Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

Luoyang Xinqianglian Slewing B / Index Rebalance

Luoyang Xinqianglian Slewing B (300850 CH)

<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>During the periodic index rebalance events, a large number of stocks move into or out of these indices giving rise to significant flow events and attractive trading opportunities.</li>
<li>In this insight, we take a brief look at the index selection methodology and the historical price and volume performance of the CSI 300/500 index rebalance baskets.</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.
During the periodic index rebalance events, a large number of stocks move into or out of these indices giving rise to significant flow events and attractive trading opportunities.
In this insight, we take a brief look at the index selection methodology and the historical price and volume performance of the CSI 300/500 index rebalance baskets.


Quiddity Primer for CSI 300/500 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>Busy week in India with the adhoc changes to the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY</a>, <a href="https://www.smartkarma.com/entities/nse-nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">NSE Nifty Next 50</a>, <a href="https://www.smartkarma.com/entities/s-p-bse-sensex-index" target="_blank" data-smartkarma-citation="entities:31494:1" rel="noopener">S&amp;P BSE SENSEX</a> and <a href="https://www.smartkarma.com/entities/nse-nifty-bank-index" target="_blank" data-smartkarma-citation="entities:26811:1" rel="noopener">Nifty Bank</a> due to the <a href="https://www.smartkarma.com/entities/housing-development-finance" target="_blank" data-smartkarma-citation="entities:252:1" rel="noopener">HDFC Limited</a> and <a href="https://www.smartkarma.com/entities/hdfc-bank-ltd-4b6b7a92-9087-468d-9dbe-ab169e77f014" target="_blank" data-smartkarma-citation="entities:558:1" rel="noopener">HDFC Bank</a> merger.</li>
<li>The IDX could announce the changes to the IDX30, LQ45 and IDX80 indices in the coming week, though there is no firm schedule for announcements.</li>
<li>Yet another week of inflows to the <a href="https://www.smartkarma.com/entities/tracker-fund-of-hong-kong-ltd" target="_blank" data-smartkarma-citation="entities:29257:1" rel="noopener">Tracker Fund of Hong Kong Ltd (2800 HK)</a> ETF and outflows from the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index-etf" target="_blank" data-smartkarma-citation="entities:25:1" rel="noopener">Hang Seng H Share Index ETF (2828 HK)</a>. </li>
</ul>


Busy week in India with the adhoc changes to the NIFTY, NSE Nifty Next 50, S&amp;P BSE SENSEX and Nifty Bank due to the HDFC Limited and HDFC Bank merger.
The IDX could announce the changes to the IDX30, LQ45 and IDX80 indices in the coming week, though there is no firm schedule for announcements.
Yet another week of inflows to the Tracker Fund of Hong Kong Ltd (2800 HK) ETF and outflows from the Hang Seng H Share Index ETF (2828 HK). 


Index Rebalance & ETF Flow Recap: ASX, Chinext, URA, Korea Stocks, NKY

<ul>
<li>One third of the way through the review period, we forecast 10 changes for the <a href="https://www.smartkarma.com/entities/chinext-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">ChiNext Index (SZ399006 INDEX EQUITY)</a> and 5 changes for the ChiNext 50 Index in December.</li>
<li>Passive trackers are estimated to trade around +/-0.5 days ADV on most of the potential adds/deletes, though there are some deletes that will have over 1 day ADV to sell.</li>
<li>The potential inclusion to one or both indices have outperformed the potential deletes by a huge margin in the 5 months. We'd wait for a pullback to re-enter positions.</li>
</ul>


One third of the way through the review period, we forecast 10 changes for the ChiNext Index (SZ399006 INDEX EQUITY) and 5 changes for the ChiNext 50 Index in December.
Passive trackers are estimated to trade around +/-0.5 days ADV on most of the potential adds/deletes, though there are some deletes that will have over 1 day ADV to sell.
The potential inclusion to one or both indices have outperformed the potential deletes by a huge margin in the 5 months. We'd wait for a pullback to re-enter positions.


ChiNext/​​​ChiNext50 Index Rebalance Preview: Potential Changes & Basket Performance

<ul>
<li>Two thirds of the way through the review period for the June rebalance of the CSI500 Index, 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 10.1% at the December rebalance resulting in a one-way trade of CNY 6.75bn.</li>
<li>The potential adds have outperformed the potential deletes and the CSI500 Index over the last six weeks. There could be more outperformance till nearer the end of the review period.</li>
</ul>


Two thirds of the way through the review period for the June 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 10.1% at the December rebalance resulting in a one-way trade of CNY 6.75bn.
The potential adds have outperformed the potential deletes and the CSI500 Index over the last six weeks. There could be more outperformance till nearer the end of the review period.


CSI500 Index Rebalance Preview: Potential Adds Outperforming Potential Deletes

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 monthly Shanghai/Shenzhen northbound Connect flows with our data engine.</li>
<li>We estimate that the total inflows were USD 1.5bn last Month. Industrials, Information Technology, Consumer Staples led the inflows.</li>
<li>We highlight flows for CATL, Hundsun, Ping An Insurance, Inovance, Xinghuacun Fen Wine, Shaanxi Coal, Midea, Tongwei, BYD, Eve Energy, Industrial Bank.</li>
</ul>


We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
We estimate that the total inflows were USD 1.5bn last Month. Industrials, Information Technology, Consumer Staples led the inflows.
We highlight flows for CATL, Hundsun, Ping An Insurance, Inovance, Xinghuacun Fen Wine, Shaanxi Coal, Midea, Tongwei, BYD, Eve Energy, Industrial Bank.


Northbound Flows Monthly (Feb): CATL, Hundsun, Ping An Insurance, Inovance, Xinghuacun Fen Wine

China

Suzhou TFC Optical Communication Co., Ltd. researches, develops, and distributes fiber optic components.

Price Gauge
52-week Range	0.00 - 0.00
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Suzhou Tfc Optical Communi-A (300394 CH)

Quiddity Primer for CSI 300/500 Index Rebalance Events

We evaluated the performance of 1205+ unique past Index rebalance cases (ADDs and DELs) involving the CSI 300 index and CSI 500 index from December...

Janaghan Jeyakumar, CFA

Index Rebalance & ETF Flow Recap: ASX, Chinext, URA, Korea Stocks, NKY

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

Brian Freitas

ChiNext/ChiNext50 Index Rebalance Preview: Potential Changes & Basket Performance

There are many overlapping changes for the Chinext and Chinext50 indices. The potential adds have outperformed the potential deletes and flow could...

Brian Freitas

CSI500 Index Rebalance Preview: Potential Adds Outperforming Potential Deletes

We see 50 changes a side for the CSI500 in Dec. The Industrials sector could take a lot of index spots from Materials as one-way turnover exceeds...

Brian Freitas

Northbound Flows Monthly (Feb): CATL, Hundsun, Ping An Insurance, Inovance, Xinghuacun Fen Wine

We analyzed the Shanghai/Shenzhen Connect Scheme for February and highlight flows for CATL, Hundsun, Ping An Insurance, Inovance, Xinghuacun Fen Wine.

Ke Yan, CFA, FRM

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Quiddity Primer for CSI 300/500 Index Rebalance Events

We evaluated the performance of 1205+ unique past Index rebalance cases (ADDs and DELs) involving the CSI 300 index and CSI 500 index from December...

Janaghan Jeyakumar, CFA

Index Rebalance & ETF Flow Recap: ASX, Chinext, URA, Korea Stocks, NKY

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

Brian Freitas

ChiNext/​​​ChiNext50 Index Rebalance Preview: Potential Changes & Basket Performance

There are many overlapping changes for the Chinext and Chinext50 indices. The potential adds have outperformed the potential deletes and flow could...

Brian Freitas

CSI500 Index Rebalance Preview: Potential Adds Outperforming Potential Deletes

We see 50 changes a side for the CSI500 in Dec. The Industrials sector could take a lot of index spots from Materials as one-way turnover exceeds...

Brian Freitas

Northbound Flows Monthly (Feb): CATL, Hundsun, Ping An Insurance, Inovance, Xinghuacun Fen Wine

We analyzed the Shanghai/Shenzhen Connect Scheme for February and highlight flows for CATL, Hundsun, Ping An Insurance, Inovance, Xinghuacun Fen Wine.

Ke Yan, CFA, FRM

ChiNext/ChiNext50 Index Rebalance Preview: Potential Changes & Basket Performance