Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

Jiangsu Hoperun Software / Index Rebalance

<ul>
<li>The December 2024 index review results for the ChiNext and ChiNext 50 indices were announced yesterday.</li>
<li>There will be seven changes for the ChiNext index and five changes for the ChiNext 50 index. Some of these names surprised us.</li>
<li>In this insight, we take a look at our final flow expectations for the confirmed index changes.</li>
</ul>


The December 2024 index review results for the ChiNext and ChiNext 50 indices were announced yesterday.
There will be seven changes for the ChiNext index and five changes for the ChiNext 50 index. Some of these names surprised us.
In this insight, we take a look at our final flow expectations for the confirmed index changes.


Quiddity ChiNext/ChiNext 50 Dec 24 Results: ~80% Hit Rate; US$1bn+ One-Way Flows

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 are 7 changes for the <a href="https://www.smartkarma.com/entities/chinext-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">ChiNext Index (SZ399006 INDEX)</a> and 5 changes for the ChiNext 50 Index at the December rebalance.</li>
<li>We correctly forecast 4/7 and 7/7 for the Chinext Index adds/deletes and were 3/5 and 5/5 for the Chinext50 Index adds/deletes.</li>
<li>Based on the estimated passive tracking AUM, the round-trip trade across both indices is estimated to be CNY 12.24bn (US$1.69bn).</li>
</ul>


There are 7 changes for the ChiNext Index (SZ399006 INDEX) and 5 changes for the ChiNext 50 Index at the December rebalance.
We correctly forecast 4/7 and 7/7 for the Chinext Index adds/deletes and were 3/5 and 5/5 for the Chinext50 Index adds/deletes.
Based on the estimated passive tracking AUM, the round-trip trade across both indices is estimated to be CNY 12.24bn (US$1.69bn).


ChiNext/​​ChiNext 50 Index Rebalance: US$1.7bn Round-Trip Trade

<ul>
<li>The ChiNext Index represents the performance of the 100 largest and most liquid A-share stocks listed on the ChiNext Market of the Shenzhen Stock Exchange.</li>
<li>The ChiNext 50 index is a subset of the ChiNext Index and it consists of the top 50 names in the ChiNext index with the highest daily average turnover.</li>
<li>In this insight, we have presented our final expectations for ADDs and DELs for the upcoming index rebal event in December 2024.</li>
</ul>


The ChiNext Index represents the performance of the 100 largest and most liquid A-share stocks listed on the ChiNext Market of the Shenzhen Stock Exchange.
The ChiNext 50 index is a subset of the ChiNext Index and it consists of the top 50 names in the ChiNext index with the highest daily average turnover.
In this insight, we have presented our final expectations for ADDs and DELs for the upcoming index rebal event in December 2024.


Quiddity Leaderboard ChiNext Dec 24: Several Last-Minute Surprises; New Trade Idea

<ul>
<li>With the review period complete, we forecast 8 changes for the <a href="https://www.smartkarma.com/entities/chinext-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">ChiNext Index (SZ399006 INDEX)</a> and 5 changes for the ChiNext 50 Index in December.</li>
<li>The largest flows will be on stocks that are adds or deletes for both indices - and there are a few of those. Plus some overlaps with the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI500 Index</a>.</li>
<li>With multiple index inclusions in December, <a href="https://www.smartkarma.com/entities/jiangsu-hoperun-software-co-ltd" target="_blank" data-smartkarma-citation="entities:3466:1" rel="noopener">Jiangsu Hoperun Software (300339 CH)</a> has a lot of stock to buy from passive trackers. There could be more buying in February and March.</li>
</ul>


With the review period complete, we forecast 8 changes for the ChiNext Index (SZ399006 INDEX) and 5 changes for the ChiNext 50 Index in December.
The largest flows will be on stocks that are adds or deletes for both indices - and there are a few of those. Plus some overlaps with the CSI500 Index.
With multiple index inclusions in December, Jiangsu Hoperun Software (300339 CH) has a lot of stock to buy from passive trackers. There could be more buying in February and March.


ChiNext/​​​ChiNext50 Index Rebalance Preview: Jiangsu Hoperun's Multiple Index Inclusions & Big Risk

<ul>
<li>The ChiNext Index represents the performance of the 100 largest and most liquid A-share stocks listed on the ChiNext Market of the Shenzhen Stock Exchange.</li>
<li>The ChiNext 50 index is a subset of the ChiNext Index and it consists of the top 50 names in the ChiNext index with the highest daily average turnover.</li>
<li>In this insight, we have presented our updated rankings for Potential ADDs and DELs for the upcoming index rebal event in December 2024.</li>
</ul>


The ChiNext Index represents the performance of the 100 largest and most liquid A-share stocks listed on the ChiNext Market of the Shenzhen Stock Exchange.
The ChiNext 50 index is a subset of the ChiNext Index and it consists of the top 50 names in the ChiNext index with the highest daily average turnover.
In this insight, we have presented our updated rankings for Potential ADDs and DELs for the upcoming index rebal event in December 2024.


Quiddity Leaderboard ChiNext Dec 24: US$400mn Expected Inflow for Jiangsu Hoperun

China

Intco Medical Technology Co.,Ltd. manufactures and distributes medical supplies. The Company produces disposable gloves, wheelchairs, gauzes, electrodes, and other products. Intco Medical Technology markets its products throughout China.

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Intco Medical Technology Lt (300677 CH)

Quiddity ChiNext/ChiNext 50 Dec 24 Results: ~80% Hit Rate; US$1bn+ One-Way Flows

We estimate US$851mn and US$191mn one-way flows for the ChiNext and ChiNext 50 December 2024 index rebal events respectively.

Janaghan Jeyakumar, CFA

ChiNext/ChiNext 50 Index Rebalance: US$1.7bn Round-Trip Trade

There are 7 changes for the Chinext and 5 changes for the Chinext50. The round-trip trade across both indices is estimated to be CNY 12.24bn...

Brian Freitas

Quiddity Leaderboard ChiNext Dec 24: Several Last-Minute Surprises; New Trade Idea

We estimate one-way flows of US$578mn for the ChiNext index rebalance and US$171mn for the ChiNext 50 rebalance in December 2024.

Janaghan Jeyakumar, CFA

ChiNext/ChiNext50 Index Rebalance Preview: Jiangsu Hoperun's Multiple Index Inclusions & Big Risk

Review period ends today. We see 8 Chinext, 5 Chinext50 changes. Jiangsu Hoperun will have US$430m to buy, plus flows from CSI trackers, plus...

Brian Freitas

Quiddity Leaderboard ChiNext Dec 24: US$400mn Expected Inflow for Jiangsu Hoperun

We estimate US$539mn and US$179mn one-way flows for ChiNext and ChiNext 50. Out of this, Jiangsu Hoperun (300339 CH) alone could see a massive...

Janaghan Jeyakumar, CFA

Price Gauge

52-week Range

Market Cap (USDm)

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Dividend (Yield)

Quiddity ChiNext/ChiNext 50 Dec 24 Results: ~80% Hit Rate; US$1bn+ One-Way Flows

We estimate US$851mn and US$191mn one-way flows for the ChiNext and ChiNext 50 December 2024 index rebal events respectively.

Janaghan Jeyakumar, CFA

ChiNext/​​ChiNext 50 Index Rebalance: US$1.7bn Round-Trip Trade

There are 7 changes for the Chinext and 5 changes for the Chinext50. The round-trip trade across both indices is estimated to be CNY 12.24bn...

Brian Freitas

Quiddity Leaderboard ChiNext Dec 24: Several Last-Minute Surprises; New Trade Idea

We estimate one-way flows of US$578mn for the ChiNext index rebalance and US$171mn for the ChiNext 50 rebalance in December 2024.

Janaghan Jeyakumar, CFA

ChiNext/​​​ChiNext50 Index Rebalance Preview: Jiangsu Hoperun's Multiple Index Inclusions & Big Risk

Review period ends today. We see 8 Chinext, 5 Chinext50 changes. Jiangsu Hoperun will have US$430m to buy, plus flows from CSI trackers, plus...

Brian Freitas

Quiddity Leaderboard ChiNext Dec 24: US$400mn Expected Inflow for Jiangsu Hoperun

We estimate US$539mn and US$179mn one-way flows for ChiNext and ChiNext 50. Out of this, Jiangsu Hoperun (300339 CH) alone could see a massive...

Janaghan Jeyakumar, CFA

ChiNext/ChiNext 50 Index Rebalance: US$1.7bn Round-Trip Trade

ChiNext/ChiNext50 Index Rebalance Preview: Jiangsu Hoperun's Multiple Index Inclusions & Big Risk