Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

PICC Property & Casualty H / Index Rebalance

<ul>
<li>The HSCEI serves as a benchmark to reflect the overall performance of the top 50 "Mainland China" securities listed in Hong Kong.</li>
<li>The official index changes will be confirmed later this week on Friday 22nd November 2024.</li>
<li>In this insight, we take a look at our final index change expectations and updated flow estimates for the upcoming index rebal event.</li>
</ul>


The HSCEI serves as a benchmark to reflect the overall performance of the top 50 "Mainland China" securities listed in Hong Kong.
The official index changes will be confirmed later this week on Friday 22nd November 2024.
In this insight, we take a look at our final index change expectations and updated flow estimates for the upcoming index rebal event.


Quiddity Leaderboard HSCEI Dec 24: Time for a LONG-SHORT Trade

External broker reports(aggregated public sources), CMB International

CMB International

External broker reports(aggregated public sources)

Incorporated in Hong Kong, supported by the mainland and targeting in global market, CMB International Capital Corporation Limited (“CMBI”) is an integrated financial institution providing comprehensive and professional services. As a wholly-owned subsidiary of China Merchants Bank ("CMB"), by leveraging on the Group’s synergy and coordination in domestic and overseas markets, as well as CMB’s strong resources and outstanding social reputation, CMBI and its subsidiaries have been actively implementing diversified business strategies and set up an overall layout of main business segments including Corporate Finance, Asset Management, Wealth Management, Global Markets and Structured Finance, etc. Adhering to the philosophy of “being clients oriented and increasing our own values by the way of creating value for clients”, CMBI endeavors to provide quality and integrated financial services to institutional, corporate and individual customers both domestic and overseas including Hong Kong IPO sponsorship and underwriting, share placement and rights issue for listed companies, financial advisors, bonds issuance services, asset management, direct investment, wealth management, equity sales and trading, etc.

Equity Bottom-Up

PICC Property & Casualty H / Equity Bottom-Up

<ul><li>PICC P&amp;C released 3Q results. NPAT grew 38.0% YoY to RMB26.75bn in 9M24, close to the upper bound of its profit alert (up by 20%-40%).</li><li>3Q NPAT hit a record high of RMB8.26bn, driven by a surge of fair value gains at RMB7.4bn (vs 3Q23: -RMB4.6bn), thanks to the 3Q equity market rally.</li><li>The insurer’s CoR was 98.2%, up 0.3pct YoY due to increased catastrophic losses from the non-auto segment, whose CoR deteriorated 1.9pct YoY to 100.5% (CAS basis) in 9M24, translating into a worsened 3Q CoR of 105.3% (CAS basis), according to mgmt. </li></ul><p><em>Content is external broker report sourced from online content aggregator through publicly available sources and is displayed below for general informational purposes only. Refer full disclaimer below.</em></p>

PICC P&amp;C released 3Q results. NPAT grew 38.0% YoY to RMB26.75bn in 9M24, close to the upper bound of its profit alert (up by 20%-40%).3Q NPAT hit a record high of RMB8.26bn, driven by a surge of fair value gains at RMB7.4bn (vs 3Q23: -RMB4.6bn), thanks to the 3Q equity market rally.The insurer’s CoR was 98.2%, up 0.3pct YoY due to increased catastrophic losses from the non-auto segment, whose CoR deteriorated 1.9pct YoY to 100.5% (CAS basis) in 9M24, translating into a worsened 3Q CoR of 105.3% (CAS basis), according to mgmt. Content is external broker report sourced from online content aggregator through publicly available sources and is displayed below for general informational purposes only. Refer full disclaimer below.

PICC P&C (2328 HK) - 3Q CoR Miss Dragged by Non-Auto Claims

<ul>
<li>The HSCEI serves as a benchmark to reflect the overall performance of the top 50 "Mainland China" securities listed in Hong Kong.</li>
<li>In this insight, we take a look at the final rankings for the HSCEI potential ADDs and potential DELs for the index rebal event in December 2024.</li>
<li>We see two ADDs/DELs - the same names we had in our last insight. At present, we expect US$474mn capping flows one-way but this can change by early-December 2024.</li>
</ul>


The HSCEI serves as a benchmark to reflect the overall performance of the top 50 "Mainland China" securities listed in Hong Kong.
In this insight, we take a look at the final rankings for the HSCEI potential ADDs and potential DELs for the index rebal event in December 2024.
We see two ADDs/DELs - the same names we had in our last insight. At present, we expect US$474mn capping flows one-way but this can change by early-December 2024.


Quiddity Leaderboard HSCEI Dec 24: Two Changes Likely; US$474mn Capping Flows 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

<ul>
<li>
<a href="https://www.smartkarma.com/entities/picc-property-casualty-h" target="_blank" data-smartkarma-citation="entities:350:1" rel="noopener">PICC Property &amp; Casualty H (2328 HK)</a> inclusion and <a href="https://www.smartkarma.com/entities/longfor-properties" target="_blank" data-smartkarma-citation="entities:8149:1" rel="noopener">Longfor Properties (960 HK)</a> deletion are high probability changes for the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">Hang Seng China Enterprises Index (HSCEI INDEX)</a> in December.</li>
<li>There is a lower probability of <a href="https://www.smartkarma.com/entities/china-resources-power-holdings-co-ltd" target="_blank" data-smartkarma-citation="entities:5385:1" rel="noopener">China Resources Power (836 HK)</a> being added and of <a href="https://www.smartkarma.com/entities/sino-biopharmaceutical" target="_blank" data-smartkarma-citation="entities:230:1" rel="noopener">Sino Biopharmaceutical (1177 HK)</a> being deleted at the rebalance.</li>
<li>There has been big short covering in <a href="https://www.smartkarma.com/entities/picc-property-casualty-h" target="_blank" data-smartkarma-citation="entities:350:1" rel="noopener">PICC Property &amp; Casualty (2328 HK)</a> over the last couple of months while shorts would have covered <a href="https://www.smartkarma.com/entities/longfor-properties" target="_blank" data-smartkarma-citation="entities:8149:1" rel="noopener">Longfor Properties (960 HK)</a> recently.</li>
</ul>



PICC Property &amp; Casualty H (2328 HK) inclusion and Longfor Properties (960 HK) deletion are high probability changes for the Hang Seng China Enterprises Index (HSCEI INDEX) in December.
There is a lower probability of China Resources Power (836 HK) being added and of Sino Biopharmaceutical (1177 HK) being deleted at the rebalance.
There has been big short covering in PICC Property &amp; Casualty (2328 HK) over the last couple of months while shorts would have covered Longfor Properties (960 HK) recently.


HSCEI Index Rebalance Preview: High & Low Probability Changes

<ul>
<li>The HSCEI serves as a benchmark to reflect the overall performance of the top 50 "Mainland China" securities listed in Hong Kong.</li>
<li>In this insight, we take a look at the potential index changes and the resultant capping flows for HSCEI index rebal event in December 2024.</li>
<li>At present, we see two ADDs/DELs based on the latest available data but the rankings can change until 30th September 2024.</li>
</ul>


The HSCEI serves as a benchmark to reflect the overall performance of the top 50 "Mainland China" securities listed in Hong Kong.
In this insight, we take a look at the potential index changes and the resultant capping flows for HSCEI index rebal event in December 2024.
At present, we see two ADDs/DELs based on the latest available data but the rankings can change until 30th September 2024.


Quiddity Leaderboard HSCEI Dec 24: Two Changes Possible; US$265mn Capping Flows One-Way

China

PICC Property and Casualty Company Limited provides insurance services. The Company provides property loss insurances, liability insurances, credit insurances, accidental injury insurances, short term health insurances, guarantee insurances, and other insurance products. PICC Property and Casualty also operates investment businesses.

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PICC Property & Casualty H (2328 HK)

Quiddity Leaderboard HSCEI Dec 24: Time for a LONG-SHORT Trade

Our high conviction ADD PICC Property (2328 HK) could outperform our high conviction DEL Longfor (960 HK) over the next few weeks.

Janaghan Jeyakumar, CFA

PICC P&C (2328 HK) - 3Q CoR Miss Dragged by Non-Auto Claims

PICC P&C released 3Q results. NPAT grew 38.0% YoY to RMB26.75bn in 9M24, close to the upper bound of its profit alert (up by 20%-40%).

CMB International

Quiddity Leaderboard HSCEI Dec 24: Two Changes Likely; US$474mn Capping Flows One-Way

The one-way flow estimate for US$474mn translates to a turnover of roughly 4.2%. The final capping flows will be decided on 3rd December 2024.

Janaghan Jeyakumar, CFA

HSCEI Index Rebalance Preview: High & Low Probability Changes

There is one high probability change and one low probability change for the HSCEI in Dec. Estimated one-way turnover at the rebalance is 3.5%...

Brian Freitas

Quiddity Leaderboard HSCEI Dec 24: Two Changes Possible; US$265mn Capping Flows One-Way

PICC Property & Casualty H (2328 HK) and Innovent Biologics Inc (1801 HK) could replace Longfor Properties (960 HK) and Sino Biopharmaceutical...

Janaghan Jeyakumar, CFA

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