Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Index Rebalance

<ul>
<li>Nearly midway through the review period for the June rebalance of the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a>, we see 29 potential changes to the index.</li>
<li>There are a lot of high and medium probability changes that could result in a one-way turnover of 4.2% and a one-way trade of CNY 10.17bn at the June rebalance.</li>
<li>The potential inclusions have underperformed the potential deletions by c.15% over the last month and this provides a good entry point into a long short/trade.</li>
</ul>


Nearly midway through the review period for the June rebalance of the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX), we see 29 potential changes to the index.
There are a lot of high and medium probability changes that could result in a one-way turnover of 4.2% and a one-way trade of CNY 10.17bn at the June rebalance.
The potential inclusions have underperformed the potential deletions by c.15% over the last month and this provides a good entry point into a long short/trade.


CSI300 Index Rebalance Preview (June 2022): Changes Near the Midway Mark

Forensic Analyst

Jason Yap, CFA

Forensic Accounting

Sangfor Technologies  / Forensic Accounting

<ul>
<li>Sangfor is a leading cybersecurity products and solutions provider in China</li>
<li>Over the past 5 years, Sangfor delivered revenue CAGR of 32.9% and GP margins stable at 73.9%. The high GP margins are testament to Sangfor's strong product differentiation</li>
<li>CAS No. 14 affects Sangfor's security product revenues but this could be mitigated by fast growing cloud computing and wireless infrastructure services </li>
</ul>


Sangfor is a leading cybersecurity products and solutions provider in China
Over the past 5 years, Sangfor delivered revenue CAGR of 32.9% and GP margins stable at 73.9%. The high GP margins are testament to Sangfor's strong product differentiation
CAS No. 14 affects Sangfor's security product revenues but this could be mitigated by fast growing cloud computing and wireless infrastructure services 


Sangfor Technologies (300454 CH) - Revenue Growth and Margin Profile Should Support Valuation

Contemporary Amperex Technology (CATL) / Index Rebalance

Contemporary Amperex Technology (CATL) (300750 CH)

<div><p>The <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a> consists of stocks from the Shanghai Stock Exchange and the Shenzhen Stock Exchange and is one of the most widely tracked A-share indices with passive tracking products listed in multiple markets globally. There are CFFEX listed futures that are actively traded as well.</p></div><div>
<p>China Securities Index Co (CSI) will most likely announce the changes for the December rebalance after market close on 26 November and the changes will be effective after the close of trading on 10 December.</p>
<p>The review period ended on 29 October and we see 26 potential changes at the December rebalance. Of these, 23 are high probability changes with another 3 likely to take place.</p>
<p>Since our last Insight a month ago, the potential inclusions have outperformed the potential deletion by 13% with the inclusions rising on average and the deletions dropping on average. The <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a> was flat over the period. We recommend trimming positions and waiting for an opportunity to re-enter the trade at lower levels in the next couple of weeks.</p>
</div>

The Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) consists of stocks from the Shanghai Stock Exchange and the Shenzhen Stock Exchange and is one of the most widely tracked A-share indices with passive tracking products listed in multiple markets globally. There are CFFEX listed futures that are actively traded as well.
China Securities Index Co (CSI) will most likely announce the changes for the December rebalance after market close on 26 November and the changes will be effective after the close of trading on 10 December.
The review period ended on 29 October and we see 26 potential changes at the December rebalance. Of these, 23 are high probability changes with another 3 likely to take place.
Since our last Insight a month ago, the potential inclusions have outperformed the potential deletion by 13% with the inclusions rising on average and the deletions dropping on average. The Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) was flat over the period. We recommend trimming positions and waiting for an opportunity to re-enter the trade at lower levels in the next couple of weeks.


CSI300 Index Rebalance Preview (Dec 2021): It Was A Good Entry Point

<div><p>The <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a> consists of stocks from the Shanghai Stock Exchange and the Shenzhen Stock Exchange and is one of the most widely tracked A-share indices with passive tracking products listed in multiple markets globally. There are CFFEX listed futures that trade actively as well.</p></div><div>
<p>China Securities Index Co (CSI) will most likely announce the changes for the December rebalance after market close on 26 November and the changes will be effective after the close of trading on 10 December.</p>
<p>With over 90% of the review period complete, we see 26 potential changes at the upcoming December 2021 review. Estimated one-way turnover at the rebalance is 9.30% and will result in a one-way trade of slightly less than US$3bn.</p>
<p>The potential inclusions have outperformed the potential exclusions over the last 3 months but have given up a large part of the gains over the last couple of weeks. Given the trading history of past rebalances, we recommend buying the potential inclusions and selling the potential exclusions over the next couple of weeks and unwinding the positions post the end of the review period. There will then be more trading opportunities as we near the announcement date and implementation date.</p>
</div>

The Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) consists of stocks from the Shanghai Stock Exchange and the Shenzhen Stock Exchange and is one of the most widely tracked A-share indices with passive tracking products listed in multiple markets globally. There are CFFEX listed futures that trade actively as well.
China Securities Index Co (CSI) will most likely announce the changes for the December rebalance after market close on 26 November and the changes will be effective after the close of trading on 10 December.
With over 90% of the review period complete, we see 26 potential changes at the upcoming December 2021 review. Estimated one-way turnover at the rebalance is 9.30% and will result in a one-way trade of slightly less than US$3bn.
The potential inclusions have outperformed the potential exclusions over the last 3 months but have given up a large part of the gains over the last couple of weeks. Given the trading history of past rebalances, we recommend buying the potential inclusions and selling the potential exclusions over the next couple of weeks and unwinding the positions post the end of the review period. There will then be more trading opportunities as we near the announcement date and implementation date.


CSI300 Index Rebalance Preview (Dec 2021): Pullback Provides Entry Point

<div><p>The <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a> consists of stocks from the Shanghai Stock Exchange and the Shenzhen Stock Exchange and is one of the most widely tracked A-share indices with passive tracking products listed in multiple markets globally. There are CFFEX listed futures that trade actively as well.</p></div><div>
<p>China Securities Index Co (CSI) will announce the changes for the December rebalance at the end of  November or beginning December and the changes will be effective after the close of trading on 10 December.</p>
<p>Half way through the review period that runs from May to October, we see 26 changes at the upcoming December 2021 review. Estimated one-way turnover at the rebalance is 9.24% and will result in a one-way trade of just shy of US$3bn.</p>
<p>The Information Technology and Materials sectors gain 4 spots each in the index while Financials are the biggest losers with 7 spots gone.</p>
<p>The potential inclusions have outperformed the potential exclusions and the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a> by a wide margin on a year to date basis. We recommend building up positions gradually and scaling in on a correction.</p>
</div>

The Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) consists of stocks from the Shanghai Stock Exchange and the Shenzhen Stock Exchange and is one of the most widely tracked A-share indices with passive tracking products listed in multiple markets globally. There are CFFEX listed futures that trade actively as well.
China Securities Index Co (CSI) will announce the changes for the December rebalance at the end of  November or beginning December and the changes will be effective after the close of trading on 10 December.
Half way through the review period that runs from May to October, we see 26 changes at the upcoming December 2021 review. Estimated one-way turnover at the rebalance is 9.24% and will result in a one-way trade of just shy of US$3bn.
The Information Technology and Materials sectors gain 4 spots each in the index while Financials are the biggest losers with 7 spots gone.
The potential inclusions have outperformed the potential exclusions and the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) by a wide margin on a year to date basis. We recommend building up positions gradually and scaling in on a correction.


CSI300 Index Rebalance Preview: Large Turnover as Potential Inclusions Keep Rallying

China

Sangfor Technologies Inc. operates as a global vendor for IT infrastructure solutions. The Company specializes in cloud computing, network security, including hyper converged infrastructure, virtual desktop infrastructure, application firewall, and more. Sangfor Technologies also offers internet access management, WAN optimization, VPN, and other services.

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Sangfor Technologies (300454 CH)

CSI300 Index Rebalance Preview (June 2022): Changes Near the Midway Mark

Nearly midway through the review period for the June rebalance of the CSI300 index, we see 29 potential changes resulting in a one-way turnover of...

Brian Freitas