CEO, A. Stotz Investment Research

Dr. Andrew Stotz, CFA

Quantamental Investing to beat Benchmarks

A. Stotz Investment Research

We pick stocks. We construct portfolios. All our effort is focused on how to better pick stocks and construct portfolios. We serve fund management companies, family offices, and high net worth individuals.

Thematic (Sector/Industry)

<ul>
<li>We highlight 10 stocks in China that look interesting to us based on our FVMR methodology</li>
<li>Portfolio changes: Three stocks remain, seven new join the fray</li>
<li>Since inception, it has gained 160% versus the CSI 300 Index’s return of 97%</li>
</ul>


We highlight 10 stocks in China that look interesting to us based on our FVMR methodology
Portfolio changes: Three stocks remain, seven new join the fray
Since inception, it has gained 160% versus the CSI 300 Index’s return of 97%


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

Index Rebalance

<ul>
<li>With nearly 90% of the review period complete, 2 non-constituents are in inclusion zone and 3 constituents are in deletion zone.</li>
<li>We estimate one-way turnover of 4.7% at the June rebalance leading to a round-trip trade of CNY 16.4bn (US$2.27bn). Index arb balances will increase the impact on the stocks.</li>
<li>The forecast adds have outperformed the forecast deletes over the last 6 months but there has been a retracement in returns over the last month.</li>
</ul>


With nearly 90% of the review period complete, 2 non-constituents are in inclusion zone and 3 constituents are in deletion zone.
We estimate one-way turnover of 4.7% at the June rebalance leading to a round-trip trade of CNY 16.4bn (US$2.27bn). Index arb balances will increase the impact on the stocks.
The forecast adds have outperformed the forecast deletes over the last 6 months but there has been a retracement in returns over the last month.


SSE50 Index Rebalance Preview: Three Changes; Some Misses

Asian Hedge Fund Manager, Long Short Equity, Macro

David Mudd

<ul>
<li>Baidu announced that the company has seen a rapid uptake in its Robotaxi business on the mainland.</li>
<li>Baidu is at the forefront of the industry globally with its Fully Self Driving taxis available in more than 10 major cities in China.</li>
<li>Baidu's autonomous taxi unit, Apollo Go, has over 100 million kilometers of high-level autonomous safety driving mileage and holds over 5,000 autonomous driving patents.</li>
</ul>


Baidu announced that the company has seen a rapid uptake in its Robotaxi business on the mainland.
Baidu is at the forefront of the industry globally with its Fully Self Driving taxis available in more than 10 major cities in China.
Baidu's autonomous taxi unit, Apollo Go, has over 100 million kilometers of high-level autonomous safety driving mileage and holds over 5,000 autonomous driving patents.


CHINA: Fasten Your Seat Belts! BAIDU Accelerates in the Fast Growing Robotaxi Industry.

<ul>
<li>Nearly 90% through the review period, we see 6 potential adds and 5 potential deletes in June. However, there can be a maximum of 5 changes at a rebalance.</li>
<li>We estimate a one-way turnover of 5.07% at the June rebalance leading to a one-way trade of CNY 3.97bn. Index arb activity could add to the impact on the stocks.</li>
<li>The potential adds have outperformed the potential deletes by 17% over the last month and by 21% over the last two months.</li>
</ul>


Nearly 90% through the review period, we see 6 potential adds and 5 potential deletes in June. However, there can be a maximum of 5 changes at a rebalance.
We estimate a one-way turnover of 5.07% at the June rebalance leading to a one-way trade of CNY 3.97bn. Index arb activity could add to the impact on the stocks.
The potential adds have outperformed the potential deletes by 17% over the last month and by 21% over the last two months.


SSE50 Index Rebalance Preview: BIG Outperformance Over the Last Month

Dawning Information Industry C / Index Rebalance

<ul>
<li>There are 4 constituent changes for the <a href="https://www.smartkarma.com/entities/shanghai-stock-exchange-sse-50-a-share-index" target="_blank" data-smartkarma-citation="entities:31073:1" rel="noopener">SSE50 Index (SSE50 INDEX)</a> that will be implemented at the close on 12 December.</li>
<li>
<a href="https://www.smartkarma.com/entities/dawning-information-industry-c" target="_blank" data-smartkarma-citation="entities:25380:1" rel="noopener">Dawning Information Industry C (603019 CH)</a> is a surprise add given the upcoming merger with <a href="https://www.smartkarma.com/entities/hygon-information-technology-c" target="_blank" data-smartkarma-citation="entities:36366:1" rel="noopener">Hygon Information Technology C (688041 CH)</a>. </li>
<li>The <a href="https://www.smartkarma.com/entities/shanghai-stock-exchange-sse-50-a-share-index" target="_blank" data-smartkarma-citation="entities:31073:1" rel="noopener">SSE50 Index</a> adds have underperformed the deletes over the last couple of months and there could be outperformance from here as positioning builds ahead of the implementation of the changes.</li>
</ul>


There are 4 constituent changes for the SSE50 Index (SSE50 INDEX) that will be implemented at the close on 12 December.

Dawning Information Industry C (603019 CH) is a surprise add given the upcoming merger with Hygon Information Technology C (688041 CH). 
The SSE50 Index adds have underperformed the deletes over the last couple of months and there could be outperformance from here as positioning builds ahead of the implementation of the changes.


SSE50 Index Rebalance: 4 Changes a Side & US$2.2bn Trade

China

SAIC Motor Corporation Ltd., through joint ventures, manufactures and markets automobiles and related parts and accessories.

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SAIC Motor (600104 CH)

The Stocks to Own in China – Vol. 38

We highlight 10 stocks in China that look interesting to us based on our FVMR methodology. Portfolio changes: Three stocks remain, seven new join...

A. Stotz Investment Research

SSE50 Index Rebalance Preview: Three Changes; Some Misses

There could be 3 changes in June. Estimated one-way turnover is 4.7% leading to a round-trip trade of CNY 16.4bn. The adds have outperformed the...

Brian Freitas

CHINA: Fasten Your Seat Belts! BAIDU Accelerates in the Fast Growing Robotaxi Industry.

Baidu shares begin to re-rate as its new AI modil outperformed Google Gemini and Open AI's GPT-5. The new version of Ernie AI reasoning model also...

David Mudd

SSE50 Index Rebalance Preview: BIG Outperformance Over the Last Month

There could be 5 changes for the SSE50 in June. Estimate one-way turnover is 5.07% and the one-way trade is CNY 3.97bn. The potential adds have...

Brian Freitas

SSE50 Index Rebalance: 4 Changes a Side & US$2.2bn Trade

There are 4 changes for the SSE50 Index in Dec. Dawning is the surprise addition and could move closer to the merger ratio implied price. Estimated...

Brian Freitas

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