Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

<ul>
<li>CSI All Share Semiconductors &amp; Semiconductor Equipment Index represents the largest and most-liquid stocks in the Semiconductor Industry Group from the Shanghai, Shenzhen, and Beijing Exchanges.</li>
<li>In this insight, we take a look at the potential ADDs and DELs leading the race for the semiannual index rebal event in June 2025.</li>
<li>We expect up to six ADDs and seven DELs for the CSI All Share Semiconductors index during this index review event based on the latest available data.</li>
</ul>


CSI All Share Semiconductors &amp; Semiconductor Equipment Index represents the largest and most-liquid stocks in the Semiconductor Industry Group from the Shanghai, Shenzhen, and Beijing Exchanges.
In this insight, we take a look at the potential ADDs and DELs leading the race for the semiannual index rebal event in June 2025.
We expect up to six ADDs and seven DELs for the CSI All Share Semiconductors index during this index review event based on the latest available data.


Quiddity Leaderboard CSI All Share Semiconductors Jun25: Good Momentum for Exp ADDs Vs DELs Trade

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

Cambricon Technologies  Lt / Index Rebalance

<ul>
<li>There could be 1 constituent change for the STAR Chip Index at the March rebalance. There will also be a few capping changes.</li>
<li>Estimated one-way turnover is 6.5% resulting in a round-trip trade of CNY 3.12bn (US$426m). Passives need to trade between 0.24-0.33x ADV in the potential changes.</li>
<li>There is one very close add and the final list could change depending on price performance over the next 10 trading days.</li>
</ul>


There could be 1 constituent change for the STAR Chip Index at the March rebalance. There will also be a few capping changes.
Estimated one-way turnover is 6.5% resulting in a round-trip trade of CNY 3.12bn (US$426m). Passives need to trade between 0.24-0.33x ADV in the potential changes.
There is one very close add and the final list could change depending on price performance over the next 10 trading days.


STAR Chip Index Rebalance Preview: Changes in March

Espressif Systems Shanghai  / Index Rebalance

<ul>
<li>CSI announced the changes for the December rebalance after market close on 29 November and the changes will be effective after the close of trading on 13 December.</li>
<li>There are 3 changes for the index and we estimate passive buying of 0.3-0.65x ADV in the adds and selling of between 0.4-0.6x ADV in the deletes.</li>
<li>On average, the adds to the index have outperformed the deletes over the last 5 weeks with the adds moving higher and the deletes trending lows.</li>
</ul>


CSI announced the changes for the December rebalance after market close on 29 November and the changes will be effective after the close of trading on 13 December.
There are 3 changes for the index and we estimate passive buying of 0.3-0.65x ADV in the adds and selling of between 0.4-0.6x ADV in the deletes.
On average, the adds to the index have outperformed the deletes over the last 5 weeks with the adds moving higher and the deletes trending lows.


STAR Chip Index Rebalance: 3 Changes; US$413m Round-Trip Trade

Chengdu Sino Microelectronics / Index Rebalance

<ul>
<li>There could be 3 constituent changes for the STAR Chip Index at the December rebalance. There will also be a couple of capping changes.</li>
<li>Estimated one-way turnover is 5.05% resulting in a one-way trade of CNY 1.6bn (US$225m). Passives need to trade between 0.6-1x ADV in the potential changes.</li>
<li>The forecast adds have underperformed the forecast deletes over the last month but there has been a marked improvement in performance in the last week. Watch out for more.</li>
</ul>


There could be 3 constituent changes for the STAR Chip Index at the December rebalance. There will also be a couple of capping changes.
Estimated one-way turnover is 5.05% resulting in a one-way trade of CNY 1.6bn (US$225m). Passives need to trade between 0.6-1x ADV in the potential changes.
The forecast adds have underperformed the forecast deletes over the last month but there has been a marked improvement in performance in the last week. Watch out for more.


STAR Chip Index Rebalance Preview: 3 Potential Changes in December; US$450m Round-Trip Trade

<ul>
<li>STAR 50 Index is a tech-focused, blue-chip index in Mainland China which tracks the top 50 largest and most liquid names in the STAR market of the Shanghai Stock Exchange.</li>
<li>In my last insight (<a href="https://www.smartkarma.com/insights/quiddity-leaderboard-star-50-jun-24-3-adds-dels-possible-but-should-be-monitored-closely" target="_blank" rel="noopener">link</a>), I discussed how the rankings had to be monitored closely before finalizing the index change expectations for the June 2024 index rebal event.</li>
<li>Now that the reference period is complete, I have discussed my final expectations for the June 2024 review. The official index changes will be announced later this month.</li>
</ul>


STAR 50 Index is a tech-focused, blue-chip index in Mainland China which tracks the top 50 largest and most liquid names in the STAR market of the Shanghai Stock Exchange.
In my last insight (link), I discussed how the rankings had to be monitored closely before finalizing the index change expectations for the June 2024 index rebal event.
Now that the reference period is complete, I have discussed my final expectations for the June 2024 review. The official index changes will be announced later this month.


Quiddity Leaderboard STAR 50 Jun 24: SHORTs Down 12% Vs Peers in 1 Month; Final Ranks & New Trade

China

Giantec Semiconductor Corporation manufactures and distributes chips. The Company develops and sells contact electronic engineering secured chips, contactless read-only memory central processing unit chips, output amplifiers, and other products. Giantec Semiconductor provides its products for smart phones, computers, medical equipment, and automotive electronic areas.

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Giantec Semiconductor (688123 CH)

STAR Chip Index Rebalance Preview: Changes in March

There could be 1 change in March. Estimated one-way turnover is 6.5% leading to a round-trip trade of CNY 3.12bn (US$426m). It is close among the...

Brian Freitas

STAR Chip Index Rebalance: 3 Changes; US$413m Round-Trip Trade

There are 3 changes for the index. Estimated 1-way turnover is 4.8% leading to a round-trip trade of CNY 3bn (US$413m). The adds have outperformed...

Brian Freitas

STAR Chip Index Rebalance Preview: 3 Potential Changes in December; US$450m Round-Trip Trade

There could be 3 constituent changes in December. Estimated one-way turnover is 5.05% resulting in a one-way trade of CNY1.6bn. Passives need to...

Brian Freitas

Quiddity Leaderboard STAR 50 Jun 24: SHORTs Down 12% Vs Peers in 1 Month; Final Ranks & New Trade

I see 3 expected ADDs/DELs for the June 2024 review and I believe the expected ADDs will outperform the expected DELs over the next few weeks.

Janaghan Jeyakumar, CFA

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Quiddity Leaderboard CSI All Share Semiconductors Jun25: Good Momentum for Exp ADDs Vs DELs Trade

Some of the expected ADDs have been strongly outperforming some of the expected DELs since mid-November 2024 and this could continue over the next...

Janaghan Jeyakumar, CFA

STAR Chip Index Rebalance Preview: Changes in March

There could be 1 change in March. Estimated one-way turnover is 6.5% leading to a round-trip trade of CNY 3.12bn (US$426m). It is close among the...

Brian Freitas

STAR Chip Index Rebalance: 3 Changes; US$413m Round-Trip Trade

There are 3 changes for the index. Estimated 1-way turnover is 4.8% leading to a round-trip trade of CNY 3bn (US$413m). The adds have outperformed...

Brian Freitas

STAR Chip Index Rebalance Preview: 3 Potential Changes in December; US$450m Round-Trip Trade

There could be 3 constituent changes in December. Estimated one-way turnover is 5.05% resulting in a one-way trade of CNY1.6bn. Passives need to...

Brian Freitas

Quiddity Leaderboard STAR 50 Jun 24: SHORTs Down 12% Vs Peers in 1 Month; Final Ranks & New Trade

I see 3 expected ADDs/DELs for the June 2024 review and I believe the expected ADDs will outperform the expected DELs over the next few weeks.

Janaghan Jeyakumar, CFA