Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

Chongqing Rural Commercial Ban / Index Rebalance

Chongqing Rural Commercial Ban (601077 CH)

<ul>
<li>CSI 300 represents the 300 largest stocks by market cap and liquidity from the Shanghai and Shenzhen Exchanges. CSI 500 is the next 500 names.</li>
<li>In this insight, we have presented our final expectations for ADDs and DELs for the upcoming semiannual index rebal event in June 2025.</li>
<li>We expect 6 ADDs/DELs for the CSI 300 index and 50 ADDs/DELs for the CSI 500 index during this index review based on the latest available data.</li>
</ul>


CSI 300 represents the 300 largest stocks by market cap and liquidity from the Shanghai and Shenzhen Exchanges. CSI 500 is the next 500 names.
In this insight, we have presented our final expectations for ADDs and DELs for the upcoming semiannual index rebal event in June 2025.
We expect 6 ADDs/DELs for the CSI 300 index and 50 ADDs/DELs for the CSI 500 index during this index review based on the latest available data.


Quiddity Leaderboard CSI 300/​​500 Jun25: Momentum Turning Positive for This Major Rebal Trade

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

Kuang-Chi Technologies   / Index Rebalance

<ul>
<li>There could be 8 changes at the June rebalance with the Industrials and Information Technology sectors gaining 3 index spots each and the Materials sector losing 4 spots.</li>
<li>Estimated one-way turnover is 1.44% at the rebalance leading to a round-trip trade of CNY 32.55bn (US$4.5bn). There are 13 stocks with over 2x ADV to trade.</li>
<li>The forecast adds have outperformed the forecast deletes over the last 6 weeks even though there have been large ETF creations. There could be more outperformance coming up.</li>
</ul>


There could be 8 changes at the June rebalance with the Industrials and Information Technology sectors gaining 3 index spots each and the Materials sector losing 4 spots.
Estimated one-way turnover is 1.44% at the rebalance leading to a round-trip trade of CNY 32.55bn (US$4.5bn). There are 13 stocks with over 2x ADV to trade.
The forecast adds have outperformed the forecast deletes over the last 6 weeks even though there have been large ETF creations. There could be more outperformance coming up.


CSI300 Index Rebalance Preview: 8 Changes a Side in June; US$4.5bn Trade

<ul>
<li>There could be 7 changes at the June rebalance with the Information Technology sector gaining 3 index spots and the Materials sector losing 3 spots.</li>
<li>We estimate one-way turnover of 1.45% at the rebalance leading to a round-trip trade of CNY 28.1bn (US$3.9bn). There are 6 stocks with over 2x ADV to trade.</li>
<li>There have been redemptions in mainland China ETFs over the last couple of months and that leads to a lower impact on the stocks compared to the last rebalance.</li>
</ul>


There could be 7 changes at the June rebalance with the Information Technology sector gaining 3 index spots and the Materials sector losing 3 spots.
We estimate one-way turnover of 1.45% at the rebalance leading to a round-trip trade of CNY 28.1bn (US$3.9bn). There are 6 stocks with over 2x ADV to trade.
There have been redemptions in mainland China ETFs over the last couple of months and that leads to a lower impact on the stocks compared to the last rebalance.


CSI300 Index Rebalance Preview: 7 Changes a Side as Market Trades in a Range

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>Industrials (inflows of $3,132 million), Information Technology (inflows of $2,247 million), Health Care (inflows of $1,021 million) led the inflows.</li>
<li>We highlight flows for BOE, Wuliangye, Nari, Wanhua, Luzhou Laojiao, CMB, Longi Green, Foxconn, Ping An, Hithink.</li>
</ul>


We analyze the monthly Shanghai/Shenzhen northbound Connect flows with our data engine.
Industrials (inflows of $3,132 million), Information Technology (inflows of $2,247 million), Health Care (inflows of $1,021 million) led the inflows.
We highlight flows for BOE, Wuliangye, Nari, Wanhua, Luzhou Laojiao, CMB, Longi Green, Foxconn, Ping An, Hithink.


Northbound Flows Monthly (Mar): BOE, Wuliangye, Nari, Wanhua, Luzhou Laojiao

<ul>
<li>We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of January 13th.</li>
<li>We estimate the weekly inflows to be US$6,510.6 million, led by financials, consumer staples, information technology sectors, and offset by energy, real estate.</li>
<li>We highlight flows for CATL, Ping An Insurance, Moutai, Wuliangye, Longi Green Energy Technology, Jiangsu Hengrui Medicine.</li>
</ul>


We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of January 13th.
We estimate the weekly inflows to be US$6,510.6 million, led by financials, consumer staples, information technology sectors, and offset by energy, real estate.
We highlight flows for CATL, Ping An Insurance, Moutai, Wuliangye, Longi Green Energy Technology, Jiangsu Hengrui Medicine.


Northbound Flows (Jan 13th): 1Y High Weekly Inflows

China

Yunnan Energy New Material Co., Ltd. manufactures paper packaging materials. The Company produces and sells printing packages, packing boxes, liquid wrapping papers, high-grade wrapping papers, and other related products. Yunnan Energy New Material also produces and sells biaxially oriented polypropylen films.

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

Yunnan Energy New Material (002812 CH)

Quiddity Leaderboard CSI 300/500 Jun25: Momentum Turning Positive for This Major Rebal Trade

Instead of Chongqing Rural Commercial Ban (601077 CH), we now see Lingyi iTech Guangdong (002600 CH) as a CSI 300 Expected ADD as explained in the...

Janaghan Jeyakumar, CFA

CSI300 Index Rebalance Preview: 8 Changes a Side in June; US$4.5bn Trade

8 changes forecast for CSI300 June. Estimated one-way turnover is 1.44% and round-trip trade is US$4.5bn. A long adds/short deletes trade has done...

Brian Freitas

CSI300 Index Rebalance Preview: 7 Changes a Side as Market Trades in a Range

There could be 7 changes for the CSI300 in June with a one-way turnover of 1.45% and a round-trip trade of US$3.9bn. The adds and deletes have...

Brian Freitas

Northbound Flows Monthly (Mar): BOE, Wuliangye, Nari, Wanhua, Luzhou Laojiao

We analyzed the Hong Kong Connect Scheme for March and highlight flows for BOE, Wuliangye, Nari, Wanhua, Luzhou Laojiao, CMB, Longi Green, Foxconn,...

Ke Yan, CFA, FRM

Northbound Flows (Jan 13th): 1Y High Weekly Inflows

We analyzed northbound Shanghai/Shenzhen connect flows in the past week and highlight flows for CATL, Ping An Insurance, Moutai, Wuliangye, Longi...

Ke Yan, CFA, FRM

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Quiddity Leaderboard CSI 300/​​500 Jun25: Momentum Turning Positive for This Major Rebal Trade

Instead of Chongqing Rural Commercial Ban (601077 CH), we now see Lingyi iTech Guangdong (002600 CH) as a CSI 300 Expected ADD as explained in the...

Janaghan Jeyakumar, CFA

CSI300 Index Rebalance Preview: 8 Changes a Side in June; US$4.5bn Trade

8 changes forecast for CSI300 June. Estimated one-way turnover is 1.44% and round-trip trade is US$4.5bn. A long adds/short deletes trade has done...

Brian Freitas

CSI300 Index Rebalance Preview: 7 Changes a Side as Market Trades in a Range

There could be 7 changes for the CSI300 in June with a one-way turnover of 1.45% and a round-trip trade of US$3.9bn. The adds and deletes have...

Brian Freitas

Northbound Flows Monthly (Mar): BOE, Wuliangye, Nari, Wanhua, Luzhou Laojiao

We analyzed the Hong Kong Connect Scheme for March and highlight flows for BOE, Wuliangye, Nari, Wanhua, Luzhou Laojiao, CMB, Longi Green, Foxconn,...

Ke Yan, CFA, FRM

Northbound Flows (Jan 13th): 1Y High Weekly Inflows

We analyzed northbound Shanghai/Shenzhen connect flows in the past week and highlight flows for CATL, Ping An Insurance, Moutai, Wuliangye, Longi...

Ke Yan, CFA, FRM

Quiddity Leaderboard CSI 300/500 Jun25: Momentum Turning Positive for This Major Rebal Trade