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

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Index Rebalance

<p>The Hang Seng Indexes Company Limited (HSIL) announced the results of its review of the Hang Seng Family of Indexes post market close on 26 February. The constituent changes will be effective after the close of trading on 12 March.</p><p>For the Hang Seng Composite Index (HSCI) there are 36 inclusions and 29 deletions, taking the number of index constituents up to 500.</p><p>Although there are almost no assets indexed to the HSCI, the index forms the basis of stocks that are eligible for Southbound Stock Connect. Stocks that are included in the HSCI and subsequently included in the Stock Connect program get inflows from mainland investors. Secondary Listings are not eligible for inclusion in the Stock Connect program.</p><p>Of the 36 inclusions, 4 are already a part of Stock Connect by virtue of having listed A-shares, 2 are Secondary listings and will not be included in Stock Connect, 9 will be added to Shanghai and Shenzhen Stock Connect, while 21 stocks will only be added to Shenzhen Stock Connect.</p><p>Of the 29 index deletions, 13 are not a part of Stock Connect, 7 will continue to remain a part of Stock Connect by virtue of having listed A-shares, while 9 will be deleted from the Stock Connect program.</p><p>We identify 4 stocks that could sell off ahead of their removal from the Stock Connect Buy list, while Biotech stocks could be in focus ahead of their inclusion in the Stock Connect Buy and Sell list.</p>

The Hang Seng Indexes Company Limited (HSIL) announced the results of its review of the Hang Seng Family of Indexes post market close on 26 February. The constituent changes will be effective after the close of trading on 12 March.For the Hang Seng Composite Index (HSCI) there are 36 inclusions and 29 deletions, taking the number of index constituents up to 500.Although there are almost no assets indexed to the HSCI, the index forms the basis of stocks that are eligible for Southbound Stock Connect. Stocks that are included in the HSCI and subsequently included in the Stock Connect program get inflows from mainland investors. Secondary Listings are not eligible for inclusion in the Stock Connect program.Of the 36 inclusions, 4 are already a part of Stock Connect by virtue of having listed A-shares, 2 are Secondary listings and will not be included in Stock Connect, 9 will be added to Shanghai and Shenzhen Stock Connect, while 21 stocks will only be added to Shenzhen Stock Connect.Of the 29 index deletions, 13 are not a part of Stock Connect, 7 will continue to remain a part of Stock Connect by virtue of having listed A-shares, while 9 will be deleted from the Stock Connect program.We identify 4 stocks that could sell off ahead of their removal from the Stock Connect Buy list, while Biotech stocks could be in focus ahead of their inclusion in the Stock Connect Buy and Sell list.

HSCI Index Rebalance & Stock Connect: Inclusions & Exclusions

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

<p>Four weeks ago, I gave the warning that H/A spreads had moved tighter - too far too fast. The next week, spreads widened, they bounced back with a vengeance, then slightly wider in the short week at the start of Chinese New Year, and bouncing back in the post-CNY week.</p><p>In the two weeks from before to after Chinese New Year, the average sector spread moved about 70bp tighter, but the average spread moved only 42bp tighter.</p><table class="table table-striped"><tbody>
<tr>
<td><p>Sector</p></td>
<td style="text-align: right;"><p>Last<br>Week</p></td>
<td style="text-align: right;"><p>Previous<br>Week</p></td>
<td style="text-align: right;"><p>3wks<br>Ago</p></td>
<td style="text-align: right;"><p>4wks<br>Ago</p></td>
</tr>
<tr>
<td><p>Consumer</p></td>
<td style="text-align: right;"><p>-  1.20%</p></td>
<td style="text-align: right;"><p>+ 2.55%</p></td>
<td style="text-align: right;"><p>+ 2.32%</p></td>
<td style="text-align: right;"><p>-  2.62%</p></td>
</tr>
<tr>
<td><p>Energy</p></td>
<td style="text-align: right;"><p>+ 1.43%</p></td>
<td style="text-align: right;"><p>-  1.64%</p></td>
<td style="text-align: right;"><p>+ 1.98%</p></td>
<td style="text-align: right;"><p>-  0.59%</p></td>
</tr>
<tr>
<td><p>Financials &amp; Real Estate</p></td>
<td style="text-align: right;"><p>+ 0.10%</p></td>
<td style="text-align: right;"><p>+ 0.29%</p></td>
<td style="text-align: right;"><p>+ 0.62%</p></td>
<td style="text-align: right;"><p>-  1.73%</p></td>
</tr>
<tr>
<td><p>Health Care &amp; Info Tech</p></td>
<td style="text-align: right;"><p>+ 1.45%</p></td>
<td style="text-align: right;"><p>-  1.52%</p></td>
<td style="text-align: right;"><p>+ 2.29%</p></td>
<td style="text-align: right;"><p>-  0.27%</p></td>
</tr>
<tr>
<td><p>Industrials</p></td>
<td style="text-align: right;"><p>+ 0.26%</p></td>
<td style="text-align: right;"><p>-  0.62%</p></td>
<td style="text-align: right;"><p>+ 2.48%</p></td>
<td style="text-align: right;"><p>-  1.30%</p></td>
</tr>
<tr>
<td><p>Materials</p></td>
<td style="text-align: right;"><p>+ 3.08%</p></td>
<td style="text-align: right;"><p>-  0.57%</p></td>
<td style="text-align: right;"><p>+ 2.66%</p></td>
<td style="text-align: right;"><p>-  0.95%</p></td>
</tr>
<tr>
<td><p>Utilities</p></td>
<td style="text-align: right;"><p>+ 0.99%</p></td>
<td style="text-align: right;"><p>+ 0.25%</p></td>
<td style="text-align: right;"><p>+ 1.06%</p></td>
<td style="text-align: right;"><p>-  2.45%</p></td>
</tr>
<tr>
<td><p>Sector Average</p></td>
<td style="text-align: right;"><p>+ 0.87%</p></td>
<td style="text-align: right;"><p>-  0.18%</p></td>
<td style="text-align: right;"><p>+ 1.92%</p></td>
<td style="text-align: right;"><p>-  1.41%</p></td>
</tr>
</tbody></table><p>This week, the data is a bit cut short as the China Securities Depository and Clearing has not reported Southbound position data since the 10th as far as I can tell. </p><div class="content-highlight"><p>There were 75 recommendations last week.  The 32 short recommendations lost an average of 48bp, slightly underperforming the market as a whole. The 43 long recommendations averaged gains of 50bp over the two weeks, outperforming the market as a whole. The combined total package was up 0.084% over the two weeks. </p></div><div><div><h3>The H/A Spread Market</h3></div></div><div>
<p>The past two weeks straddling Chinese New Year saw mixed movement in H/A spreads, with 63 of 98 liquid spreads (64%) narrowing an average of 42bp. They are on average 92bp tighter over four weeks. </p>
<section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/189/832/original/Screenshot+2021-02-20+at+5.17.17+PM.png?1613812651" class="editor-image img-responsive" data-smartkarma-image-id="189832"></figure></section><hr>
</div><div><div><h3>Consumer Sector</h3></div></div><div>
<p>The first sector discussed is Consumer, where liquid H/A spreads narrowed on average 1.35% over the two weeks, but with some bumpiness. </p>
<p><a href="https://www.smartkarma.com/entities/byd-co-ltd-h" target="_blank" data-smartkarma-citation="entities:20962:1" rel="noopener">BYD (1211 HK)</a> saw its spread move 3.1% wider over the two weeks and is now 7.1% wider over four weeks and it is no longer the narrowest liquid H/A spread in the sector, with <a href="https://www.smartkarma.com/entities/fuyao-glass-industry-group-co-ltd" target="_blank" data-smartkarma-citation="entities:330:1" rel="noopener">Fuyao Glass Industry Group (3606 HK)</a> taking its place moving 2.4% in the two weeks and 10.7% in four.</p>
</div><div class="content-highlight">
<p>Two weeks ago, I recommended staying long the <a href="https://www.smartkarma.com/entities/great-wall-motor-co-ltd-cb302af9-398c-4d2d-ba39-023e43287eef" target="_blank" data-smartkarma-citation="entities:128:1" rel="noopener">Great Wall Motor (2333 HK)</a>, and short <a href="https://www.smartkarma.com/entities/byd-co-ltd-h" target="_blank" data-smartkarma-citation="entities:20962:1" rel="noopener">BYD (1211 HK)</a>, <a href="https://www.smartkarma.com/entities/hisense-home-appliances-group-co-ltd-h" target="_blank" data-smartkarma-citation="entities:20107:1" rel="noopener">Hisense Home Appliances Group Co., Ltd. H (921 HK)</a>, and <a href="https://www.smartkarma.com/entities/fuyao-glass-industry-group-co-ltd" target="_blank" data-smartkarma-citation="entities:330:1" rel="noopener">Fuyao Glass Industry Group (3606 HK)</a> H vs A. </p>
<p>Those four trades gained an average of 1.67% in spread terms on the week.</p>
</div><section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/189/833/original/Screenshot+2021-02-20+at+5.28.45+PM.png?1613813350" class="editor-image img-responsive" data-smartkarma-image-id="189833"></figure></section><p>For this week's recommendations on Consumer, and discussion of the Energy, Financials &amp; Real Estate, Health Care, Tech, Industrials, Materials, and Utilities sectors, and all trade recommendations, please read on.</p>

Four weeks ago, I gave the warning that H/A spreads had moved tighter - too far too fast. The next week, spreads widened, they bounced back with a vengeance, then slightly wider in the short week at the start of Chinese New Year, and bouncing back in the post-CNY week.In the two weeks from before to after Chinese New Year, the average sector spread moved about 70bp tighter, but the average spread moved only 42bp tighter.

Sector
Last Week
Previous Week
3wks Ago
4wks Ago


Consumer
-  1.20%
+ 2.55%
+ 2.32%
-  2.62%


Energy
+ 1.43%
-  1.64%
+ 1.98%
-  0.59%


Financials &amp; Real Estate
+ 0.10%
+ 0.29%
+ 0.62%
-  1.73%


Health Care &amp; Info Tech
+ 1.45%
-  1.52%
+ 2.29%
-  0.27%


Industrials
+ 0.26%
-  0.62%
+ 2.48%
-  1.30%


Materials
+ 3.08%
-  0.57%
+ 2.66%
-  0.95%


Utilities
+ 0.99%
+ 0.25%
+ 1.06%
-  2.45%


Sector Average
+ 0.87%
-  0.18%
+ 1.92%
-  1.41%

This week, the data is a bit cut short as the China Securities Depository and Clearing has not reported Southbound position data since the 10th as far as I can tell. There were 75 recommendations last week.  The 32 short recommendations lost an average of 48bp, slightly underperforming the market as a whole. The 43 long recommendations averaged gains of 50bp over the two weeks, outperforming the market as a whole. The combined total package was up 0.084% over the two weeks. The H/A Spread Market
The past two weeks straddling Chinese New Year saw mixed movement in H/A spreads, with 63 of 98 liquid spreads (64%) narrowing an average of 42bp. They are on average 92bp tighter over four weeks. 

Consumer Sector
The first sector discussed is Consumer, where liquid H/A spreads narrowed on average 1.35% over the two weeks, but with some bumpiness. 
BYD (1211 HK) saw its spread move 3.1% wider over the two weeks and is now 7.1% wider over four weeks and it is no longer the narrowest liquid H/A spread in the sector, with Fuyao Glass Industry Group (3606 HK) taking its place moving 2.4% in the two weeks and 10.7% in four.

Two weeks ago, I recommended staying long the Great Wall Motor (2333 HK), and short BYD (1211 HK), Hisense Home Appliances Group Co., Ltd. H (921 HK), and Fuyao Glass Industry Group (3606 HK) H vs A. 
Those four trades gained an average of 1.67% in spread terms on the week.
For this week's recommendations on Consumer, and discussion of the Energy, Financials &amp; Real Estate, Health Care, Tech, Industrials, Materials, and Utilities sectors, and all trade recommendations, please read on.

Quiddity Weekly H/A: High Volatility in Materials and Industrials and Spreads Over Lunar New Year

Beijing Kingsoft Office Softwa / Index Rebalance

<p>The <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a> consists of stocks from the Shanghai Stock Exchange and the Shenzhen Stock Exchange and is one of the most widely tracked A-share indices with passive tracking products listed in multiple markets globally. There are CFFEX listed futures that trade actively as well.</p><p>China Securities Index Co (CSI) will announce the changes end May/beginning June and the changes will be effective after the close of trading on 11 June.</p><p>There were 21 changes to the index at the June 2020 review and 26 changes at the December 2020 review. We expect 30 changes at the upcoming June 2021 index review - this is the maximum number of changes that are permitted at a single review. Estimated one-way turnover is 4.56%.</p><p>With passive tracking products holding around US$32bn of AUM, plus another US$53bn in open interest on the listed futures, plus active managers benchmarked to the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a>, there could be significant moves in the inclusion/exclusion names from now to the end of the review period. There will only be 9-10 trading days between the announcement of the changes and the implementation, so having a pre-position should pay off. There should not be too many changes in the possible list of inclusions and exclusions due to the averaging process over the last year of trading.</p>

The Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) consists of stocks from the Shanghai Stock Exchange and the Shenzhen Stock Exchange and is one of the most widely tracked A-share indices with passive tracking products listed in multiple markets globally. There are CFFEX listed futures that trade actively as well.China Securities Index Co (CSI) will announce the changes end May/beginning June and the changes will be effective after the close of trading on 11 June.There were 21 changes to the index at the June 2020 review and 26 changes at the December 2020 review. We expect 30 changes at the upcoming June 2021 index review - this is the maximum number of changes that are permitted at a single review. Estimated one-way turnover is 4.56%.With passive tracking products holding around US$32bn of AUM, plus another US$53bn in open interest on the listed futures, plus active managers benchmarked to the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX), there could be significant moves in the inclusion/exclusion names from now to the end of the review period. There will only be 9-10 trading days between the announcement of the changes and the implementation, so having a pre-position should pay off. There should not be too many changes in the possible list of inclusions and exclusions due to the averaging process over the last year of trading.

CSI300 Index Rebalance Preview: Maxing Out the Number of Changes

Quantitative Analysis

<div>
<p>The H-Share/A-Share monitor is published every weekend for the data ending the last trading day of the previous week. It includes all H-Share/A-Share pairs where the H-Share has a 90-day average daily value-traded of US$1.0mm or more. It shows basic data per H/A spread stock by sector, with...</p>
</div>
<div>
<ul style="list-style-type: disc;">
<li>H/A Discount,</li>
<li>movement in H/A Discount over 5 and 20 days,</li>
<li>a 52-week Z-score for the spread,</li>
<li>A chart showing evolution of the H/A spread over the last 20 days,</li>
<li>Southbound shares held (millions of shares), Net Change in Southbound (Shanghai and Shenzhen combined) shares held by millions of shares, and contribution of Net Southbound Volume to HK-traded volume over the past five days and 20 days, </li>
<li>There is also a chart showing the average sector spread and the individual spreads within each sector over the last three years. </li>
</ul>
</div>
<div>
<p>A recent addition is the possible status of H/A-share companies in the monitor which are subject to the Trump Executive Order on Chinese Military Companies. They are separated into three types (Possible Direct Qualifying Entity, Possible Indirect Qualifying Entity, and 20+%-owned by Qualifying Entity). They are color-coded as below.</p>
</div>
<section>
<figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/174/784/original/image?1606541170" class="editor-image img-responsive" data-smartkarma-image-id="174784"></figure>
</section>
<div>
<p>For more on the list of names, please see <a href="https://www.smartkarma.com/insights/trump-s-executive-order-on-chinese-military-companies" target="_blank" data-smartkarma-citation="insights:45259" rel="noopener">Trump's Executive Order on Chinese Military Companies</a>. </p>
</div>
<hr>
<div class="content-highlight">
<p>This past week saw mixed movement in H/A spreads but on average they were narrower.</p>
<section class="figure">
<figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/174/829/original/Screenshot%202020-11-28%20at%206.25.16%20PM.png?1606559131" class="editor-image img-responsive" data-smartkarma-image-id="174829"></figure>
<p></p>
</section>
<p>Average performance of the 39 recommendations (long 27, short 12) from last week was for a profit of 0.67% per trade.</p>
<p>There are 43 recommendations for the upcoming week.</p>
</div>
<hr>
<div>
<p>The first sector discussed is <strong>Consumer</strong>, where liquid H/A spreads narrowed on average 0.6% this past week after narrowing 2.7% the week before. Spreads are now tighter by 2.1% on average over a four-week period. Four of six liquid Hs outperformed their As.</p>
<p>Southbound accounts were large-ish net buyers on the week. There were three net buys and three net sells but the net buying ended up being all <a href="https://www.smartkarma.com/entities/byd-co-ltd-h" target="_blank" data-smartkarma-citation="entities:20962:1" rel="noopener">BYD (1211 HK)</a>, again. <a href="https://www.smartkarma.com/entities/guangzhou-automobile-group-co-ltd" target="_blank" data-smartkarma-citation="entities:11082:1" rel="noopener">Guangzhou Automobile Group (2238 HK)</a> saw significant net selling. </p>
</div>
<div>
<div>
<div class="content-highlight">
<p>Last week I recommended staying long the H vs A on <a href="https://www.smartkarma.com/entities/great-wall-motor-co-ltd-cb302af9-398c-4d2d-ba39-023e43287eef" target="_blank" data-smartkarma-citation="entities:128:1" rel="noopener">Great Wall Motor (2333 HK)</a> and that spread gained 1.6% for the week (after gaining 4.7% the week before when it was also recommended). This past week I put out the Weekly late on Monday (after 2pm), when BYD in Hong Kong had gained 3.7% vs the As on the day, and so recommended implementing a short BYD (1211 HK) H vs A share trade and from that point or even from the end of the day or the next, the Hs actually underperformed the As by 0.4%. </p>
<p>See below the fold for this week's recommendations.</p>
</div>
</div>
</div>
<section class="figure">
<section class="figure">
<figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/174/809/original/Screenshot%202020-11-28%20at%205.32.56%20PM.png?1606556000" class="editor-image img-responsive" data-smartkarma-image-id="174809"></figure>
</section>
<p></p>
</section>
<section class="figure"></section>
<section>
<section class="figure">For Energy, Financials &amp; Real Estate, Health Care, Tech, Industrials, Materials, and Utilities, please read on.</section>
</section>


The H-Share/A-Share monitor is published every weekend for the data ending the last trading day of the previous week. It includes all H-Share/A-Share pairs where the H-Share has a 90-day average daily value-traded of US$1.0mm or more. It shows basic data per H/A spread stock by sector, with...



H/A Discount,
movement in H/A Discount over 5 and 20 days,
a 52-week Z-score for the spread,
A chart showing evolution of the H/A spread over the last 20 days,
Southbound shares held (millions of shares), Net Change in Southbound (Shanghai and Shenzhen combined) shares held by millions of shares, and contribution of Net Southbound Volume to HK-traded volume over the past five days and 20 days, 
There is also a chart showing the average sector spread and the individual spreads within each sector over the last three years. 



A recent addition is the possible status of H/A-share companies in the monitor which are subject to the Trump Executive Order on Chinese Military Companies. They are separated into three types (Possible Direct Qualifying Entity, Possible Indirect Qualifying Entity, and 20+%-owned by Qualifying Entity). They are color-coded as below.





For more on the list of names, please see Trump's Executive Order on Chinese Military Companies. 



This past week saw mixed movement in H/A spreads but on average they were narrower.




Average performance of the 39 recommendations (long 27, short 12) from last week was for a profit of 0.67% per trade.
There are 43 recommendations for the upcoming week.



The first sector discussed is Consumer, where liquid H/A spreads narrowed on average 0.6% this past week after narrowing 2.7% the week before. Spreads are now tighter by 2.1% on average over a four-week period. Four of six liquid Hs outperformed their As.
Southbound accounts were large-ish net buyers on the week. There were three net buys and three net sells but the net buying ended up being all BYD (1211 HK), again. Guangzhou Automobile Group (2238 HK) saw significant net selling. 




Last week I recommended staying long the H vs A on Great Wall Motor (2333 HK) and that spread gained 1.6% for the week (after gaining 4.7% the week before when it was also recommended). This past week I put out the Weekly late on Monday (after 2pm), when BYD in Hong Kong had gained 3.7% vs the As on the day, and so recommended implementing a short BYD (1211 HK) H vs A share trade and from that point or even from the end of the day or the next, the Hs actually underperformed the As by 0.4%. 
See below the fold for this week's recommendations.











For Energy, Financials &amp; Real Estate, Health Care, Tech, Industrials, Materials, and Utilities, please read on.


Quiddity Weekly H/​​A: Share Spread Monitor as of 27 Nov 2020

<div>
<p>The H-Share/A-Share monitor is published every weekend for the data ending the last trading day of the previous week. It includes all H-Share/A-Share pairs where the H-Share has a 90-day average daily value-traded of US$1.0mm or more. It shows basic data per H/A spread stock by sector, with...</p>
</div>
<div>
<ul style="list-style-type: disc;">
<li>H/A Discount,</li>
<li>movement in H/A Discount over 5 and 20 days,</li>
<li>a 52-week Z-score for the spread,</li>
<li>A chart showing evolution of the H/A spread over the last 20 days,</li>
<li>Southbound shares held (millions of shares), Net Change in Southbound (Shanghai and Shenzhen combined) shares held by millions of shares, and contribution of Net Southbound Volume to HK-traded volume over the past five days and 20 days, </li>
<li>There is also a chart showing the average sector spread and the individual spreads within each sector over the last three years. </li>
</ul>
</div>
<div>
<p>A recent addition is the possible status of H/A-share companies in the monitor which are subject to the Trump Executive Order on Chinese Military Companies. They are separated into three types (Possible Direct Qualifying Entity, Possible Indirect Qualifying Entity, and 20+%-owned by Qualifying Entity). They are color-coded as below.</p>
</div>
<section>
<figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/173/235/original/image?1606106816" class="editor-image img-responsive" data-smartkarma-image-id="173235"></figure>
</section>
<div>
<p>For more on the list of names, please see <a href="https://www.smartkarma.com/insights/trump-s-executive-order-on-chinese-military-companies" target="_blank" data-smartkarma-citation="insights:45259" rel="noopener">Trump's Executive Order on Chinese Military Companies</a>. </p>
</div>
<hr>
<div>
<p>The first sector discussed is <strong>Consumer</strong>, where H/A spreads narrowed on average 2.7% for the week after narrowing 1.4% last week. Spreads are now just about flat over a four-week period. Every liquid H outperformed their A except for <a href="https://www.smartkarma.com/entities/guangzhou-automobile-group-co-ltd" target="_blank" data-smartkarma-citation="entities:11082:1" rel="noopener">Guangzhou Automobile Group (2238 HK)</a> despite significant net selling of the Hs by Southbound accounts (selling on <a href="https://www.smartkarma.com/entities/byd-co-ltd-h" target="_blank" data-smartkarma-citation="entities:20962:1" rel="noopener">BYD (1211 HK)</a> accounted for most of the net selling. The average H in the sector was up 10% on the week, which is remarkable. On average the liquid Hs in the cluster are up 27% in 4 weeks (none up less than 17%) and 35% since the start of the Golden Week holiday. </p>
</div>
<div>
<p>Southbound investors through the Shenzhen-HK and Shanghai-HK Connect were heavy net sellers on the week and have now sold HK$3bn+ over four weeks, with most of the net selling in the sector coming from Southbound selling of BYD.  <a href="https://www.smartkarma.com/entities/hisense-home-appliances-group-co-ltd-h" target="_blank" data-smartkarma-citation="entities:20107:1" rel="noopener">Hisense Home Appliances Group Co., Ltd. H (921 HK)</a> still saw some selling but it did not dominate flows like last week. </p>
</div>
<div>
<div class="content-highlight">
<p>Last week I recommended going long the H vs A on <a href="https://www.smartkarma.com/entities/great-wall-motor-co-ltd-cb302af9-398c-4d2d-ba39-023e43287eef" target="_blank" data-smartkarma-citation="entities:128:1" rel="noopener">Great Wall Motor (2333 HK)</a> and that spread gained 4.7% for the week. This week I recommend maintaining that trade and implementing a short BYD (1211 HK) H vs A share trade.</p>
</div>
</div>
<div>
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<figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/173/244/original/Screenshot%202020-11-23%20at%2012.49.10%20PM.png?1606106963" class="editor-image img-responsive" data-smartkarma-image-id="173244"></figure>
</section>
<p></p>
</div>
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<p>For Energy, Financials &amp; Real Estate, Health Care, Tech, Industrials, Materials, and Utilities, please read on.</p>
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The H-Share/A-Share monitor is published every weekend for the data ending the last trading day of the previous week. It includes all H-Share/A-Share pairs where the H-Share has a 90-day average daily value-traded of US$1.0mm or more. It shows basic data per H/A spread stock by sector, with...



H/A Discount,
movement in H/A Discount over 5 and 20 days,
a 52-week Z-score for the spread,
A chart showing evolution of the H/A spread over the last 20 days,
Southbound shares held (millions of shares), Net Change in Southbound (Shanghai and Shenzhen combined) shares held by millions of shares, and contribution of Net Southbound Volume to HK-traded volume over the past five days and 20 days, 
There is also a chart showing the average sector spread and the individual spreads within each sector over the last three years. 



A recent addition is the possible status of H/A-share companies in the monitor which are subject to the Trump Executive Order on Chinese Military Companies. They are separated into three types (Possible Direct Qualifying Entity, Possible Indirect Qualifying Entity, and 20+%-owned by Qualifying Entity). They are color-coded as below.





For more on the list of names, please see Trump's Executive Order on Chinese Military Companies. 



The first sector discussed is Consumer, where H/A spreads narrowed on average 2.7% for the week after narrowing 1.4% last week. Spreads are now just about flat over a four-week period. Every liquid H outperformed their A except for Guangzhou Automobile Group (2238 HK) despite significant net selling of the Hs by Southbound accounts (selling on BYD (1211 HK) accounted for most of the net selling. The average H in the sector was up 10% on the week, which is remarkable. On average the liquid Hs in the cluster are up 27% in 4 weeks (none up less than 17%) and 35% since the start of the Golden Week holiday. 


Southbound investors through the Shenzhen-HK and Shanghai-HK Connect were heavy net sellers on the week and have now sold HK$3bn+ over four weeks, with most of the net selling in the sector coming from Southbound selling of BYD.  Hisense Home Appliances Group Co., Ltd. H (921 HK) still saw some selling but it did not dominate flows like last week. 



Last week I recommended going long the H vs A on Great Wall Motor (2333 HK) and that spread gained 4.7% for the week. This week I recommend maintaining that trade and implementing a short BYD (1211 HK) H vs A share trade.










For Energy, Financials &amp; Real Estate, Health Care, Tech, Industrials, Materials, and Utilities, please read on.


Quiddity Weekly H/A: Share Spread Monitor as of 20 Nov 2020

China

Huadian Power International Corporation Limited generates and sells electricity which is all fed into the Shandong Provincial Grid operated by Shandong Electric Power (Group) Corporation (SEPCO), the immediate holding company of the Company.  The Company also sells heat.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Huadian Power Intl Corp A (600027 CH)

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Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

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