Pan-Asia Tactical Market Calls (Quant-Driven), MRM Research

Nico Rosti

Pan-Asia Tactical Market Calls (Quant-Driven)

MRM Research

Quantitative Research

Equity Derivatives

Shanghai Shenzhen CSI 300 Index / Equity Derivatives

<ul>
<li>On November 28th China Securities Index Co (CSI) announced the changes to the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index (SHSZ300 INDEX)</a>: 11 companies added and 11 deleted.</li>
<li>The complete list of additions and deletions is available <a href="https://www.csindex.com.cn/index.html#/about/newsDetail?id=3006001" target="_blank" rel="noopener">here</a> (or see the attachment at the end of this insight for your convenience).</li>
<li>We analyze our probabilistic models to forecast short-term market directions for the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a>, as passive flows between here and December 12 may affect the index volatility and trend.</li>
</ul>


On November 28th China Securities Index Co (CSI) announced the changes to the CSI 300 Index (SHSZ300 INDEX): 11 companies added and 11 deleted.
The complete list of additions and deletions is available here (or see the attachment at the end of this insight for your convenience).
We analyze our probabilistic models to forecast short-term market directions for the CSI 300 Index, as passive flows between here and December 12 may affect the index volatility and trend.


CSI 300 (SHSZ300) Tactical Outlook After Nov. 28 Rebalance Announcement

<ul>
<li>A tactical snapshot of the Asian indices and stocks we cover.</li>
<li>Many Asian stocks we track are flashing very oversold signals—creating tactical long setups worth considering.</li>
<li>We find no overbought stocks or indices in Asia at present. US equities are aligned with this view, this is a global market pullback, probably about to end.</li>
</ul>


A tactical snapshot of the Asian indices and stocks we cover.
Many Asian stocks we track are flashing very oversold signals—creating tactical long setups worth considering.
We find no overbought stocks or indices in Asia at present. US equities are aligned with this view, this is a global market pullback, probably about to end.


Asian Stocks Tactical Outlook (Week Nov 24 – Nov 28)

<ul>
<li>As <a href="https://www.smartkarma.com/profiles/brian-freitas" target="_blank" data-smartkarma-citation="accounts:4091" rel="noopener">Brian Freitas</a> recently outlined: the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index (SHSZ300)</a> will undergo its semi-annual review by the end of November 2025, there could be profit-taking as we near that date.</li>
<li>In <a href="https://www.smartkarma.com/insights/csi-300-shsz300-tactical-outlook-severe-downside-tail-risk" target="_blank" rel="noopener">our previous insight we flagged potential downside tail risk.</a> While the index hasn't fallen since our warning, this doesn't mean the risk has dissipated.</li>
<li>Our profit target model (the "go SHORT" model) is showing a rare pattern with very few rallies, severely limited upside (less than 1.5%) and an 80% reversal probability.Bearish.</li>
</ul>


As Brian Freitas recently outlined: the CSI 300 Index (SHSZ300) will undergo its semi-annual review by the end of November 2025, there could be profit-taking as we near that date.
In our previous insight we flagged potential downside tail risk. While the index hasn't fallen since our warning, this doesn't mean the risk has dissipated.
Our profit target model (the "go SHORT" model) is showing a rare pattern with very few rallies, severely limited upside (less than 1.5%) and an 80% reversal probability.Bearish.


CSI 300 (SHSZ300) Tactical Outlook Ahead of December Rebalance

<ul>
<li>The <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index (SHSZ300)</a> has began a small correction. Our model has identified the current trend pattern as bearish. The pullback could reach the 4.3k/4.1k support zone.</li>
<li>These corrections can last up to 4 weeks, but usually they resolve after 2-3 weeks (the index has already closed 1 week down, so there could be 1-2 more weeks).</li>
<li>According to our model, the key support area is 4300: if the index breaks that support, it can fall quickly to 4100 or 4000. Read detailed tactical analysis in the insight.</li>
</ul>


The CSI 300 Index (SHSZ300) has began a small correction. Our model has identified the current trend pattern as bearish. The pullback could reach the 4.3k/4.1k support zone.
These corrections can last up to 4 weeks, but usually they resolve after 2-3 weeks (the index has already closed 1 week down, so there could be 1-2 more weeks).
According to our model, the key support area is 4300: if the index breaks that support, it can fall quickly to 4100 or 4000. Read detailed tactical analysis in the insight.


CSI 300 (SHSZ300) Tactical Outlook: Severe Downside Tail Risk

Equity Derivatives and Volatility Specialist, Clifton Derivatives

John Ley

Equity Derivatives and Volatility Specialist

Clifton Derivatives

Independent derivative and volatility research firm focusing on events/catalysts, earnings, relative value and cross asset volatility strategies.

Quantitative Analysis

<ul>
<li>Buy the Dip is everywhere in market commentary and is widely used as shorthand for price action, often without a clear or consistent definition.</li>
<li>We examine possible definitions and return metrics from acting on those definitions across major markets.</li>
<li>Surprising and distinct trends emerge from the data and help explain the prevalence of Buy the Dip themed commentary.</li>
</ul>


Buy the Dip is everywhere in market commentary and is widely used as shorthand for price action, often without a clear or consistent definition.
We examine possible definitions and return metrics from acting on those definitions across major markets.
Surprising and distinct trends emerge from the data and help explain the prevalence of Buy the Dip themed commentary.


Buying the Dip: What It Means and How It Has Played Out Across Macro Markets

China

The CSI 300 Index is a free-float weighted index that consists of 300 A-share stocks listed on the Shanghai or Shenzhen Stock Exchanges. Index has a base level of 1000 on 12/31/2004. * Due to our agreement with CSI, shares in the index is restricted, please visit SSIS<go> for more information and access. This ticker holds prices fed from Shenzhen Stock Exchange.

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

CSI 300 (SHSZ300) Tactical Outlook After Nov. 28 Rebalance Announcement

CSI 300 Index rebalance announced on Nov28: 11 companies added, 11 deleted. We analyze our model to forecast probable short-term direction and...

Nico Rosti

Asian Stocks Tactical Outlook (Week Nov 24 – Nov 28)

Most Asian stocks are showing very oversold signals in our models, creating potential long setups. US equities are in line with this trend,...

Nico Rosti

CSI 300 (SHSZ300) Tactical Outlook Ahead of December Rebalance

There is potential for profit-taking action as the CSI 300 Index undergoes the Dec 2025 review. Our model shows limited upside for the current...

Nico Rosti

CSI 300 (SHSZ300) Tactical Outlook: Severe Downside Tail Risk

The CSI 300 Index is in a correction, our model says this trend pattern can be bearish with potential to crash quickly to 4.1k if the key support...

Nico Rosti

Buying the Dip: What It Means and How It Has Played Out Across Macro Markets

An examination of how Buy the Dip can be defined, how often it appears and what the data show when those definitions are applied across major macro...

John Ley

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

CSI 300 (SHSZ300) Tactical Outlook After Nov. 28 Rebalance Announcement

​CSI 300 Index rebalance announced on Nov28: 11 companies added, 11 deleted. We analyze our model to forecast probable short-term direction and...

Nico Rosti

Asian Stocks Tactical Outlook (Week Nov 24 – Nov 28)

​Most Asian stocks are showing very oversold signals in our models, creating potential long setups. US equities are in line with this trend,...

Nico Rosti

CSI 300 (SHSZ300) Tactical Outlook Ahead of December Rebalance

There is potential for profit-taking action as the CSI 300 Index undergoes the Dec 2025 review. Our model shows limited upside for the current...

Nico Rosti

CSI 300 (SHSZ300) Tactical Outlook: Severe Downside Tail Risk

The ​CSI 300 Index is in a correction, our model says this trend pattern can be bearish with potential to crash quickly to 4.1k if the key support...

Nico Rosti

Buying the Dip: What It Means and How It Has Played Out Across Macro Markets

An examination of how Buy the Dip can be defined, how often it appears and what the data show when those definitions are applied across major macro...

John Ley

CSI 300 Index rebalance announced on Nov28: 11 companies added, 11 deleted. We analyze our model to forecast probable short-term direction and...

Most Asian stocks are showing very oversold signals in our models, creating potential long setups. US equities are in line with this trend,...

The CSI 300 Index is in a correction, our model says this trend pattern can be bearish with potential to crash quickly to 4.1k if the key support...