Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

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 16.1bn of A-shares on VERY strong average activity after +9.9bn and +12.1bn RMB the two weeks before. Some National Team buying this week.</li>
<li>Renewables selling was tempered. Finance and Industry saw large net buying. Five of the top ten buys among liquid NORTHBOUND stocks were finance. Info Tech saw net selling. Again. </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 16.1bn of A-shares on VERY strong average activity after +9.9bn and +12.1bn RMB the two weeks before. Some National Team buying this week.
Renewables selling was tempered. Finance and Industry saw large net buying. Five of the top ten buys among liquid NORTHBOUND stocks were finance. Info Tech saw net selling. Again. 


Mainland Connect NORTHBOUND Flows (To 9 Feb 2024): Decent Net Momo Buying, Especially in Financials

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>The review period for the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY</a> family of indices, <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a>, <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50</a>, the KRX New Deal Index and a global index ends on 31 January.</li>
<li>The January rebalance of the IDX30 and LQ45 indices will be implemented at the close of trading on 31 January.</li>
<li>There have been huge inflows into the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> ETFs for another week. This will increase the impact on the index changes at the next rebalance.</li>
</ul>


The review period for the NIFTY family of indices, Nikkei 225, STAR50, the KRX New Deal Index and a global index ends on 31 January.
The January rebalance of the IDX30 and LQ45 indices will be implemented at the close of trading on 31 January.
There have been huge inflows into the CSI 300 Index ETFs for another week. This will increase the impact on the index changes at the next rebalance.


Index Rebalance & ETF Flow Recap: CSI300, CSI500, SSE50, ChiNext, KOSPI200, Renesas, IDX30/LQ45

<ul>
<li>Completing three-quarters of the review period, 6 stocks are in inclusion zone and 9 in deletion zone. However, there can be a maximum of 5 changes at a review.</li>
<li>We estimate a one-way turnover of 6.8% at the June rebalance leading to a one-way trade of CNY 7.35bn (US$1.02bn). Index arb balances could increase the impact on the stocks.</li>
<li>The potential adds have outperformed the potential deletes and 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> over the last few months and could continue to do so as positioning builds up.</li>
</ul>


Completing three-quarters of the review period, 6 stocks are in inclusion zone and 9 in deletion zone. However, there can be a maximum of 5 changes at a review.
We estimate a one-way turnover of 6.8% at the June rebalance leading to a one-way trade of CNY 7.35bn (US$1.02bn). Index arb balances could increase the impact on the stocks.
The potential adds have outperformed the potential deletes and the SSE50 Index (SSE50 INDEX) over the last few months and could continue to do so as positioning builds up.


SSE50 Index Rebalance Preview: Financials Staging a Comeback as Expected Trade Tops US$2bn

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Foxconn Industrial Internet / 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>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

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>Financials ($1,425 million worth of outflows), and Consumer Staples ($854 million worth of outflows) led the outflows (first chart below).</li>
<li>We highlight inflows into CATL, Mindray, Will Semi, BYD, Wuxi Apptec, and outflows from CMB, Wuliangye, Shanghai United, Midea, Hygon.</li>
</ul>


We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
Financials ($1,425 million worth of outflows), and Consumer Staples ($854 million worth of outflows) led the outflows (first chart below).
We highlight inflows into CATL, Mindray, Will Semi, BYD, Wuxi Apptec, and outflows from CMB, Wuliangye, Shanghai United, Midea, Hygon.


Northbound Flows (December): Five Months of Outflows

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.

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Foxconn Industrial Internet (601138 CH)

Mainland Connect NORTHBOUND Flows (To 9 Feb 2024): Decent Net Momo Buying, Especially in Financials

NORTHBOUND saw very strong overall activity and decent net buying in the four-day week ahead of the long Chinese New Year holidays. Renewables...

Travis Lundy

Index Rebalance & ETF Flow Recap: CSI300, CSI500, SSE50, ChiNext, KOSPI200, Renesas, IDX30/LQ45

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

SSE50 Index Rebalance Preview: Financials Staging a Comeback as Expected Trade Tops US$2bn

There could be 5 changes in June as one-way turnover nears 7% and round-trip trade hits US$2bn. 4 of the 5 adds are financials and the potential...

Brian Freitas

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

Northbound Flows (December): Five Months of Outflows

We analyzed the Shanghai/Shenzhen Connect Scheme for December and highlight flows for CATL, Mindray, Will Semi, BYD, Wuxi Apptec, CMB, Wuliangye,...

Ke Yan, CFA, FRM

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