Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

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>Unlike the other popular Chinese indices (CSI, SSE, ChiNext, etc.) that rebalance semiannually, the STAR 50 index has a quarterly rebalance cycle and the next rebalance will be in September.</li>
<li>With the reference period for the September 2024 STAR 50 index rebal event coming to an end, we have presented our final expectations for ADDs and DELs in this insight.</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.
Unlike the other popular Chinese indices (CSI, SSE, ChiNext, etc.) that rebalance semiannually, the STAR 50 index has a quarterly rebalance cycle and the next rebalance will be in September.
With the reference period for the September 2024 STAR 50 index rebal event coming to an end, we have presented our final expectations for ADDs and DELs in this insight.


Quiddity Leaderboard STAR 50 Sep 24: Final Ranks; Some Question Marks over Ninebot Re-Inclusion

<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 September 2024 index rebal event.</li>
<li>We currently see two ADDs and two DELs for the STAR 50 index resulting in one-way flows of US$681mn.</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 September 2024 index rebal event.
We currently see two ADDs and two DELs for the STAR 50 index resulting in one-way flows of US$681mn.


Quiddity Leaderboard STAR 50 Sep 24: Two Changes; US$681mn One-Way; New 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 the September rebalance ends 31 July. We expect the changes to be announced 30 August with the implementation taking place after the close on 13 September.</li>
<li>We forecast 6 changes for the index, including migrations between the STAR100 Index and the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50 INDEX</a>. There is uncertainty for a few adds given profitability (or lack of it). </li>
<li>The outright potential adds have outperformed the outright potential deletes since the start of the calendar year with 12% outperformance in just the last 3 weeks.</li>
</ul>


The review period for the September rebalance ends 31 July. We expect the changes to be announced 30 August with the implementation taking place after the close on 13 September.
We forecast 6 changes for the index, including migrations between the STAR100 Index and the STAR50 INDEX. There is uncertainty for a few adds given profitability (or lack of it). 
The outright potential adds have outperformed the outright potential deletes since the start of the calendar year with 12% outperformance in just the last 3 weeks.


STAR100 Index Rebalance Preview: Potential Adds Diverge Further from Potential Deletes

Shandong Himile Mechanical Science & Technology / Index Rebalance

Shandong Himile Mechanical Science & Technology

<ul>
<li>There could be 18 changes for the CSI A500 Index at the June rebalance. Turnover is estimated at 1.7% and the round-trip trade is around US$1bn.</li>
<li>The index was launched in September 2024, and the passive trackers have taken in a chunk of money since then. The flows to the stocks add to other index flows.</li>
<li>A long add/short deletes trade has been stable over the last few months. The forecast adds could outperform following announcement of the index changes on Friday.</li>
</ul>


There could be 18 changes for the CSI A500 Index at the June rebalance. Turnover is estimated at 1.7% and the round-trip trade is around US$1bn.
The index was launched in September 2024, and the passive trackers have taken in a chunk of money since then. The flows to the stocks add to other index flows.
A long add/short deletes trade has been stable over the last few months. The forecast adds could outperform following announcement of the index changes on Friday.


CSI A500 Index Rebalance Preview: Many Changes Expected; US$1bn Trade

<ul>
<li>There are 2 constituent changes for the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50 INDEX</a> and 6 changes for the STAR100 Index at the September rebalance that will be implemented at the close on 13 September.</li>
<li>There are no surprises for the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">SSE STAR50 (STAR50 INDEX)</a> while there are 3 surprise adds for the STAR100 Index with the profitability criterion being ignored.</li>
<li>The adds to the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">SSE STAR50 (STAR50 INDEX)</a> have outperformed the deletes over the last month and positioning is larger in some stocks compared to others.</li>
</ul>


There are 2 constituent changes for the STAR50 INDEX and 6 changes for the STAR100 Index at the September rebalance that will be implemented at the close on 13 September.
There are no surprises for the SSE STAR50 (STAR50 INDEX) while there are 3 surprise adds for the STAR100 Index with the profitability criterion being ignored.
The adds to the SSE STAR50 (STAR50 INDEX) have outperformed the deletes over the last month and positioning is larger in some stocks compared to others.


STAR50/STAR100 Index Rebalance: Adds Rally, Deletes Drop as Positioning Builds Up

China

Pylon Technologies Co., Ltd. researches, develops, manufactures, and distributes energy storage systems. The Company provides cathode materials, lithium cells, battery management system and system integration, and more. Pylon Technologies markets its products across worldwide.

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Pylon Technologies (688063 CH)

Quiddity Leaderboard STAR 50 Sep 24: Final Ranks; Some Question Marks over Ninebot Re-Inclusion

The STAR 50 Sep 24 index review results are likely to be published after market close on Friday 30th August 2024. On average, the SHORTs have...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard STAR 50 Sep 24: Two Changes; US$681mn One-Way; New Trade Ideas

Today is the last day of the reference period for the STAR 50 September 2024 index rebal event. The expectations discussed in this insight are...

Janaghan Jeyakumar, CFA

STAR100 Index Rebalance Preview: Potential Adds Diverge Further from Potential Deletes

There could be 6 index changes in Sep. The list of adds will depend on the index committee using the profitability criterion (or not). The adds...

Brian Freitas

CSI A500 Index Rebalance Preview: Many Changes Expected; US$1bn Trade

We identify 18 potential changes for the CSI A500 Index. The index was launched in Sep 24 and has taken in a lot of AUM very quickly. The flows to...

Brian Freitas

STAR50/STAR100 Index Rebalance: Adds Rally, Deletes Drop as Positioning Builds Up

There are 2 changes for the STAR50 and 6 changes for the STAR100. Impact is pretty large on the STAR50 changes. There is positioning in all stocks...

Brian Freitas

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