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>SSE 50 and SSE180, respectively, aim to represent the performance of the 50 and 180 largest and most liquid A-share stocks listed on Shanghai Stock Exchange. </li>
<li>SSE 380 consists of 380 mid-cap stocks which are selected from the remaining Shanghai listed A-shares after the constituents of SSE 180 Index. </li>
<li>In this insight, we take a brief look at the index selection methodology and the historical price and volume performance of the SSE 50/180/380 index rebalance baskets.</li>
</ul>


SSE 50 and SSE180, respectively, aim to represent the performance of the 50 and 180 largest and most liquid A-share stocks listed on Shanghai Stock Exchange. 
SSE 380 consists of 380 mid-cap stocks which are selected from the remaining Shanghai listed A-shares after the constituents of SSE 180 Index. 
In this insight, we take a brief look at the index selection methodology and the historical price and volume performance of the SSE 50/180/380 index rebalance baskets.


Quiddity Primer for SSE 50/180/380 Index Rebalance Events

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 bunch of indices ended early last week and the announcement of the changes will be made in the next few weeks.</li>
<li>
<a href="https://www.smartkarma.com/entities/hydro-lithium-inc" target="_blank" data-smartkarma-citation="entities:8293:1" rel="noopener">Hydro Lithium (101670 KS)</a> will replace <a href="https://www.smartkarma.com/entities/nice-information-service-co" target="_blank" data-smartkarma-citation="entities:20236:1" rel="noopener">Nice Information Service Co (030190 KS)</a> in the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index (KOSDQ150 INDEX EQUITY)</a> at the close on Monday.</li>
<li>There have been big net inflows into China focused ETFs and outflows from Taiwan focused ETFs during the week.</li>
</ul>


The review period for a bunch of indices ended early last week and the announcement of the changes will be made in the next few weeks.

Hydro Lithium (101670 KS) will replace Nice Information Service Co (030190 KS) in the KOSDAQ 150 Index (KOSDQ150 INDEX EQUITY) at the close on Monday.
There have been big net inflows into China focused ETFs and outflows from Taiwan focused ETFs during the week.


Index Rebalance & ETF Flow Recap: NKY, STAR50, NIFTY NEXT50, SF Holding

Event-Driven

<ul>
<li>As of 1 August, there could be two changes for the <a href="https://www.smartkarma.com/entities/ishares-ftse-a50-china-index-etf" target="_blank" data-smartkarma-citation="entities:249:1" rel="noopener">iShares A50 China (2823 HK)</a>/ <a href="https://www.smartkarma.com/entities/csop-ftse-china-a50-etf-26e3b671-fa47-4165-a12e-bf841640c5a3" target="_blank" data-smartkarma-citation="entities:23664:1" rel="noopener">CSOP A50 (2822 HK)</a> in September.</li>
<li>There should be over 1x ADV to buy on <a href="https://www.smartkarma.com/entities/nari-technology-co-ltd-a" target="_blank" data-smartkarma-citation="entities:4364:1" rel="noopener">NARI Technology Co Ltd A (600406 CH)</a> and over 1x ADV to sell on <a href="https://www.smartkarma.com/entities/shaanxi-coal-industry-co-ltd" target="_blank" data-smartkarma-citation="entities:11254:1" rel="noopener">Shaanxi Coal Industry (601225 CH)</a>. </li>
<li>There are a few stocks bunched around similar market caps among the potential adds and there could be changes to the list over the next few weeks.</li>
</ul>


As of 1 August, there could be two changes for the iShares A50 China (2823 HK)/ CSOP A50 (2822 HK) in September.
There should be over 1x ADV to buy on NARI Technology Co Ltd A (600406 CH) and over 1x ADV to sell on Shaanxi Coal Industry (601225 CH). 
There are a few stocks bunched around similar market caps among the potential adds and there could be changes to the list over the next few weeks.


Offshore China ETFs Rebalance Preview: Two Changes in September

Asia Pac IPO & Placement Research, China biotech, Aequitas Research

Ke Yan, CFA, FRM

Asia Pac IPO & Placement Research, China biotech

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Quantitative Analysis

<ul>
<li>We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of May 25th.</li>
<li>We estimate the weekly outflows to be US$2,561.1 million, led by materials, financials, and offset by communication services, utilities, energy.</li>
<li>We highlight flows for CATL, Luxshare Precision Industry, Longi Green, China Merchants Bank, Wuliangye Yibin, Ping An Insurance, Ping An Bank, East Money Information.</li>
</ul>


We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of May 25th.
We estimate the weekly outflows to be US$2,561.1 million, led by materials, financials, and offset by communication services, utilities, energy.
We highlight flows for CATL, Luxshare Precision Industry, Longi Green, China Merchants Bank, Wuliangye Yibin, Ping An Insurance, Ping An Bank, East Money Information.


Northbound Flows (May 25th): CATL, Luxshare Precision, Longi Green, CMB, Wuliangye, East Money

APAC IPOs & Placements, Aequitas Research

Ethan Aw

APAC IPOs & Placements

Equity Capital Markets

Horizon Construction Development / Equity Capital Markets

<ul>
<li>
<a href="https://www.smartkarma.com/entities/horizon-construction-development" target="_blank" data-smartkarma-citation="entities:35117:1" rel="noopener">Horizon Construction Development (1887128D HK)</a> raised around US$210m in its Hong Kong IPO.</li>
<li>HCD is an equipment operation service provider in China. It provides services covering the full cycle of projects.</li>
<li>In this note, we will talk about the trading dynamics and valuation.</li>
</ul>



Horizon Construction Development (1887128D HK) raised around US$210m in its Hong Kong IPO.
HCD is an equipment operation service provider in China. It provides services covering the full cycle of projects.
In this note, we will talk about the trading dynamics and valuation.


Horizon Construction Dev IPO Trading - Subscription Rates Still Weak, Despite Cornerstone Support

China

Shaanxi Coal Industry Company Limited produces, sells and transports coal. The Company offers coal used by the power, chemical, and metallurgical industries.

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Shaanxi Coal Industry (601225 CH)

Quiddity Primer for SSE 50/180/380 Index Rebalance Events

Names moving directly in and out of SSE 50 and SSE 180 are likely to be the most interesting cases for trading opportunities. SSE 380 index changes...

Janaghan Jeyakumar, CFA

Index Rebalance & ETF Flow Recap: NKY, STAR50, NIFTY NEXT50, SF Holding

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

Brian Freitas

Offshore China ETFs Rebalance Preview: Two Changes in September

There could be two sets of the changes for the 2823/2822 ETFs in September. A couple of stocks will have over 1x ADV to trade. There are few close...

Brian Freitas

Northbound Flows (May 25th): CATL, Luxshare Precision, Longi Green, CMB, Wuliangye, East Money

We analyzed northbound Shanghai/Shenzhen connect flows in the past week and highlight flows for CATL, Luxshare Precision, Longi Green, China...

Ke Yan, CFA, FRM

Horizon Construction Dev IPO Trading - Subscription Rates Still Weak, Despite Cornerstone Support

Horizon Construction Development (1887128D HK) raised around US$210m in its Hong Kong IPO. In this note, we will talk about the trading dynamics...

Ethan Aw

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