Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

Shanghai Rural Commercial Bank / Index Rebalance

<ul>
<li>CSI 300 represents the 300 largest stocks by market cap and liquidity from the Shanghai and Shenzhen Exchanges. CSI 500 is the next 500.</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 December 2024.</li>
<li>Our expected ADDs and DELs baskets have changed slightly since our <a href="https://www.smartkarma.com/insights/quiddity-leaderboard-csi-300-500-dec-24-positive-start-to-the-trade-some-changes-to-expectations" target="_blank" rel="noopener">last insight</a>.</li>
</ul>


CSI 300 represents the 300 largest stocks by market cap and liquidity from the Shanghai and Shenzhen Exchanges. CSI 500 is the next 500.
In this insight, we take a look at the potential ADDs and DELs leading the race for the semiannual index rebal event in December 2024.
Our expected ADDs and DELs baskets have changed slightly since our last insight.


Quiddity Leaderboard CSI 300/​​500 Dec 24: US$4.3bn One-Way Flows; Exp.ADDs Vs DELs Rebound Possible

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>There could be 18 changes at the December rebalance with the Industrials sector gaining 3 index spots and the Information Technology sector losing 5 spots.</li>
<li>We estimate one-way turnover of 3.3% at the rebalance leading to a one-way trade of CNY 22.07bn (US$3bn). There are a lot of stocks with multiple days ADV to trade.</li>
<li>The potential adds have outperformed the potential deletes. There were ETF inflows last week amid a short selling crackdown as the Third Plenum kicks off.</li>
</ul>


There could be 18 changes at the December rebalance with the Industrials sector gaining 3 index spots and the Information Technology sector losing 5 spots.
We estimate one-way turnover of 3.3% at the rebalance leading to a one-way trade of CNY 22.07bn (US$3bn). There are a lot of stocks with multiple days ADV to trade.
The potential adds have outperformed the potential deletes. There were ETF inflows last week amid a short selling crackdown as the Third Plenum kicks off.


CSI300 Index Rebalance Preview: 18 Changes in Dec; Third Plenum; ETF Inflows; Short Sell Crackdown

China Northern Rare Earth Group High-Tech / Index Rebalance

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

<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>Since my last insight, there have been a couple of changes to our expected ADDs basket and a couple of changes to our expected DELs basket for the SSE180 index.</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.
Since my last insight, there have been a couple of changes to our expected ADDs basket and a couple of changes to our expected DELs basket for the SSE180 index.


Quiddity Leaderboard SSE50/180 Jun 24: US$1.5bn Index Flows One-Way

Asset Allocation & Fund Positioning, Copley Fund Research

Steven Holden

Asset Allocation & Fund Positioning

Copley Fund Research

Copley Fund Research provide research and data on asset allocation among Global and Emerging Market equity funds.  The analysis details absolute and relative positioning across countries, sectors and industries together with highly granular data on single stock and single fund allocations.  The data is updated monthly with time series going back to January 2011.

Global Research - Analysis of 165 prominent Global equity funds, combined AUM $335bn
GEM Research - Analysis of 127 prominent global EM equity funds, combined AUM $250bn

Asset Allocation - Global and GEM Equity

Thematic (Sector/Industry)

<ul>
<li>A record 80.7% of China managers have exposure to the Semiconductor sector at an average weight of 3.68%, or +2.58% overweight the MSCI China benchmark.</li>
<li>Over the last 6-months, Semiconductor allocations have remained largely unchanged, whilst rebalancing occurs among other key industry groups.</li>
<li>With record overweights and stalling ownership growth, active China managers should consider whether overweight is the right stance, at this juncture.</li>
</ul>


A record 80.7% of China managers have exposure to the Semiconductor sector at an average weight of 3.68%, or +2.58% overweight the MSCI China benchmark.
Over the last 6-months, Semiconductor allocations have remained largely unchanged, whilst rebalancing occurs among other key industry groups.
With record overweights and stalling ownership growth, active China managers should consider whether overweight is the right stance, at this juncture.


MSCI China Funds: Semiconductor Growth Stalls

China

Hangzhou Silan Microelectronics Co., Ltd develops, researches, tests, and sells integrated circuits.

Hangzhou Silan Microelectronics Co., Ltd (600460 CH)

Price Gauge
52-week Range	0.00 - 0.00
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Dividend (Yield)	0.00

Hangzhou Silan Microelectronics Co., Ltd (600460 CH)

Quiddity Leaderboard CSI 300/500 Dec 24: US$4.3bn One-Way Flows; Exp.ADDs Vs DELs Rebound Possible

We expect 16 and 50 changes for CSI 300 and CSI 500 respectively. Collectively, the CSI 300 and CSI 500 expected changes could result in one-way...

Janaghan Jeyakumar, CFA

CSI300 Index Rebalance Preview: 18 Changes in Dec; Third Plenum; ETF Inflows; Short Sell Crackdown

There could be 18 changes in December. The adds have outperformed the deletes but near-term performance has been meh. There were ETF inflows last...

Brian Freitas

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

Quiddity Leaderboard SSE50/180 Jun 24: US$1.5bn Index Flows One-Way

According to my latest estimates, the SSE 50 expected ADDs and DELs could see US$1.34bn index buying and US$697mn index selling respectively.

Janaghan Jeyakumar, CFA

MSCI China Funds: Semiconductor Growth Stalls

With near record overweights and stalling ownership growth, active China managers should consider whether overweight Semiconductors is the right...

Steven Holden

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Quiddity Leaderboard CSI 300/​​500 Dec 24: US$4.3bn One-Way Flows; Exp.ADDs Vs DELs Rebound Possible

We expect 16 and 50 changes for CSI 300 and CSI 500 respectively. Collectively, the CSI 300 and CSI 500 expected changes could result in one-way...

Janaghan Jeyakumar, CFA

CSI300 Index Rebalance Preview: 18 Changes in Dec; Third Plenum; ETF Inflows; Short Sell Crackdown

There could be 18 changes in December. The adds have outperformed the deletes but near-term performance has been meh. There were ETF inflows last...

Brian Freitas

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

Quiddity Leaderboard SSE50/180 Jun 24: US$1.5bn Index Flows One-Way

According to my latest estimates, the SSE 50 expected ADDs and DELs could see US$1.34bn index buying and US$697mn index selling respectively.

Janaghan Jeyakumar, CFA

MSCI China Funds: Semiconductor Growth Stalls

With near record overweights and stalling ownership growth, active China managers should consider whether overweight Semiconductors is the right...

Steven Holden

Quiddity Leaderboard CSI 300/500 Dec 24: US$4.3bn One-Way Flows; Exp.ADDs Vs DELs Rebound Possible