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

Shandong Himile Mechanical Science & Technology / Index Rebalance

Shandong Himile Mechanical Science & Technology

<ul>
<li>There could be 18 changes for the CSI A500 Index at the June rebalance. Turnover is estimated at 1.7% and the round-trip trade is around US$1bn.</li>
<li>The index was launched in September 2024, and the passive trackers have taken in a chunk of money since then. The flows to the stocks add to other index flows.</li>
<li>A long add/short deletes trade has been stable over the last few months. The forecast adds could outperform following announcement of the index changes on Friday.</li>
</ul>


There could be 18 changes for the CSI A500 Index at the June rebalance. Turnover is estimated at 1.7% and the round-trip trade is around US$1bn.
The index was launched in September 2024, and the passive trackers have taken in a chunk of money since then. The flows to the stocks add to other index flows.
A long add/short deletes trade has been stable over the last few months. The forecast adds could outperform following announcement of the index changes on Friday.


CSI A500 Index Rebalance Preview: Many Changes Expected; US$1bn Trade

Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Hainan Airport Infrastructure / Index Rebalance

<ul>
<li>After market close on Friday 24th November 2023, the December 2023 index review results for CSI 300/500 and SSE 50/180 were announced.</li>
<li>CSI 300 and CSI will have 14 and 50 changes while SSE 50 and SSE 180 will have 5 and 18 changes respectively. There are many overlapping flows.</li>
<li>In this insight, I have presented the details of the index changes and aggregated the expected flows attributable to the four indices mentioned above.</li>
</ul>


After market close on Friday 24th November 2023, the December 2023 index review results for CSI 300/500 and SSE 50/180 were announced.
CSI 300 and CSI will have 14 and 50 changes while SSE 50 and SSE 180 will have 5 and 18 changes respectively. There are many overlapping flows.
In this insight, I have presented the details of the index changes and aggregated the expected flows attributable to the four indices mentioned above.


Quiddity Aggregation of CSI300/500 and SSE50/180 Index Flows for Dec 2023: US$4.2bn One-Way!

Western Superconducting Techno / Index Rebalance

<ul>
<li>Over 85% of the way through the review period for the December rebalance of the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI500 Index</a>, we forecast 50 changes (the maximum permitted) at the close on 8 December.</li>
<li>There is a big sector skew in the potential changes. We estimate a one-way turnover of 9.4% at the December rebalance resulting in a one-way trade of CNY 7.22bn.</li>
<li>With the market being stabilised through the ETF route, the index constituents have outperformed the non-index constituents over the last 6-7 weeks. That could reverse over the near term.</li>
</ul>


Over 85% of the way through the review period for the December rebalance of the CSI500 Index, we forecast 50 changes (the maximum permitted) at the close on 8 December.
There is a big sector skew in the potential changes. We estimate a one-way turnover of 9.4% at the December rebalance resulting in a one-way trade of CNY 7.22bn.
With the market being stabilised through the ETF route, the index constituents have outperformed the non-index constituents over the last 6-7 weeks. That could reverse over the near term.


CSI500 Index Rebalance Preview: ETF Inflows Lead to Performance Skew

Event-Driven

Shanghai United Imaging Health / Event-Driven

<ul>
<li>CSI 300 represents the 300 largest stocks by market capitalization and liquidity from the entire universe of Shanghai and Shenzhen Stock Exchanges. CSI 500 represents the <em>next</em> largest 500 names.</li>
<li>In this insight, we take a look at the potential ADDs/DELs for the CSI 300 and CSI 500 rebalance in December 2023.</li>
<li>I currently expect 14 ADDs/DELs for CSI 300 and 50 ADDs/DELs for CSI 500. </li>
</ul>


CSI 300 represents the 300 largest stocks by market capitalization and liquidity from the entire universe of Shanghai and Shenzhen Stock Exchanges. CSI 500 represents the next largest 500 names.
In this insight, we take a look at the potential ADDs/DELs for the CSI 300 and CSI 500 rebalance in December 2023.
I currently expect 14 ADDs/DELs for CSI 300 and 50 ADDs/DELs for CSI 500. 


Quiddity Leaderboard CSI 300/​​500 Dec 23: US$2.5bn One-Way Turnover; Some Changes to Expectations

<ul>
<li>CSI 300 represents the 300 largest stocks by market capitalization and liquidity from the entire universe of Shanghai and Shenzhen Stock Exchanges. CSI 500 represents the <em>next</em> largest 500 names.</li>
<li>In this insight, we take a look at the potential ADDs/DELs for the CSI 300 and CSI 500 rebalance in December 2023.</li>
<li>I currently expect 13 ADDs/DELs for CSI 300 and 50 ADDs/DELs for CSI 500. </li>
</ul>


CSI 300 represents the 300 largest stocks by market capitalization and liquidity from the entire universe of Shanghai and Shenzhen Stock Exchanges. CSI 500 represents the next largest 500 names.
In this insight, we take a look at the potential ADDs/DELs for the CSI 300 and CSI 500 rebalance in December 2023.
I currently expect 13 ADDs/DELs for CSI 300 and 50 ADDs/DELs for CSI 500. 


Quiddity Leaderboard CSI 300/​500 Dec 23: Massive Baskets, US$2.5bn One-Way

China

Suzhou Gold Mantis Construction Decoration Co., Ltd. designs and constructs hotels, office buildings, hospitals, stadiums and other public buildings.

Suzhou Gold Mantis Construction Decoration (002081 CH)

Suzhou Gold Mantis Construction Decoration

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Suzhou Gold Mantis Construction Decoration (002081 CH)

CSI A500 Index Rebalance Preview: Many Changes Expected; US$1bn Trade

We identify 18 potential changes for the CSI A500 Index. The index was launched in Sep 24 and has taken in a lot of AUM very quickly. The flows to...

Brian Freitas

Quiddity Aggregation of CSI300/500 and SSE50/180 Index Flows for Dec 2023: US$4.2bn One-Way!

Large Mainland China index flows coming up. I expect the CSI300/500 and the SSE50/180 Inclusion and Exclusion events to take place at the close of...

Janaghan Jeyakumar, CFA

CSI500 Index Rebalance Preview: ETF Inflows Lead to Performance Skew

There should be 50 changes in Dec with a big sector skew. Turnover is ~10% and 31 stocks will have 1x ADV to trade. Huge ETF inflows have led to...

Brian Freitas

Quiddity Leaderboard CSI 300/500 Dec 23: US$2.5bn One-Way Turnover; Some Changes to Expectations

The 13 CSI 300 Expected ADDs and DELs could see US$824mn index buying and US$534mn index selling. The 50 CSI 500 Expected ADDs and DELs could see...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard CSI 300/500 Dec 23: Massive Baskets, US$2.5bn One-Way

Collectively, the CSI 300 and CSI 500 ADDs could see one-way flows of more than US$2.5bn. However, the flow patterns are complex and it is...

Janaghan Jeyakumar, CFA

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

CSI A500 Index Rebalance Preview: Many Changes Expected; US$1bn Trade

We identify 18 potential changes for the CSI A500 Index. The index was launched in Sep 24 and has taken in a lot of AUM very quickly. The flows to...

Brian Freitas

Quiddity Aggregation of CSI300/500 and SSE50/180 Index Flows for Dec 2023: US$4.2bn One-Way!

Large Mainland China index flows coming up. I expect the CSI300/500 and the SSE50/180 Inclusion and Exclusion events to take place at the close of...

Janaghan Jeyakumar, CFA

CSI500 Index Rebalance Preview: ETF Inflows Lead to Performance Skew

There should be 50 changes in Dec with a big sector skew. Turnover is ~10% and 31 stocks will have 1x ADV to trade. Huge ETF inflows have led to...

Brian Freitas

Quiddity Leaderboard CSI 300/​​500 Dec 23: US$2.5bn One-Way Turnover; Some Changes to Expectations

The 13 CSI 300 Expected ADDs and DELs could see US$824mn index buying and US$534mn index selling. The 50 CSI 500 Expected ADDs and DELs could see...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard CSI 300/​500 Dec 23: Massive Baskets, US$2.5bn One-Way

Collectively, the CSI 300 and CSI 500 ADDs could see one-way flows of more than US$2.5bn. However, the flow patterns are complex and it is...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard CSI 300/500 Dec 23: US$2.5bn One-Way Turnover; Some Changes to Expectations

Quiddity Leaderboard CSI 300/500 Dec 23: Massive Baskets, US$2.5bn One-Way