Equity Analyst, Event-driven, Quiddity Advisors

Janaghan Jeyakumar, CFA

Equity Analyst, Event-driven

Quiddity Advisors

Pan-Asia Catalysts/Events

Event-Driven

Foxconn Industrial Internet / Event-Driven

<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 of the 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 of the names have changed since my last insight.


Quiddity Leaderboard SSE50/180 Jun 24: US$1.3bn One-Way; Some New Names in the Expected Changes List

<ul>
<li>SSE 50 and SSE180, 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>There could be five changes for the SSE 50 index and 18 changes for the SSE 180 index in June 2024.</li>
</ul>


SSE 50 and SSE180, 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.
There could be five changes for the SSE 50 index and 18 changes for the SSE 180 index in June 2024.


Quiddity Leaderboard SSE50/180 Jun 24: US$1bn+ Index Flows Possible

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

<ul>
<li>This is the somewhat-brand-spanking-new Quiddity Mainland Connect NORTHBOUND Monitor. We work off the same presentation as the A/H Premium Monitor and HK Connect SOUTHBOUND Monitor.</li>
<li>The same five names continue at the top of the gross flows list - Kweichow Moutai, Contemporary Amperex, Wuliangye Yibin, Foxconn Industrial, and BYD. Nets are dropping.</li>
<li>Overall net NORTHBOUND selling this week was small at RMB 445mm. <a href="https://www.smartkarma.com/entities/foxconn-industrial-internet-co-ltd" target="_blank" data-smartkarma-citation="entities:27163:1" rel="noopener">Foxconn Industrial Internet (601138 CH)</a> was net bought every day despite the investigation news the previous weekend.</li>
</ul>


This is the somewhat-brand-spanking-new Quiddity Mainland Connect NORTHBOUND Monitor. We work off the same presentation as the A/H Premium Monitor and HK Connect SOUTHBOUND Monitor.
The same five names continue at the top of the gross flows list - Kweichow Moutai, Contemporary Amperex, Wuliangye Yibin, Foxconn Industrial, and BYD. Nets are dropping.
Overall net NORTHBOUND selling this week was small at RMB 445mm. Foxconn Industrial Internet (601138 CH) was net bought every day despite the investigation news the previous weekend.


Mainland Connect NORTHBOUND Flows (To 27Oct23): Net Selling Small, Foxconn & Tianqi Bought

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

<ul>
<li>Over 90% of the way through the review period, we see 9 potential adds/10 potential deletes in December. However, there can be a maximum of 5 changes at a review.</li>
<li>We estimate a one-way turnover of 6.1% at the December rebalance leading to a one-way trade of CNY 5.27bn. Index arb balances could increase the impact on the stocks.</li>
<li>The adds have outperformed the deletes this year though there has been a deterioration in performance over the last few months.</li>
</ul>


Over 90% of the way through the review period, we see 9 potential adds/10 potential deletes in December. However, there can be a maximum of 5 changes at a review.
We estimate a one-way turnover of 6.1% at the December rebalance leading to a one-way trade of CNY 5.27bn. Index arb balances could increase the impact on the stocks.
The adds have outperformed the deletes this year though there has been a deterioration in performance over the last few months.


SSE50 Index Rebalance Preview: Consolidating After Big Outperformance

<ul>
<li>SSE 50 and SSE180, respectively, aim to represent the performance of the 50 and 180 largest and most liquid A-share stocks listed on 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 December 2023 Rebalance event.</li>
<li>I currently expect 5 ADDs/DELETEs for the SSE 50 index 18 ADDs/DELs for the SSE 180 index. Some of these names are different from my previous expectations.</li>
</ul>


SSE 50 and SSE180, respectively, aim to represent the performance of the 50 and 180 largest and most liquid A-share stocks listed on 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 December 2023 Rebalance event.
I currently expect 5 ADDs/DELETEs for the SSE 50 index 18 ADDs/DELs for the SSE 180 index. Some of these names are different from my previous expectations.


Quiddity Leaderboard SSE50/180 Dec 23: US$937mn One-Way; Some Changes to Expectations

Taiwan

Foxconn Industrial Internet Co., Ltd. operates as a communication network equipment development company. The Company develops and sells network switches, routers, wireless devices, web servers, set top boxes, smart home gateways, and other products. Foxconn Industrial Internet also manufactures storage equipment.

Foxconn Industrial Internet (601138 CH)

Quiddity Leaderboard SSE50/180 Jun 24: US$1.3bn One-Way; Some New Names in the Expected Changes List

Collectively, the 5 expected changes for SSE 50 and the 18 expected changes for SSE 180 could generate US$1.3bn in one-way index flows.

Janaghan Jeyakumar, CFA

Quiddity Leaderboard SSE50/180 Jun 24: US$1bn+ Index Flows Possible

One-way flows for the SSE 50 and SSE 180 during the June 2024 index rebal could be roughly US$891mn and US$187mn respectively.

Janaghan Jeyakumar, CFA

Mainland Connect NORTHBOUND Flows (To 27Oct23): Net Selling Small, Foxconn & Tianqi Bought

NORTHBOUND flows this past week were still a net sell, but small. There hasn't been a net buy week since early August. Foxconn saw buying every...

Travis Lundy

SSE50 Index Rebalance Preview: Consolidating After Big Outperformance

The potential adds have outperformed the potential deletes this year but there has been a downward drift over the last few months. As we near the...

Brian Freitas

Quiddity Leaderboard SSE50/180 Dec 23: US$937mn One-Way; Some Changes to Expectations

My latest estimates for one-way flows for the SSE 50 and SSE 180 are roughly US$678mn and US$259mn respectively. Most of these names have fairly...

Janaghan Jeyakumar, CFA