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>The June 2025 index review results for China's CSI 300 and CSI 500 indices were announced after market close on Friday 30th May 2025.</li>
<li>There will be 7 ADDs/DELs for CSI 300 and 50 ADDs/DELs for CSI 500.</li>
<li>The CSI 300 and CSI 500 index rebal events could trigger US$1.7bn and US$3.2bn in one-way flows, respectively.</li>
</ul>


The June 2025 index review results for China's CSI 300 and CSI 500 indices were announced after market close on Friday 30th May 2025.
There will be 7 ADDs/DELs for CSI 300 and 50 ADDs/DELs for CSI 500.
The CSI 300 and CSI 500 index rebal events could trigger US$1.7bn and US$3.2bn in one-way flows, respectively.


Quiddity CSI 300/​​500 Jun25 Results: 114 Changes; 88% Hit Rate; ~US$5bn One-Way

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

Kuang-Chi Technologies   / Index Rebalance

<ul>
<li>There could be 8 changes at the June rebalance with the Industrials and Information Technology sectors gaining 3 index spots each and the Materials sector losing 4 spots.</li>
<li>Estimated one-way turnover is 1.44% at the rebalance leading to a round-trip trade of CNY 32.55bn (US$4.5bn). There are 13 stocks with over 2x ADV to trade.</li>
<li>The forecast adds have outperformed the forecast deletes over the last 6 weeks even though there have been large ETF creations. There could be more outperformance coming up.</li>
</ul>


There could be 8 changes at the June rebalance with the Industrials and Information Technology sectors gaining 3 index spots each and the Materials sector losing 4 spots.
Estimated one-way turnover is 1.44% at the rebalance leading to a round-trip trade of CNY 32.55bn (US$4.5bn). There are 13 stocks with over 2x ADV to trade.
The forecast adds have outperformed the forecast deletes over the last 6 weeks even though there have been large ETF creations. There could be more outperformance coming up.


CSI300 Index Rebalance Preview: 8 Changes a Side in June; US$4.5bn Trade

<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 names.</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>Currently, we see 6 ADDs/DELs for the CSI 300 index and 50 ADDs/DELs for the CSI 500 index.</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 names.
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.
Currently, we see 6 ADDs/DELs for the CSI 300 index and 50 ADDs/DELs for the CSI 500 index.


Quiddity Leaderboard CSI 300/​​500 Jun25: End of Reference Period Soon; ~US$6bn Total One-Way

Event-Driven

Quiddity Leaderboard CSI 300/​​500 Jun25: US$6bn+ One-Way Flows; One Intra-Review Addition Soon

<ul>
<li>There could be 7 changes at the June rebalance with the Information Technology sector gaining 3 index spots and the Materials sector losing 3 spots.</li>
<li>We estimate one-way turnover of 1.45% at the rebalance leading to a round-trip trade of CNY 28.1bn (US$3.9bn). There are 6 stocks with over 2x ADV to trade.</li>
<li>There have been redemptions in mainland China ETFs over the last couple of months and that leads to a lower impact on the stocks compared to the last rebalance.</li>
</ul>


There could be 7 changes at the June rebalance with the Information Technology sector gaining 3 index spots and the Materials sector losing 3 spots.
We estimate one-way turnover of 1.45% at the rebalance leading to a round-trip trade of CNY 28.1bn (US$3.9bn). There are 6 stocks with over 2x ADV to trade.
There have been redemptions in mainland China ETFs over the last couple of months and that leads to a lower impact on the stocks compared to the last rebalance.


CSI300 Index Rebalance Preview: 7 Changes a Side as Market Trades in a Range

China

Lingyi iTech (Guangdong) Company manufactures magnetic material components. The Company develops, produces, and distributes ferrite permanent magnet components, ferrite soft magnet components, and other magnetic material components. Lingyi iTech (Guangdong) markets its products worldwide.

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Lingyi iTech Guangdong (002600 CH)

Quiddity CSI 300/500 Jun25 Results: 114 Changes; 88% Hit Rate; ~US$5bn One-Way

We got 100 out of the 114 changes correct. Most of the misses were in our final Leaderboard but were ruled out as False Positives or were just...

Janaghan Jeyakumar, CFA

CSI300 Index Rebalance Preview: 8 Changes a Side in June; US$4.5bn Trade

8 changes forecast for CSI300 June. Estimated one-way turnover is 1.44% and round-trip trade is US$4.5bn. A long adds/short deletes trade has done...

Brian Freitas

Quiddity Leaderboard CSI 300/500 Jun25: End of Reference Period Soon; ~US$6bn Total One-Way

Collectively, for CSI 300 and CSI 500 there could be one-way flows of US$6bn during the June 2025 index rebal event. The reference period for final...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard CSI 300/500 Jun25: US$6bn+ One-Way Flows; One Intra-Review Addition Soon

There could be US$2.2bn and US$4.1bn one-way flows for CSI 300 and CSI 500 respectively. Some CSI 500 ADDs could outperform the CSI 300 index over...

Janaghan Jeyakumar, CFA

CSI300 Index Rebalance Preview: 7 Changes a Side as Market Trades in a Range

There could be 7 changes for the CSI300 in June with a one-way turnover of 1.45% and a round-trip trade of US$3.9bn. The adds and deletes have...

Brian Freitas

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52-week Range

Market Cap (USDm)

P/E

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Quiddity CSI 300/​​500 Jun25 Results: 114 Changes; 88% Hit Rate; ~US$5bn One-Way

We got 100 out of the 114 changes correct. Most of the misses were in our final Leaderboard but were ruled out as False Positives or were just...

Janaghan Jeyakumar, CFA

CSI300 Index Rebalance Preview: 8 Changes a Side in June; US$4.5bn Trade

8 changes forecast for CSI300 June. Estimated one-way turnover is 1.44% and round-trip trade is US$4.5bn. A long adds/short deletes trade has done...

Brian Freitas

Quiddity Leaderboard CSI 300/​​500 Jun25: End of Reference Period Soon; ~US$6bn Total One-Way

Collectively, for CSI 300 and CSI 500 there could be one-way flows of US$6bn during the June 2025 index rebal event. The reference period for final...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard CSI 300/​​500 Jun25: US$6bn+ One-Way Flows; One Intra-Review Addition Soon

There could be US$2.2bn and US$4.1bn one-way flows for CSI 300 and CSI 500 respectively. Some CSI 500 ADDs could outperform the CSI 300 index over...

Janaghan Jeyakumar, CFA

CSI300 Index Rebalance Preview: 7 Changes a Side as Market Trades in a Range

There could be 7 changes for the CSI300 in June with a one-way turnover of 1.45% and a round-trip trade of US$3.9bn. The adds and deletes have...

Brian Freitas

Quiddity CSI 300/500 Jun25 Results: 114 Changes; 88% Hit Rate; ~US$5bn One-Way

Quiddity Leaderboard CSI 300/500 Jun25: End of Reference Period Soon; ~US$6bn Total One-Way

Quiddity Leaderboard CSI 300/500 Jun25: US$6bn+ One-Way Flows; One Intra-Review Addition Soon