Asia Pac ECM and Index Rebal, Shenton Research

Ke Yan, CFA, FRM

Asia Pac ECM and Index Rebal

Asia Pac IPO & Placement Research, China Biotech

DZT Research

DZT Research is an independent Asia Pacific equity specialist. Our quantitative research covers index rebalancing flows, alongside exchange data analytics accross Asia Pacific. On the equity capital markets side, we focus on Asia Pacific ECM, especially biotech and TMT. Our lead analyst is frequently cited by international media.

Quantitative Analysis

<ul>
<li>We analyze the 4Q2023 Shanghai/Shenzhen northbound Connect flows with our data engine as the exchange changed the rule to only disclose north bound position once a quarter.</li>
<li>We estimate that the outflows in 4Q2023 were US$20,921 million and holdings were US$302 billion.</li>
<li>We highlight flows for Moutai, Yangtze Power, Catl, Gree Electric Appliances, Sungrow Power Supply.</li>
</ul>


We analyze the 4Q2023 Shanghai/Shenzhen northbound Connect flows with our data engine as the exchange changed the rule to only disclose north bound position once a quarter.
We estimate that the outflows in 4Q2023 were US$20,921 million and holdings were US$302 billion.
We highlight flows for Moutai, Yangtze Power, Catl, Gree Electric Appliances, Sungrow Power Supply.


Northbound Flows (4Q2023): $20bn Outflows in 4Q

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

Sieyuan Electric Co Ltd A / Index Rebalance

<ul>
<li>There are 16 changes 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>, 50 changes for the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500 Index</a> and 100 changes for the CSI1000 Index that will be implemented on 13 December.</li>
<li>There are 257 unique names that are adds or deletes and the round-trip trade across all 3 indices is close to US$9bn.</li>
<li>Stocks with the largest inflows and impact have outperformed stocks with the largest outflows and impact over the last few weeks. That could continue for the next couple of weeks.</li>
</ul>


There are 16 changes for the CSI 300 Index, 50 changes for the CSI 500 Index and 100 changes for the CSI1000 Index that will be implemented on 13 December.
There are 257 unique names that are adds or deletes and the round-trip trade across all 3 indices is close to US$9bn.
Stocks with the largest inflows and impact have outperformed stocks with the largest outflows and impact over the last few weeks. That could continue for the next couple of weeks.


CSI300/CSI500/CSI1000 Index Rebalance: US$9bn Round-Trip Trade

<ul>
<li>There could be 17 changes at the December rebalance with the Industrials and Materials sectors could gaining 2 spots each and the Information Technology sector losing 3 spots.</li>
<li>Estimated one-way turnover of 3% at the December rebalance leading to a one-way trade of CNY 30.2bn (US$4.3bn). There are 14 stocks with over 2x ADV to trade.</li>
<li>The forecast adds have outperformed the forecast deletes over the last month despite rising markets and a wall of money flowing into <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> ETFs.</li>
</ul>


There could be 17 changes at the December rebalance with the Industrials and Materials sectors could gaining 2 spots each and the Information Technology sector losing 3 spots.
Estimated one-way turnover of 3% at the December rebalance leading to a one-way trade of CNY 30.2bn (US$4.3bn). There are 14 stocks with over 2x ADV to trade.
The forecast adds have outperformed the forecast deletes over the last month despite rising markets and a wall of money flowing into Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) ETFs.


CSI300 Index Rebalance Preview: Rising Markets and ETF Creations Take Round-Trip Trade to US$8.5bn

China Shipbuilding Industry Group Power / Index Rebalance

China Shipbuilding Industry Group Power (600482 CH)

<ul>
<li>There could be 17 changes at the December rebalance with the Industrials sector gaining 3 index spots and the Information Technology sector losing 3 spots.</li>
<li>We estimate one-way turnover of 2.9% at the rebalance leading to a one-way trade of CNY 21.96bn (US$3.1bn). There are 22 stocks with over 3x ADV to trade.</li>
<li>Impact on the stocks has increased as creations in ETFs linked to the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> continue. That flow will reverse from the deletions in the next few months.</li>
</ul>


There could be 17 changes at the December rebalance with the Industrials sector gaining 3 index spots and the Information Technology sector losing 3 spots.
We estimate one-way turnover of 2.9% at the rebalance leading to a one-way trade of CNY 21.96bn (US$3.1bn). There are 22 stocks with over 3x ADV to trade.
Impact on the stocks has increased as creations in ETFs linked to the CSI 300 Index continue. That flow will reverse from the deletions in the next few months.


CSI300 Index Rebalance Preview: Round-Trip Trade Tops US$6bn as ETF Creations Soar

<ul>
<li>There could be 18 changes at the December rebalance with the Industrials sector gaining 3 index spots and the Information Technology sector losing 5 spots.</li>
<li>We estimate one-way turnover of 3.3% at the rebalance leading to a one-way trade of CNY 22.07bn (US$3bn). There are a lot of stocks with multiple days ADV to trade.</li>
<li>The potential adds have outperformed the potential deletes. There were ETF inflows last week amid a short selling crackdown as the Third Plenum kicks off.</li>
</ul>


There could be 18 changes at the December rebalance with the Industrials sector gaining 3 index spots and the Information Technology sector losing 5 spots.
We estimate one-way turnover of 3.3% at the rebalance leading to a one-way trade of CNY 22.07bn (US$3bn). There are a lot of stocks with multiple days ADV to trade.
The potential adds have outperformed the potential deletes. There were ETF inflows last week amid a short selling crackdown as the Third Plenum kicks off.


CSI300 Index Rebalance Preview: 18 Changes in Dec; Third Plenum; ETF Inflows; Short Sell Crackdown

China

Sieyuan Electric Company Limited manufactures and markets power supply and converting equipment as well as high voltage electrical apparatus and high voltage monitoring instruments.  The Company's  main products include arc suppression coils, variable frequency power sources, lightning arrester on-line monitoring instruments, and anti-disturbance test instruments.

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Sieyuan Electric Co Ltd A (002028 CH)

Northbound Flows (4Q2023): $20bn Outflows in 4Q

We analyzed Northbound connect data for 4Q2023 and highlight flows for Moutai, Yangtze Power, Catl, Gree Electric Appliances, Sungrow Power Supply.

Ke Yan, CFA, FRM

CSI300/CSI500/CSI1000 Index Rebalance: US$9bn Round-Trip Trade

The CSI indices (and a bunch of others) rebalance at the close today - it's going to be a big volume day in China. The CSI300 adds have...

Brian Freitas

CSI300 Index Rebalance Preview: Rising Markets and ETF Creations Take Round-Trip Trade to US$8.5bn

There could be 17 changes in Dec. Estimated 1-way turnover is 3%; 1-way trade is US$4.3bn. There are 14 stocks with over 2x ADV to trade. The adds...

Brian Freitas

CSI300 Index Rebalance Preview: Round-Trip Trade Tops US$6bn as ETF Creations Soar

There could be 17 changes in Dec resulting in a round-trip trade of over US$6bn. 22 stocks have over 3x ADV to trade. The potential adds have...

Brian Freitas

CSI300 Index Rebalance Preview: 18 Changes in Dec; Third Plenum; ETF Inflows; Short Sell Crackdown

There could be 18 changes in December. The adds have outperformed the deletes but near-term performance has been meh. There were ETF inflows last...

Brian Freitas

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