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

Shenton Research

Shenton 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 analyzed the changes in margin trading positions of A-share stocks as of Sep 11th. The aggregated net margin trading position is USD352,965m.</li>
<li>We tabulate league tables for top/bottom net long/short of margin trading by value, net margin buy as multiple of ADT.</li>
<li>We highlight net margin buy/sell changes in PING AN INSURANCE, SAIC MOTOR, CITIC SECURITIES, Moutai, FEILONG AUTO COMPONENTS.</li>
</ul>


We analyzed the changes in margin trading positions of A-share stocks as of Sep 11th. The aggregated net margin trading position is USD352,965m.
We tabulate league tables for top/bottom net long/short of margin trading by value, net margin buy as multiple of ADT.
We highlight net margin buy/sell changes in PING AN INSURANCE, SAIC MOTOR, CITIC SECURITIES, Moutai, FEILONG AUTO COMPONENTS.


A-Share Margin Trading Weekly (Sep 11th): PING AN INSURANCE, SAIC MOTOR, CITIC SECURITIES, Moutai

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.

<ul>
<li>We analyzed the changes in margin trading positions of A-share stocks as of Jul 10th. The aggregated net margin trading position is USD397,076m.</li>
<li>We tabulate league tables for top/bottom net long/short of margin trading by value, net margin buy as multiple of ADT.</li>
<li>We highlight net margin buy/sell changes in GUOTAI HAITONG SECURITIES, ZTE, DAWNING INFORMATION INDUSTRY, SMIC, CAMBRICON.</li>
</ul>


We analyzed the changes in margin trading positions of A-share stocks as of Jul 10th. The aggregated net margin trading position is USD397,076m.
We tabulate league tables for top/bottom net long/short of margin trading by value, net margin buy as multiple of ADT.
We highlight net margin buy/sell changes in GUOTAI HAITONG SECURITIES, ZTE, DAWNING INFORMATION INDUSTRY, SMIC, CAMBRICON.


A-Share Margin Trading Weekly (Jul 10th): GUOTAI HAITONG SECURITIES, ZTE, SMIC, CAMBRICON

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Index Rebalance

Shanghai Junshi Biosciences  / Index Rebalance

Post market close on 26 February, the Shanghai Stock Exchange and China Securities Index Company <a href="http://www.csindex.com.cn/en/indices/notices-and-announcements-detail/1606" target="_blank" rel="noopener">announced</a> the changes to the <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">SSE STAR 50 (STAR50 INDEX)</a>. The changes will be effective after the close of trading on 12 March.The inclusions are <a href="https://www.smartkarma.com/entities/shanghai-junshi-bioscience-a" target="_blank" data-smartkarma-citation="entities:31070:1" rel="noopener">Shanghai Junshi Bioscience (688180 CH)</a>, <a href="https://www.smartkarma.com/entities/cambricon-technologies-corp" target="_blank" data-smartkarma-citation="entities:31068:1" rel="noopener">Cambricon Technologies Corp (688256 CH)</a>, <a href="https://www.smartkarma.com/entities/qi-an-xin-technology-group-a" target="_blank" data-smartkarma-citation="entities:31069:1" rel="noopener">Qi An Xin Technology Group (688561 CH)</a>, <a href="https://www.smartkarma.com/entities/farasis-energy-gan-zhou-co-a" target="_blank" data-smartkarma-citation="entities:28385:1" rel="noopener">Farasis Energy Gan Zhou Co-A (688567 CH)</a> and <a href="https://www.smartkarma.com/entities/trina-solar-co-ltd" target="_blank" data-smartkarma-citation="entities:30404:1" rel="noopener">Trina Solar Co Ltd (688599 CH)</a>.The exclusions are <a href="https://www.smartkarma.com/entities/suzhou-tztek-technology-co-a" target="_blank" data-smartkarma-citation="entities:28232:1" rel="noopener">Suzhou Tztek Technology Co-A (688003 CH)</a>, <a href="https://www.smartkarma.com/entities/fujian-forecam-optics-co-ltd" target="_blank" data-smartkarma-citation="entities:30306:1" rel="noopener">Fujian Forecam Optics Co Ltd (688010 CH)</a>, <a href="https://www.smartkarma.com/entities/longyan-zhuoyue-new-energy-co" target="_blank" data-smartkarma-citation="entities:30364:1" rel="noopener">Longyan Zhuoyue New Energy Co (688196 CH)</a>, <a href="https://www.smartkarma.com/entities/tianjin-jiuri-new-material-a" target="_blank" data-smartkarma-citation="entities:30366:1" rel="noopener">Tianjin Jiuri New Material-A (688199 CH)</a> and <a href="https://www.smartkarma.com/entities/beijing-seeyon-internet-so-a" target="_blank" data-smartkarma-citation="entities:30393:1" rel="noopener">Beijing Seeyon Internet So-A (688369 CH)</a>.The launch of new ETFs on the index has kept the assets tracking the index steady even with the market dropping.All inclusions have at least 1 day of ADV to buy and the deletions have at least 2.4 days of ADV to sell. Estimated one-way turnover is 8.93% and there is quite a large impact as part of the funding trade.There is no excess volume on most of the stocks and similar to the December rebalance, the inclusions could outperform the exclusions from now till implementation date.

Post market close on 26 February, the Shanghai Stock Exchange and China Securities Index Company announced the changes to the SSE STAR 50 (STAR50 INDEX). The changes will be effective after the close of trading on 12 March.The inclusions are Shanghai Junshi Bioscience (688180 CH), Cambricon Technologies Corp (688256 CH), Qi An Xin Technology Group (688561 CH), Farasis Energy Gan Zhou Co-A (688567 CH) and Trina Solar Co Ltd (688599 CH).The exclusions are Suzhou Tztek Technology Co-A (688003 CH), Fujian Forecam Optics Co Ltd (688010 CH), Longyan Zhuoyue New Energy Co (688196 CH), Tianjin Jiuri New Material-A (688199 CH) and Beijing Seeyon Internet So-A (688369 CH).The launch of new ETFs on the index has kept the assets tracking the index steady even with the market dropping.All inclusions have at least 1 day of ADV to buy and the deletions have at least 2.4 days of ADV to sell. Estimated one-way turnover is 8.93% and there is quite a large impact as part of the funding trade.There is no excess volume on most of the stocks and similar to the December rebalance, the inclusions could outperform the exclusions from now till implementation date.

STAR Board - STAR50 Index Rebalance: Another BIG One

Cambricon Technologies  Lt / Index Rebalance

The <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">SSE STAR50 (STAR50 INDEX)</a> is made up of 50 stocks with the largest full market cap and good liquidity listed on the SSE Science and Technology Innovation Board (the STAR Market). The index is free float market cap weighted and the weight of each stock is capped at 10%. In addition, the total weight of the top 5 constituents should not exceed 40%.The data cut-off for the March review ends on 31 January. The results of the review will be announced towards the end of February and the review will be effective after the close of trading on 12 March.Having gone through over 97% of the review period, we see 13 stocks eligible for index inclusion and 16 stocks in the deletion zone. With only 5 changes permitted in a single review, that is what we will have to settle for. What that also means is that there will be more changes at the June review.For the March review, we see <a href="https://www.smartkarma.com/entities/cambricon-technologies-corp" target="_blank" data-smartkarma-citation="entities:31068:1" rel="noopener">Cambricon Technologies Corp (688256 CH)</a>, <a href="https://www.smartkarma.com/entities/qi-an-xin-technology-group-a" target="_blank" data-smartkarma-citation="entities:31069:1" rel="noopener">Qi An Xin Technology Group (688561 CH)</a>, <a href="https://www.smartkarma.com/entities/shanghai-junshi-bioscience-a" target="_blank" data-smartkarma-citation="entities:31070:1" rel="noopener">Shanghai Junshi Bioscience (688180 CH)</a>, <a href="https://www.smartkarma.com/entities/trina-solar-co-ltd" target="_blank" data-smartkarma-citation="entities:30404:1" rel="noopener">Trina Solar Co Ltd (688599 CH)</a> and <a href="https://www.smartkarma.com/entities/farasis-energy-gan-zhou-co-a" target="_blank" data-smartkarma-citation="entities:28385:1" rel="noopener">Farasis Energy Gan Zhou (688567 CH)</a> being included in the index.<div>
We expect <a href="https://www.smartkarma.com/entities/longyan-zhuoyue-new-energy-co" target="_blank" data-smartkarma-citation="entities:30364:1" rel="noopener">Longyan Zhuoyue New Energy Co (688196 CH)</a>, <a href="https://www.smartkarma.com/entities/suzhou-tztek-technology-co-a" target="_blank" data-smartkarma-citation="entities:28232:1" rel="noopener">Suzhou Tztek Technology Co-A (688003 CH)</a>, <a href="https://www.smartkarma.com/entities/beijing-seeyon-internet-so-a" target="_blank" data-smartkarma-citation="entities:30393:1" rel="noopener">Beijing Seeyon Internet So-A (688369 CH)</a>, <a href="https://www.smartkarma.com/entities/tianjin-jiuri-new-material-a" target="_blank" data-smartkarma-citation="entities:30366:1" rel="noopener">Tianjin Jiuri New Material-A (688199 CH)</a> and <a href="https://www.smartkarma.com/entities/fujian-forecam-optics-co-ltd" target="_blank" data-smartkarma-citation="entities:30306:1" rel="noopener">Fujian Forecam Optics Co Ltd (688010 CH)</a> to be deleted from the index to make way for the inclusions. One-way turnover is around 10%.
There has been a small outflow from the <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">SSE STAR50 (STAR50 INDEX)</a> ETFs since our last Insight, but that will have minimal impact on the rebalance.
The expected adds and deletes are the same from our earlier <a href="https://www.smartkarma.com/insights/star50-index-rebalance-preview-march21-rising-aum-and-a-new-index-make-an-exciting-combination" target="_blank" rel="noopener">Insight</a>. Since then, a trade of buying the expected adds and selling the expected deletes has returned 24%. There could be further moves as we near the near the end of the review period, and then once the announcement is made.
</div>

The SSE STAR50 (STAR50 INDEX) is made up of 50 stocks with the largest full market cap and good liquidity listed on the SSE Science and Technology Innovation Board (the STAR Market). The index is free float market cap weighted and the weight of each stock is capped at 10%. In addition, the total weight of the top 5 constituents should not exceed 40%.The data cut-off for the March review ends on 31 January. The results of the review will be announced towards the end of February and the review will be effective after the close of trading on 12 March.Having gone through over 97% of the review period, we see 13 stocks eligible for index inclusion and 16 stocks in the deletion zone. With only 5 changes permitted in a single review, that is what we will have to settle for. What that also means is that there will be more changes at the June review.For the March review, we see Cambricon Technologies Corp (688256 CH), Qi An Xin Technology Group (688561 CH), Shanghai Junshi Bioscience (688180 CH), Trina Solar Co Ltd (688599 CH) and Farasis Energy Gan Zhou (688567 CH) being included in the index.
We expect Longyan Zhuoyue New Energy Co (688196 CH), Suzhou Tztek Technology Co-A (688003 CH), Beijing Seeyon Internet So-A (688369 CH), Tianjin Jiuri New Material-A (688199 CH) and Fujian Forecam Optics Co Ltd (688010 CH) to be deleted from the index to make way for the inclusions. One-way turnover is around 10%.
There has been a small outflow from the SSE STAR50 (STAR50 INDEX) ETFs since our last Insight, but that will have minimal impact on the rebalance.
The expected adds and deletes are the same from our earlier Insight. Since then, a trade of buying the expected adds and selling the expected deletes has returned 24%. There could be further moves as we near the near the end of the review period, and then once the announcement is made.


STAR Board - STAR50 Index Rebalance Preview: +Adds/-Deletes = +24%

Qi An Xin Technology Group  / Index Rebalance

The SSE Science and Technology Innovation Board 50 Index, also know as the <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">SSE STAR 50 (STAR50 INDEX)</a>, is made up of 50 stocks with the largest full market cap and good liquidity listed on the SSE Science and Technology Innovation Board (the STAR Market). The index is free float market cap weighted and the weight of each stock is capped at 10%. In addition, the total weight of the top 5 constituents should not exceed 40%.
ETFs benchmarked to the <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">SSE STAR 50 (STAR50 INDEX)</a> raised just over CNY 21bn at launch and assets have since swelled to CNY 28.2bn due to inflows. The large amount of assets benchmarked to stocks with low free float and trading volumes creates an ideal environment for index rebalance trades to work, as we have seen in the upcoming review which will be implemented at the close of trading on 11 December.
With a maximum of 5 changes permitted in a single review, that is what we will get in March. Potential inclusions are <a href="https://www.smartkarma.com/entities/cambricon-technologies-corp" target="_blank" data-smartkarma-citation="entities:31068:1" rel="noopener">Cambricon Technologies Corp (688256 CH)</a>, <a href="https://www.smartkarma.com/entities/qi-an-xin-technology-group-a" target="_blank" data-smartkarma-citation="entities:31069:1" rel="noopener">Qi An Xin Technology Group (688561 CH)</a>, <a href="https://www.smartkarma.com/entities/shanghai-junshi-bioscience-a" target="_blank" data-smartkarma-citation="entities:31070:1" rel="noopener">Shanghai Junshi Bioscience (688180 CH)</a>, <a href="https://www.smartkarma.com/entities/trina-solar-co-ltd" target="_blank" data-smartkarma-citation="entities:30404:1" rel="noopener">Trina Solar Co Ltd (688599 CH)</a> and <a href="https://www.smartkarma.com/entities/farasis-energy-gan-zhou-co-a" target="_blank" data-smartkarma-citation="entities:28385:1" rel="noopener">Farasis Energy Gan Zhou (688567 CH)</a>.
The potential deletions are <a href="https://www.smartkarma.com/entities/longyan-zhuoyue-new-energy-co" target="_blank" data-smartkarma-citation="entities:30364:1" rel="noopener">Longyan Zhuoyue New Energy Co (688196 CH)</a>, <a href="https://www.smartkarma.com/entities/suzhou-tztek-technology-co-a" target="_blank" data-smartkarma-citation="entities:28232:1" rel="noopener">Suzhou Tztek Technology Co-A (688003 CH)</a>, <a href="https://www.smartkarma.com/entities/beijing-seeyon-internet-so-a" target="_blank" data-smartkarma-citation="entities:30393:1" rel="noopener">Beijing Seeyon Internet So-A (688369 CH)</a>, <a href="https://www.smartkarma.com/entities/tianjin-jiuri-new-material-a" target="_blank" data-smartkarma-citation="entities:30366:1" rel="noopener">Tianjin Jiuri New Material-A (688199 CH)</a> and <a href="https://www.smartkarma.com/entities/fujian-forecam-optics-co-ltd" target="_blank" data-smartkarma-citation="entities:30306:1" rel="noopener">Fujian Forecam Optics Co Ltd (688010 CH)</a>.
One-way turnover is around 13% and there is big impact expected on the stocks, especially on the deletes, and a trade of buying the expected inclusions and selling the expected exclusions could perform well.

The SSE Science and Technology Innovation Board 50 Index, also know as the SSE STAR 50 (STAR50 INDEX), is made up of 50 stocks with the largest full market cap and good liquidity listed on the SSE Science and Technology Innovation Board (the STAR Market). The index is free float market cap weighted and the weight of each stock is capped at 10%. In addition, the total weight of the top 5 constituents should not exceed 40%.
ETFs benchmarked to the SSE STAR 50 (STAR50 INDEX) raised just over CNY 21bn at launch and assets have since swelled to CNY 28.2bn due to inflows. The large amount of assets benchmarked to stocks with low free float and trading volumes creates an ideal environment for index rebalance trades to work, as we have seen in the upcoming review which will be implemented at the close of trading on 11 December.
With a maximum of 5 changes permitted in a single review, that is what we will get in March. Potential inclusions are Cambricon Technologies Corp (688256 CH), Qi An Xin Technology Group (688561 CH), Shanghai Junshi Bioscience (688180 CH), Trina Solar Co Ltd (688599 CH) and Farasis Energy Gan Zhou (688567 CH).
The potential deletions are Longyan Zhuoyue New Energy Co (688196 CH), Suzhou Tztek Technology Co-A (688003 CH), Beijing Seeyon Internet So-A (688369 CH), Tianjin Jiuri New Material-A (688199 CH) and Fujian Forecam Optics Co Ltd (688010 CH).
One-way turnover is around 13% and there is big impact expected on the stocks, especially on the deletes, and a trade of buying the expected inclusions and selling the expected exclusions could perform well.

STAR Board: STAR50 Index Rebalance March21: Rising AUM and a New Index Make an Exciting Combination

China

Fujian Forecam Optics Co., Ltd. produces and sells optical products. The Company manufactures and sells board mount lenses, infrared thermal imaging lenses, and other related products. Fujian Forecam Optics markets its products throughout China.

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Fujian Forecam Optics Co Ltd (688010 CH)

STAR Board - STAR50 Index Rebalance: Another BIG One

There are 5 changes to the STAR50 index as a part of the March review. Estimated one-way turnover is 8.93% and we expect the inclusions to...

Brian Freitas

STAR Board - STAR50 Index Rebalance Preview: +Adds/-Deletes = +24%

There will be 5 changes for the STAR50 index in the March review. The lack of pre-positioning and large AUM tracking the index (plus active traders...

Brian Freitas

STAR Board: STAR50 Index Rebalance March21: Rising AUM and a New Index Make an Exciting Combination

Increasing assets benchmarked to the STAR50 index and comparatively low trading volumes on the expected inclusions and exclusions provide an ideal...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

A-Share Margin Trading Weekly (Sep 11th): PING AN INSURANCE, SAIC MOTOR, CITIC SECURITIES, Moutai

We analyzed A-share margin trading positions report for the past week and highlighted PING AN INSURANCE, SAIC MOTOR, CITIC SECURITIES, Moutai,...

Ke Yan, CFA, FRM

A-Share Margin Trading Weekly (Jul 10th): GUOTAI HAITONG SECURITIES, ZTE, SMIC, CAMBRICON

We analyzed A-share margin trading positions report for the past week and highlighted GUOTAI HAITONG SECURITIES, ZTE, DAWNING INFORMATION INDUSTRY,...

Ke Yan, CFA, FRM

STAR Board - STAR50 Index Rebalance: Another BIG One

There are 5 changes to the STAR50 index as a part of the March review. Estimated one-way turnover is 8.93% and we expect the inclusions to...

Brian Freitas

STAR Board - STAR50 Index Rebalance Preview: +Adds/-Deletes = +24%

There will be 5 changes for the STAR50 index in the March review. The lack of pre-positioning and large AUM tracking the index (plus active traders...

Brian Freitas

STAR Board: STAR50 Index Rebalance March21: Rising AUM and a New Index Make an Exciting Combination

Increasing assets benchmarked to the STAR50 index and comparatively low trading volumes on the expected inclusions and exclusions provide an ideal...

Brian Freitas