced after market close on Friday 31st May 2024.
There will be 5 changes for the SSE 50 index and 18 changes for the SSE 180 index.
These changes could collectively cause one-way index flows of ~US$1.8bn during the June 2024 index rebal event. In this insight, we take a look at our final flow expectations.


Quiddity SSE50/180 Jun 24 Rebalance: US$1.8bn One-Way Flow; LONGs up 8.6% Vs SHORTs in a Month

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

Bank of Communications   / 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> that will be implemented at the close on 14 June. There is over 1x ADV to trade on most stocks.</li>
<li>The index committee has focused on sector balance with higher ranked stocks from the Financials sector ignored and lower ranked stocks from other sectors included.</li>
<li>The adds have outperformed the deletes over the last 6 months and positioning (especially on the surprises) could lead to further upside for a long/short trade.</li>
</ul>


There are 5 changes for the SSE50 Index (SSE50 INDEX) that will be implemented at the close on 14 June. There is over 1x ADV to trade on most stocks.
The index committee has focused on sector balance with higher ranked stocks from the Financials sector ignored and lower ranked stocks from other sectors included.
The adds have outperformed the deletes over the last 6 months and positioning (especially on the surprises) could lead to further upside for a long/short trade.


SSE50/SSE180 Index Rebalance: Heavy Focus on Sector Balance

Event-Driven

<ul>
<li>Based on the close of 24 May, there could be three changes for the <a href="https://www.smartkarma.com/entities/ishares-ftse-a50-china-index-etf" target="_blank" data-smartkarma-citation="entities:249:1" rel="noopener">iShares A50 China (2823 HK)</a>/ <a href="https://www.smartkarma.com/entities/csop-ftse-china-a50-etf-26e3b671-fa47-4165-a12e-bf841640c5a3" target="_blank" data-smartkarma-citation="entities:23664:1" rel="noopener">CSOP China A50 (HKD) (2822 HK)</a> in June.</li>
<li>
<a href="https://www.smartkarma.com/entities/cosco-shipping-holdings-co-ltd" target="_blank" data-smartkarma-citation="entities:27590:1" rel="noopener">COSCO SHIPPING (601919 CH)</a>, <a href="https://www.smartkarma.com/entities/crrc-corp-ltd" target="_blank" data-smartkarma-citation="entities:122:1" rel="noopener">CRRC (601766 CH)</a> and <a href="https://www.smartkarma.com/entities/china-national-nuclear-power-c" target="_blank" data-smartkarma-citation="entities:25348:1" rel="noopener">China National NuclearPower (601985 CH)</a> could replace <a href="https://www.smartkarma.com/entities/longi-green-energy-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:12703:1" rel="noopener">LONGi GreenEnergy (601012 CH)</a>, <a href="https://www.smartkarma.com/entities/csc-financial-co-ltd" target="_blank" data-smartkarma-citation="entities:27823:1" rel="noopener">CSC Financial (601066 CH)</a> and <a href="https://www.smartkarma.com/entities/china-tourism-group-duty-free-corp-ltd" target="_blank" data-smartkarma-citation="entities:12278:1" rel="noopener">China Tourism Group DutyFree (601888 CH)</a>. </li>
<li>There are a couple of stocks that are close adds and could become adds if they outperform higher ranked stocks in trading today.</li>
</ul>


Based on the close of 24 May, there could be three changes for the iShares A50 China (2823 HK)/ CSOP China A50 (HKD) (2822 HK) in June.

COSCO SHIPPING (601919 CH), CRRC (601766 CH) and China National NuclearPower (601985 CH) could replace LONGi GreenEnergy (601012 CH), CSC Financial (601066 CH) and China Tourism Group DutyFree (601888 CH). 
There are a couple of stocks that are close adds and could become adds if they outperform higher ranked stocks in trading today.


Offshore China ETFs Rebalance Preview: Three Changes in June; Cutoff Today

<ul>
<li>The review period nearly complete, we see 7 potential adds and 9 potential deletes at the December rebalance. However, there can be a maximum of 5 changes at a rebalance.</li>
<li>We estimate a one-way turnover of 4.28% at the December rebalance leading to a one-way trade of CNY 3.42bn. Index arb activity could add to the impact on the stocks.</li>
<li>The potential adds have dropped over the last month while the potential deletes have moved higher over the last couple of weeks.</li>
</ul>


The review period nearly complete, we see 7 potential adds and 9 potential deletes at the December rebalance. However, there can be a maximum of 5 changes at a rebalance.
We estimate a one-way turnover of 4.28% at the December rebalance leading to a one-way trade of CNY 3.42bn. Index arb activity could add to the impact on the stocks.
The potential adds have dropped over the last month while the potential deletes have moved higher over the last couple of weeks.


SSE50 Index Rebalance Preview: Sector Shift as IT and Financials Drop

Asian Insight Provider - Actionable ideas, CrossASEAN Research

Henry Soediarko

Asian Insight Provider - Actionable ideas

CrossASEAN Research

At CrossASEAN Research we strive to produce unbiased and differentiated on the ground insights on companies across South East Asia. Our Research is produced for the most part after face to face meetings and conversations with company management to dig deep into the long term vision and strategy of the companies we cover. We seek to deliver investable and actionable themes on sectors and markets across SE Asia, often in collaboration with other Insight Providers across the region, pooling the vast experience of the analysts within the Smartkarma Ecosystem. We also offer bespoke work and tailor made trips for our clients. 

Insights across South East Asia

Equity Bottom-Up

Sino American Silicon Products / Equity Bottom-Up

<p><a href="https://www.smartkarma.com/entities/sino-american-silicon-products-inc" target="_blank" data-smartkarma-citation="entities:3441:1" rel="noopener">Sino American Silicon Products (5483 TT)</a>  is a Taiwan-based company mainly engaged in the research, development, design, manufacture, and distribution of semiconductor wafer products with subsidiaries in both listed and unlisted companies including <a href="https://www.smartkarma.com/entities/globalwafers-co-ltd" target="_blank" data-smartkarma-citation="entities:17916:1" rel="noopener">Globalwafers (6488 TT)</a> , <a href="https://www.smartkarma.com/entities/parade-technologies-ltd" target="_blank" data-smartkarma-citation="entities:6987:1" rel="noopener">Parade Technologies (4966 TT)</a> , <a href="https://www.smartkarma.com/entities/actron-technology-corp" target="_blank" data-smartkarma-citation="entities:4989:1" rel="noopener">Actron Technology (8255 TT)</a> and <a href="https://www.smartkarma.com/entities/advanced-wireless-semiconduc" target="_blank" data-smartkarma-citation="entities:16559:1" rel="noopener">Advanced Wireless Semiconduc (8086 TT)</a> with only in Globalwafers - SAS owns more than 51%.</p>
<p>The large discount between SAS and its subsidiaries could be due to 1) lack of bulge-bracket coverage, 2) higher polysilicon price 3) and 3) weak 1H demand from the solar and the semiconductor from COVID-19 plague which caused investors to care less about the value dislocation between SAS and its subsidiaries.</p>
<p>With a somewhat certain 28-30% gain in the earning as early Q1 2022, investors should start slowly building positions in SAS as the risk-off beast may disturb the confidence in the equity market much longer than what investors would like. The second scenario of increasing stake in Parade Tech should be treated as a call option as when it happens, it is a bonus of another 24%. Thus the total upside could be around 54%. </p>
<div class="content-highlight">
<p>Besides the above-mentioned reasons, <a href="https://www.smartkarma.com/entities/sino-american-silicon-products-inc" target="_blank" data-smartkarma-citation="entities:3441:1" rel="noopener">Sino American Silicon Products (5483 TT)</a> remains a smart way to gain exposure in Globalwafers which trades at 24x PER, compared to SAS that trades at 13x PER. The other factor is that Globalwafers dividend yield is 2.28% while SAS is 5.22%. </p>
</div>

Sino American Silicon Products (5483 TT)  is a Taiwan-based company mainly engaged in the research, development, design, manufacture, and distribution of semiconductor wafer products with subsidiaries in both listed and unlisted companies including Globalwafers (6488 TT) , Parade Technologies (4966 TT) , Actron Technology (8255 TT) and Advanced Wireless Semiconduc (8086 TT) with only in Globalwafers - SAS owns more than 51%.
The large discount between SAS and its subsidiaries could be due to 1) lack of bulge-bracket coverage, 2) higher polysilicon price 3) and 3) weak 1H demand from the solar and the semiconductor from COVID-19 plague which caused investors to care less about the value dislocation between SAS and its subsidiaries.
With a somewhat certain 28-30% gain in the earning as early Q1 2022, investors should start slowly building positions in SAS as the risk-off beast may disturb the confidence in the equity market much longer than what investors would like. The second scenario of increasing stake in Parade Tech should be treated as a call option as when it happens, it is a bonus of another 24%. Thus the total upside could be around 54%. 

Besides the above-mentioned reasons, Sino American Silicon Products (5483 TT) remains a smart way to gain exposure in Globalwafers which trades at 24x PER, compared to SAS that trades at 13x PER. The other factor is that Globalwafers dividend yield is 2.28% while SAS is 5.22%. 


Sino American Silicon (5483): Entry to Globalwafers and Others

China

China National Nuclear Power Co., Ltd. is a nuclear energy power producer. The Company invests in, constructs, manages and operates nuclear power plants throughout China.

China National Nuclear Power C (601985 CH)

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China National Nuclear Power C (601985 CH)

Quiddity SSE50/180 Jun 24 Rebalance: US$1.8bn One-Way Flow; LONGs up 8.6% Vs SHORTs in a Month

On average, the LONGs are up 5.6% and the SHORTs are down 3.0% since the pair trades were suggested (on 6th May 2024). Some of these have to be...

Janaghan Jeyakumar, CFA

SSE50/SSE180 Index Rebalance: Heavy Focus on Sector Balance

There are 5 changes for the SSE50 Index that will be implemented at the close on 14 June. Sector balance was a big consideration at the review....

Brian Freitas

Offshore China ETFs Rebalance Preview: Three Changes in June; Cutoff Today

There could be 3 changes for 2823HK/2822HK in June. Today is the price cutoff and there are a couple of close adds. Impact is not very large but...

Brian Freitas

SSE50 Index Rebalance Preview: Sector Shift as IT and Financials Drop

We forecast 5 changes in December as Energy, Industrials and Materials weights increase and IT and Financials drop. One-way turnover will be over...

Brian Freitas

Sino American Silicon (5483): Entry to Globalwafers and Others

Sino American Silicon remains a smart way to gain exposure in Globalwafers (24x PER), compared to SAS (13x PER). The other factor is that...

Henry Soediarko

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