Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

Suzhou Novosense Microelectron / Index Rebalance

<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 this insight, we take a look at our expectations for potential ADDs and DELs for the STAR 50 index during the March 2024 index rebal event.</li>
<li>I currently expect three changes for the STAR 50 index in March 2024.</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 this insight, we take a look at our expectations for potential ADDs and DELs for the STAR 50 index during the March 2024 index rebal event.
I currently expect three changes for the STAR 50 index in March 2024.


Quiddity Leaderboard STAR 50 Mar 24: Three Changes; ~US$1bn One-Way; Some Trade Ideas

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>The review period for a global index and a bunch of local indices ended last week. The announcement of the changes will be made in 1 week to 4 weeks.</li>
<li>
<a href="https://www.smartkarma.com/entities/strike-energy-ltd" target="_blank" data-smartkarma-citation="entities:12473:1" rel="noopener">Strike Energy (STX AU)</a> will replace <a href="https://www.smartkarma.com/entities/costa-group-holdings-ltd" target="_blank" data-smartkarma-citation="entities:22632:1" rel="noopener">Costa Group Holdings (CGC AU)</a> in the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> at the close on 8 February.</li>
<li>The inflows to mainland China ETFs continue for another week. There were big inflows to <a href="https://www.smartkarma.com/entities/ishares-msci-india-etf" target="_blank" data-smartkarma-citation="entities:282:1" rel="noopener">iShares India ETF (INDA US)</a> and <a href="https://www.smartkarma.com/entities/ishares-msci-india-small-cap" target="_blank" data-smartkarma-citation="entities:32064:1" rel="noopener">Ishares India Small-Cap (SMIN US)</a>. </li>
</ul>


The review period for a global index and a bunch of local indices ended last week. The announcement of the changes will be made in 1 week to 4 weeks.

Strike Energy (STX AU) will replace Costa Group Holdings (CGC AU) in the S&amp;P/ASX 200 (AS51 INDEX) at the close on 8 February.
The inflows to mainland China ETFs continue for another week. There were big inflows to iShares India ETF (INDA US) and Ishares India Small-Cap (SMIN US). 


Index Rebalance & ETF Flow Recap: N225, ASX, STAR50, NIFTY50, KRX New Deal, UOL SP, Korea Passive

<ul>
<li>The review period for the March rebalance ended 31 January. We expect the changes to be announced 23 February with the implementation taking place after the close on 8 March.</li>
<li>We expect the index committee to continue using a 6-month minimum listing history resulting in three changes to the index.</li>
<li>The potential inclusions have dropped but there has been significant outperformance versus the potential deletions. That could continue as positioning continues for the high expected impact on the stocks.</li>
</ul>


The review period for the March rebalance ended 31 January. We expect the changes to be announced 23 February with the implementation taking place after the close on 8 March.
We expect the index committee to continue using a 6-month minimum listing history resulting in three changes to the index.
The potential inclusions have dropped but there has been significant outperformance versus the potential deletions. That could continue as positioning continues for the high expected impact on the stocks.


STAR50 Index Rebalance Preview: Sustaining Outperformance on Expected Impact

<ul>
<li>The adhoc <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index</a> rebalance and the regular Nifty200 Momentum30 Index rebalance will be implemented on Thursday and the <a href="https://www.smartkarma.com/entities/stock-exchange-of-thailand-set-50-index" target="_blank" data-smartkarma-citation="entities:31493:1" rel="noopener">SET 50 Index</a> rebalance will be implemented on Friday.</li>
<li>The review cutoff period for a whole bunch of indices ends on 29 December and the announcement of the results and implementation will take place early next year.</li>
<li>There were big inflows to China ETFs and to Emerging Market ETFs including <a href="https://www.smartkarma.com/entities/ishares-core-msci-emerging-mar" target="_blank" data-smartkarma-citation="entities:32967:1" rel="noopener">iShares Core Emerging Mar (IEMG US)</a>, <a href="https://www.smartkarma.com/entities/vanguard-ftse-emerging-markets-etf" target="_blank" data-smartkarma-citation="entities:778:1" rel="noopener">Vanguard Emerging Markets (VWO US)</a> and <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets-223f5da3-7054-4e4f-bc55-b7f0852c2581" target="_blank" data-smartkarma-citation="entities:31998:1" rel="noopener">iShares Emerging Markets (EMXC US)</a>. </li>
</ul>


The adhoc KOSDAQ 150 Index rebalance and the regular Nifty200 Momentum30 Index rebalance will be implemented on Thursday and the SET 50 Index rebalance will be implemented on Friday.
The review cutoff period for a whole bunch of indices ends on 29 December and the announcement of the results and implementation will take place early next year.
There were big inflows to China ETFs and to Emerging Market ETFs including iShares Core Emerging Mar (IEMG US), Vanguard Emerging Markets (VWO US) and iShares Emerging Markets (EMXC US). 


Index Rebalance & ETF Flow Recap: STAR50, SET50, AMFI, KOSDAQ150

<ul>
<li>The review period for the March rebalance ends 31 January. We expect the changes to be announced 23 February with the implementation taking place after the close on 8 March.</li>
<li>We expect the index committee to continue using a 6-month minimum listing history resulting in four changes to the index.</li>
<li>One way turnover is estimated at 3.3% resulting in a one-way trade of CNY 4,717m. The impact on the deletions will be much larger than that on the inclusions.</li>
</ul>


The review period for the March rebalance ends 31 January. We expect the changes to be announced 23 February with the implementation taking place after the close on 8 March.
We expect the index committee to continue using a 6-month minimum listing history resulting in four changes to the index.
One way turnover is estimated at 3.3% resulting in a one-way trade of CNY 4,717m. The impact on the deletions will be much larger than that on the inclusions.


STAR50 Index Rebalance Preview: Four High Impact Changes in March

China

Nexchip Semiconductor Corporation operates integrated circuit production business. The Company manufactures 12 inch wafers and other products. Nexchip Semiconductor markets its products throughout China.

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Nexchip Semiconductor (688249 CH)

Quiddity Leaderboard STAR 50 Mar 24: Three Changes; ~US$1bn One-Way; Some Trade Ideas

The three STAR 50 expected ADDs have so far outperformed the three expected DELs by ~12% since 15th January 2024 (ADDs: -10.4%; DELs: -22.4%). The...

Janaghan Jeyakumar, CFA

Index Rebalance & ETF Flow Recap: N225, ASX, STAR50, NIFTY50, KRX New Deal, UOL SP, Korea Passive

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

STAR50 Index Rebalance Preview: Sustaining Outperformance on Expected Impact

There could be 3 changes for the STAR50 Index in March. One-way turnover is estimated at 2.4% leading to a one-way trade of CNY 2.9bn. The...

Brian Freitas

Index Rebalance & ETF Flow Recap: STAR50, SET50, AMFI, KOSDAQ150

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

STAR50 Index Rebalance Preview: Four High Impact Changes in March

There could be 4 changes for the STAR50 Index in March. Passive trackers will need to trade between 1.2-9.7x ADV on the adds/dels. There will be...

Brian Freitas

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