Assessment - Shanghai Stock Exchange 50 - 9/26/22 - RS = 19
⇐
⇓ instrument
freshest
⇓ Δday
9/26/22
⇓ Δwk
5/16/22
prc diff
⇓ Δ19
∅-RS
L
SSE 50 ew
1,913.710
Thu
1.06
1,986.870
2,107.110
-120.240
-5.71
-14.08
Shaanxi Coal
24.910
Thu
-0.99
22.600
17.260
5.340
30.94
43.40
China CSSC
38.250
Thu
2.79
24.730
16.280
8.450
51.90
17.45
China Shenhua En
40.850
Thu
-0.73
30.360
31.000
-0.640
-2.06
16.34
L
Poly Developments
9.210
Thu
2.56
17.690
16.940
0.750
4.43
12.99
L
China Life
31.240
Thu
0.06
30.820
25.060
5.760
22.98
9.07
L
Shanxi Xinghuacun
269.030
Thu
0.12
299.650
254.950
44.700
17.53
5.22
Trina Solar
21.780
Thu
4.01
67.830
53.150
14.680
27.62
4.53
Tongwei
22.790
Thu
2.20
48.680
39.720
8.960
22.56
4.20
China Yangtze Pwr
25.360
Thu
0.20
23.050
22.990
0.060
0.26
2.26
China Petrol&Chem
6.390
Thu
-0.47
4.270
4.330
-0.060
-1.39
0.42
L
Kweichow Moutai
1,756.000
Thu
-0.45
1,863.000
1,758.000
105.000
5.97
0.16
L
TBEA
14.430
Thu
0.91
22.080
20.040
2.040
10.18
-0.58
L
China State Constr
5.410
Thu
1.12
5.150
5.980
-0.830
-13.88
-0.76
Bank of China
4.470
Thu
-0.89
3.060
3.190
-0.130
-4.08
-1.93
L
China Tourism
74.380
Thu
1.39
194.510
174.320
20.190
11.58
-2.81
L
Beijing Kingsoft
296.850
Thu
1.09
206.670
198.260
8.410
4.24
-3.14
Haier Smart Home
31.440
Thu
0.54
24.950
25.660
-0.710
-2.77
-3.31
Agricultural Bank
4.380
Thu
-1.13
2.850
3.040
-0.190
-6.25
-3.61
L
PetroChina
10.070
Thu
-0.59
5.110
5.170
-0.060
-1.16
-4.37
L
Wanhua Chemical
90.330
Thu
-0.59
87.280
81.800
5.480
6.70
-4.47
L
China Telecom Corp
5.930
Thu
-0.50
3.820
3.850
-0.030
-0.78
-5.09
Ind and Comm Bk
5.380
Thu
-0.55
4.350
4.680
-0.330
-7.05
-5.87
AECC Aviation Power
37.460
Thu
4.84
45.290
38.760
6.530
16.85
-7.09
L
Zhejiang Huayou
30.440
Thu
5.44
73.450
66.077
7.373
11.16
-8.04
⇓ instrument
freshest
⇓ Δday
9/26/22
⇓ Δwk
5/16/22
prc diff
⇓ Δ19
∅-RS
L
Foshan Haitian F&F
38.930
Thu
-0.41
79.700
73.380
6.320
8.61
-8.68
PowerChina
5.170
Thu
1.57
7.000
7.170
-0.170
-2.37
-9.16
L
China Unicom
4.640
Thu
3.360
3.490
-0.130
-3.72
-9.20
L
Ping An Ins
42.340
Thu
0.93
42.490
43.360
-0.870
-2.01
-10.00
L
China Rwy Group
6.610
Thu
1.07
5.310
6.910
-1.600
-23.15
-11.29
L
Industrial Bank
16.860
Thu
0.48
16.750
19.340
-2.590
-13.39
-13.42
L
IM Yili
28.220
Thu
-0.04
32.360
37.320
-4.960
-13.29
-15.00
L
China Three Gorges R
4.690
Thu
5.450
5.960
-0.510
-8.56
-16.01
L
China Pacific Ins
26.750
Thu
0.94
19.900
20.710
-0.810
-3.91
-16.59
S
Citic Secs
18.910
Thu
0.69
18.020
19.070
-1.050
-5.51
-18.15
L
Jiangsu Hengrui Med
46.900
Thu
1.03
31.900
29.430
2.470
8.39
-18.22
SAIC Motor Corp
14.570
Thu
0.14
14.550
16.180
-1.630
-10.07
-19.22
S
SMIC
43.720
Thu
3.70
37.470
42.400
-4.930
-11.63
-20.17
L
China Merchants Bank
34.840
Thu
0.78
33.950
36.890
-2.940
-7.97
-21.39
Zijin Mining
17.710
Thu
1.49
7.820
9.700
-1.880
-19.38
-22.16
L
Great Wall Motor
26.250
Thu
1.27
28.700
29.000
-0.300
-1.03
-22.89
NARI Technology
23.270
Thu
1.39
24.300
33.280
-8.980
-26.98
-26.03
Sany Heavy Industry
17.460
Thu
4.80
14.050
16.240
-2.190
-13.49
-26.91
China Northern Rare
20.640
Thu
2.03
28.100
32.930
-4.830
-14.67
-27.15
Cosco Shipping
13.330
Thu
9.17
11.260
14.200
-2.940
-20.70
-27.26
L
Zhangzhou Pientze
239.100
Thu
-0.47
246.790
299.350
-52.560
-17.56
-28.13
L
GigaDevice
82.590
Thu
0.73
98.350
124.800
-26.450
-21.19
-29.65
L
LONGi Green Energy
18.960
Thu
2.43
48.800
68.000
-19.200
-28.24
-30.30
S
WuXi AppTec
45.370
Thu
1.48
70.470
98.810
-28.340
-28.68
-33.68
L
Will Semiconductor
103.390
Thu
0.46
83.550
109.622
-26.072
-23.78
-40.88
⇓ instrument
freshest
⇓ Δday
9/26/22
⇓ Δwk
5/16/22
prc diff
⇓ Δ19
∅-RS
Hygon
76.560
Thu
0.26
60.300
-na-
SSE 50 - 49 out of 50 instruments rated - 9/26/22 / 5/16/22 - 17 did rise, Market-Ratio(19) = 34.69 %
Stock Exchange Currency: CNY ¥ Renminbi yuán
Technical Chart
Transactions Shanghai Stock Exchange 50 * A19 - 49/47 (1)
⇐
L/S date buy date sell days instrument spl pieces prc buy prc sell ps short prc diff d % asset yield
1/02/06
1/09/06
7
- cash -
long
1/09/06
10/16/06
280
Anhui Conch Cement
100
3,003
3.330
5.420
2.090
63
16,276
89
short
10/16/06
10/23/06
7
Hua Xia Bank
100
6,492
2.507
2.396
2.623
0.116
5
17,031
964
long
10/23/06
11/13/06
21
Citic Secs
100
3,497
4.870
5.370
0.500
10
18,780
447
short
11/13/06
11/20/06
7
Shanghai Oriental
100
5,412
3.470
3.560
3.380
-0.090
-3
18,293
-75
long
11/20/06
1/21/08
427
Sinolink Secs
100
11,459
1.596
14.768
13.171
825
169,221
570
short
1/21/08
2/09/09
385
Shanghai Int Port
100
21,021
8.050
4.270
15.176
7.126
89
319,021
82
long
2/09/09
11/30/09
294
Kangmei Pharma
100
139,817
2.282
4.546
2.265
99
635,651
135
short
11/30/09
12/28/09
28
China Rwy Constr
100
68,867
9.230
9.140
9.321
0.091
1
641,911
14
long
12/28/09
1/25/10
28
SAIC Motor Corp
100
31,130
20.620
16.390
-4.230
-21
510,231
-95
short
1/25/10
2/08/10
14
China Rwy Constr
100
60,239
8.470
8.610
8.330
-0.140
-2
501,798
-35
long
2/08/10
3/01/10
21
IM Yili
100
103,747
4.837
5.173
0.337
7
536,719
222
short
3/01/10
10/11/10
224
Poly Developments
100
82,318
6.520
5.733
7.415
0.895
14
610,360
23
long
10/11/10
12/13/10
63
China Northern Rare
100
35,670
17.111
15.718
-1.393
-8
560,661
-39
short
12/13/10
1/31/11
49
Shanghai Pudong
100
56,066
10.000
9.780
10.225
0.225
2
573,271
18
long
1/31/11
2/21/11
21
China Shipbuilding
100
65,070
8.810
8.830
0.020
0
574,572
4
short
2/21/11
4/04/11
42
Shanghai Pudong
100
57,399
10.010
11.220
8.800
-1.210
-12
505,119
-67
long
4/04/11
5/23/11
49
IM BaoTou Steel
100
178,803
2.825
2.461
-0.364
-13
439,983
-64
short
5/23/11
5/30/11
7
China Life
100
23,023
19.110
18.850
19.374
0.264
1
446,052
104
long
5/30/11
6/06/11
7
China Northern Rare
100
19,868
22.450
26.003
3.553
16
516,649
212,394
short
6/06/11
1/23/12
231
China Rwy Constr
100
86,251
5.990
4.120
8.709
2.719
45
751,148
81
long
1/23/12
3/19/12
56
China Minsheng Bk
100
138,035
5.442
5.275
-0.167
-3
728,138
-18
short
3/19/12
4/09/12
21
Anhui Conch Cement
100
44,698
16.290
16.780
15.800
-0.490
-3
706,236
-41
long
4/09/12
6/04/12
56
China Northern Rare
100
29,595
23.863
30.147
6.283
26
892,193
359
short
6/04/12
12/10/12
189
China Unicom
100
223,607
3.990
3.360
4.738
0.748
19
1,059,473
39
long
12/10/12
4/29/13
140
China Rwy Constr
100
182,040
5.820
5.140
-0.680
-12
935,686
-28
L/S date buy date sell days instrument spl pieces prc buy prc sell ps short prc diff d % asset yield short
4/29/13
5/06/13
7
China Northern Rare
100
50,871
18.393
18.607
18.180
-0.213
-1
924,830
-46
long
5/06/13
5/13/13
7
China Minsheng Bk
100
108,062
8.558
8.575
0.017
0
926,635
11
short
5/13/13
11/04/13
175
China Northern Rare
100
48,565
19.080
17.613
20.669
1.589
8
1,003,795
18
long
11/04/13
12/23/13
49
Shanghai Oriental
100
27,698
36.240
36.480
0.240
1
1,010,443
5
short
12/23/13
6/02/14
161
Poly Developments
100
189,693
5.327
5.020
5.652
0.325
6
1,072,169
14
long
6/02/14
6/23/14
21
Sinolink Secs
100
109,740
9.770
9.460
-0.310
-3
1,038,149
-43
short
6/23/14
7/07/14
14
Kangmei Pharma
100
142,212
7.300
7.330
7.270
-0.030
0
1,033,883
-10
long
7/07/14
8/03/15
392
AECC Aviation Power
100
41,157
25.120
48.280
23.160
92
1,987,079
84
short
8/03/15
1/04/16
154
China Northern Rare
100
140,330
14.160
12.660
15.838
1.678
12
2,222,511
30
long
1/04/16
1/11/16
7
Shanghai Pudong
100
124,860
17.800
17.050
-0.750
-4
2,128,866
-89
short
1/11/16
6/13/16
154
Haitong Secs
100
169,766
12.540
14.850
10.230
-2.310
-18
1,736,706
-38
long
6/13/16
8/01/16
49
Kweichow Moutai
100
6,499
267.200
306.960
39.760
15
1,995,106
181
short
8/01/16
8/15/16
14
Cosco Shipping
100
390,431
5.110
5.340
4.880
-0.230
-5
1,905,307
-70
long
8/15/16
12/26/16
133
Kweichow Moutai
100
5,976
318.780
324.500
5.720
2
1,939,490
5
short
12/26/16
1/09/17
14
Orient Secs
100
124,806
15.540
15.260
15.825
0.285
2
1,975,072
61
long
1/09/17
4/10/17
91
China Unicom
100
256,170
7.710
7.470
-0.240
-3
1,913,591
-12
short
4/10/17
4/17/17
7
Dongxing Secs
100
106,133
18.030
17.370
18.715
0.685
4
1,986,303
599
long
4/17/17
4/24/17
7
China Unicom
100
265,904
7.470
7.470
0.000
0
1,986,303
0
short
4/24/17
5/01/17
7
Dongxing Secs
100
117,951
16.840
17.190
16.490
-0.350
-2
1,945,020
-67
long
5/01/17
5/22/17
21
China Unicom
100
260,377
7.470
7.470
0.000
0
1,945,020
0
short
5/22/17
5/29/17
7
AECC Aviation Power
100
74,923
25.960
24.590
27.406
1.446
6
2,053,381
1,589
long
5/29/17
12/04/17
189
China Unicom
100
274,883
7.470
7.120
-0.350
-5
1,957,172
-9
short
12/04/17
1/15/18
42
Tsinghua Tongfang
100
181,219
10.800
10.080
11.571
0.771
7
2,096,965
82
long
1/15/18
2/12/18
28
Kweichow Moutai
100
2,670
785.370
697.480
-87.890
-11
1,862,298
-79
short
2/12/18
2/26/18
14
Founder Secs
100
296,072
6.290
6.520
6.060
-0.230
-4
1,794,202
-62
L/S date buy date sell days instrument spl pieces prc buy prc sell ps short prc diff d % asset yield long
2/26/18
3/05/18
7
Kweichow Moutai
100
2,413
743.510
720.110
-23.400
-3
1,737,738
-81
short
3/05/18
11/05/18
245
Founder Secs
100
269,835
6.440
5.630
7.367
0.927
14
1,987,740
22
long
11/05/18
12/10/18
35
Bank of Shanghai
100
162,929
12.200
11.510
-0.690
-6
1,875,319
-46
short
12/10/18
12/17/18
7
China Molybdenum
100
472,372
3.970
4.150
3.790
-0.180
-5
1,790,292
-91
long
12/17/18
12/24/18
7
China Rwy Constr
100
148,942
12.020
11.200
-0.820
-7
1,668,159
-97
short
12/24/18
1/21/19
28
China Molybdenum
100
422,318
3.950
3.920
3.980
0.030
1
1,680,913
10
long
1/21/19
2/04/19
14
Shandong Gold
100
57,038
29.470
30.900
1.430
5
1,762,478
244
short
2/04/19
2/18/19
14
San’an Optoelectron
100
168,175
10.480
12.850
8.110
-2.370
-23
1,363,903
-100
long
2/18/19
7/08/19
140
Shandong Gold
100
42,357
32.200
40.660
8.460
26
1,722,243
84
short
7/08/19
9/16/19
70
Bank of Shanghai
100
193,946
8.880
9.280
8.480
-0.400
-5
1,644,665
-21
long
9/16/19
9/23/19
7
Kweichow Moutai
100
1,496
1,099.000
1,149.000
50.000
5
1,719,465
917
short
9/23/19
10/14/19
21
Bank of Shanghai
100
187,305
9.180
9.760
8.600
-0.580
-6
1,610,828
-68
long
10/14/19
10/21/19
7
Kweichow Moutai
100
1,365
1,180.000
1,168.500
-11.500
-1
1,595,130
-40
short
10/21/19
12/16/19
56
PetroChina
100
263,222
6.060
5.770
6.365
0.305
5
1,675,308
38
long
12/16/19
1/27/20
42
San’an Optoelectron
100
85,387
19.620
22.560
2.940
15
1,926,346
237
short
1/27/20
7/06/20
161
China Comms Constr
100
229,326
8.400
8.750
8.050
-0.350
-4
1,846,081
-9
long
7/06/20
11/16/20
133
China Merchants Secs
100
63,157
29.230
21.310
-7.920
-27
1,345,878
-58
short
11/16/20
11/30/20
14
Shandong Gold
100
54,400
24.740
23.840
25.674
0.934
4
1,396,688
163
long
11/30/20
12/21/20
21
LONGi Green Energy
100
20,330
68.700
85.420
16.720
24
1,736,605
4,308
short
12/21/20
1/18/21
28
Shenzhen Goodix Tech
100
11,161
155.590
159.080
152.100
-3.490
-2
1,697,653
-26
long
1/18/21
2/01/21
14
LONGi Green Energy
100
16,454
103.170
106.920
3.750
4
1,759,356
154
short
2/01/21
2/15/21
14
Shenzhen Goodix Tech
100
12,832
137.100
133.600
140.692
3.592
3
1,805,445
96
long
2/15/21
3/22/21
35
China Tourism
100
4,654
387.860
311.650
-76.210
-20
1,450,763
-90
short
3/22/21
12/13/21
266
Shenzhen Goodix Tech
100
12,919
112.290
106.600
118.284
5.994
5
1,528,196
7
long
12/13/21
1/17/22
35
Wingtech Technology
100
11,065
138.100
121.020
-17.080
-12
1,339,206
-75
L/S date buy date sell days instrument spl pieces prc buy prc sell ps short prc diff d % asset yield short
1/17/22
9/05/22
231
China Tourism
100
7,032
190.430
180.100
201.353
10.923
6
1,416,013
9
long
9/05/22
9/19/22
14
China Shenhua En
100
43,489
32.560
31.500
-1.060
-3
1,369,914
-58
short
9/19/22
12/05/22
77
Wingtech Technology
100
25,228
54.300
56.950
51.650
-2.650
-5
1,303,060
-21
long
12/05/22
12/26/22
21
China Unicom
100
250,588
5.200
4.780
-0.420
-8
1,197,813
-77
short
12/26/22
1/02/23
7
LONGi Green Energy
100
28,519
42.000
42.260
41.740
-0.260
-1
1,190,398
-28
long
1/02/23
4/24/23
112
China Life
100
32,068
37.120
36.260
-0.860
-2
1,162,820
-7
short
4/24/23
5/01/23
7
LONGi Green Energy
100
32,095
36.230
34.870
37.643
1.413
4
1,208,170
635
long
5/01/23
5/22/23
21
China Petrol&Chem
100
180,055
6.710
6.320
-0.390
-6
1,137,949
-65
short
5/22/23
7/31/23
70
LONGi Green Energy
100
34,121
33.350
29.850
37.260
3.910
12
1,271,375
78
long
7/31/23
8/14/23
14
PetroChina
100
160,527
7.920
7.840
-0.080
-1
1,258,533
-23
short
8/14/23
3/04/24
203
Foshan Haitian F&F
100
29,058
43.310
39.960
46.941
3.631
8
1,364,037
16
long
3/04/24
3/18/24
14
Shaanxi Coal
100
50,915
26.790
24.340
-2.450
-9
1,239,295
-92
short
3/18/24
3/25/24
7
WuXi AppTec
100
23,203
53.410
48.900
58.336
4.926
9
1,353,593
9,850
long
3/25/24
5/09/24
45
Shaanxi Coal
100
52,081
25.990
24.910
-1.080
-4
1,297,346
-29
accum 1/09/06
5/09/24 6696
days out of 6703 invested (100%)
12,873
1,297,346
30
Instrument Related Contribution
instrument L/S date buy date sell days prc buy prc sell ps short prc diff d % total
Sinolink Secs long 11/20/06 1/21/08 427 1.60 14.77 13.17 825.11
long 6/02/14 6/23/14 21 9.77 9.46 -0.31 -3.17 795.75
AECC Aviation Power long 7/07/14 8/03/15 392 25.12 48.28 23.16 92.20
short 5/22/17 5/29/17 7 25.96 24.59 27.41 1.45 5.57 102.91
Kangmei Pharma long 2/09/09 11/30/09 294 2.28 4.55 2.26 99.25
short 6/23/14 7/07/14 14 7.30 7.33 7.27 -0.03 -0.41 98.43
Shanghai Int Port short 1/21/08 2/09/09 385 8.05 4.27 15.18 7.13 88.52 88.52
China Northern Rare long 10/11/10 12/13/10 63 17.11 15.72 -1.39 -8.14
long 5/30/11 6/06/11 7 22.45 26.00 3.55 15.83
long 4/09/12 6/04/12 56 23.86 30.15 6.28 26.33
short 4/29/13 5/06/13 7 18.39 18.61 18.18 -0.21 -1.16
short 5/13/13 11/04/13 175 19.08 17.61 20.67 1.59 8.33
short 8/03/15 1/04/16 154 14.16 12.66 15.84 1.68 11.85 60.97
Anhui Conch Cement long 1/09/06 10/16/06 280 3.33 5.42 2.09 62.76
short 3/19/12 4/09/12 21 16.29 16.78 15.80 -0.49 -3.01 57.87
LONGi Green Energy long 11/30/20 12/21/20 21 68.70 85.42 16.72 24.34
long 1/18/21 2/01/21 14 103.17 106.92 3.75 3.63
short 12/26/22 1/02/23 7 42.00 42.26 41.74 -0.26 -0.62
short 4/24/23 5/01/23 7 36.23 34.87 37.64 1.41 3.90
short 5/22/23 7/31/23 70 33.35 29.85 37.26 3.91 11.73 48.65
Shandong Gold long 1/21/19 2/04/19 14 29.47 30.90 1.43 4.85
long 2/18/19 7/08/19 140 32.20 40.66 8.46 26.27
short 11/16/20 11/30/20 14 24.74 23.84 25.67 0.93 3.78 37.40
Poly Developments short 3/01/10 10/11/10 224 6.52 5.73 7.41 0.89 13.72
short 12/23/13 6/02/14 161 5.33 5.02 5.65 0.33 6.11 20.67
instrument L/S date buy date sell days prc buy prc sell ps short prc diff d % total
China Rwy Constr short 11/30/09 12/28/09 28 9.23 9.14 9.32 0.09 0.98
short 1/25/10 2/08/10 14 8.47 8.61 8.33 -0.14 -1.65
short 6/06/11 1/23/12 231 5.99 4.12 8.71 2.72 45.39
long 12/10/12 4/29/13 140 5.82 5.14 -0.68 -11.68
long 12/17/18 12/24/18 7 12.02 11.20 -0.82 -6.82 18.82
Citic Secs long 10/23/06 11/13/06 21 4.87 5.37 0.50 10.27 10.27
Founder Secs short 2/12/18 2/26/18 14 6.29 6.52 6.06 -0.23 -3.66
short 3/05/18 11/05/18 245 6.44 5.63 7.37 0.93 14.39 10.20
WuXi AppTec short 3/18/24 3/25/24 7 53.41 48.90 58.34 4.93 9.22 9.22
Foshan Haitian F&F short 8/14/23 3/04/24 203 43.31 39.96 46.94 3.63 8.38 8.38
Tsinghua Tongfang short 12/04/17 1/15/18 42 10.80 10.08 11.57 0.77 7.14 7.14
IM Yili long 2/08/10 3/01/10 21 4.84 5.17 0.34 6.96 6.96
Shenzhen Goodix Tech short 12/21/20 1/18/21 28 155.59 159.08 152.10 -3.49 -2.24
short 2/01/21 2/15/21 14 137.10 133.60 140.69 3.59 2.62
short 3/22/21 12/13/21 266 112.29 106.60 118.28 5.99 5.34 5.67
Hua Xia Bank short 10/16/06 10/23/06 7 2.51 2.40 2.62 0.12 4.64 4.64
Kweichow Moutai long 6/13/16 8/01/16 49 267.20 306.96 39.76 14.88
long 8/15/16 12/26/16 133 318.78 324.50 5.72 1.79
long 1/15/18 2/12/18 28 785.37 697.48 -87.89 -11.19
long 2/26/18 3/05/18 7 743.51 720.11 -23.40 -3.15
long 9/16/19 9/23/19 7 1,099.00 1,149.00 50.00 4.55
long 10/14/19 10/21/19 7 1,180.00 1,168.50 -11.50 -0.97 4.14
PetroChina short 10/21/19 12/16/19 56 6.06 5.77 6.36 0.30 5.03
long 7/31/23 8/14/23 14 7.92 7.84 -0.08 -1.01 3.97
Orient Secs short 12/26/16 1/09/17 14 15.54 15.26 15.83 0.29 1.83 1.83
instrument L/S date buy date sell days prc buy prc sell ps short prc diff d % total
Dongxing Secs short 4/10/17 4/17/17 7 18.03 17.37 18.72 0.69 3.80
short 4/24/17 5/01/17 7 16.84 17.19 16.49 -0.35 -2.08 1.64
China Unicom short 6/04/12 12/10/12 189 3.99 3.36 4.74 0.75 18.75
long 1/09/17 4/10/17 91 7.71 7.47 -0.24 -3.11
long 4/17/17 4/24/17 7 7.47 7.47 0.00 0.00
long 5/01/17 5/22/17 21 7.47 7.47 0.00 0.00
long 5/29/17 12/04/17 189 7.47 7.12 -0.35 -4.69
long 12/05/22 12/26/22 21 5.20 4.78 -0.42 -8.08 0.80
China Shipbuilding long 1/31/11 2/21/11 21 8.81 8.83 0.02 0.23 0.23
China Life short 5/23/11 5/30/11 7 19.11 18.85 19.37 0.26 1.38
long 1/02/23 4/24/23 112 37.12 36.26 -0.86 -2.32 -0.97
Shanghai Oriental short 11/13/06 11/20/06 7 3.47 3.56 3.38 -0.09 -2.59
long 11/04/13 12/23/13 49 36.24 36.48 0.24 0.66 -1.95
China Minsheng Bk long 1/23/12 3/19/12 56 5.44 5.28 -0.17 -3.06
long 5/06/13 5/13/13 7 8.56 8.58 0.02 0.20 -2.87
China Shenhua En long 9/05/22 9/19/22 14 32.56 31.50 -1.06 -3.26 -3.26
China Molybdenum short 12/10/18 12/17/18 7 3.97 4.15 3.79 -0.18 -4.53
short 12/24/18 1/21/19 28 3.95 3.92 3.98 0.03 0.76 -3.80
China Comms Constr short 1/27/20 7/06/20 161 8.40 8.75 8.05 -0.35 -4.17 -4.17
Cosco Shipping short 8/01/16 8/15/16 14 5.11 5.34 4.88 -0.23 -4.50 -4.50
China Petrol&Chem long 5/01/23 5/22/23 21 6.71 6.32 -0.39 -5.81 -5.81
San’an Optoelectron short 2/04/19 2/18/19 14 10.48 12.85 8.11 -2.37 -22.61
long 12/16/19 1/27/20 42 19.62 22.56 2.94 14.98 -11.02
IM BaoTou Steel long 4/04/11 5/23/11 49 2.83 2.46 -0.36 -12.90 -12.90
Shaanxi Coal long 3/04/24 3/18/24 14 26.79 24.34 -2.45 -9.15
long 3/25/24 5/09/24 45 25.99 24.91 -1.08 -4.16 -12.92
instrument L/S date buy date sell days prc buy prc sell ps short prc diff d % total
Shanghai Pudong short 12/13/10 1/31/11 49 10.00 9.78 10.22 0.22 2.25
short 2/21/11 4/04/11 42 10.01 11.22 8.80 -1.21 -12.09
long 1/04/16 1/11/16 7 17.80 17.05 -0.75 -4.21 -13.90
China Tourism long 2/15/21 3/22/21 35 387.86 311.65 -76.21 -19.65
short 1/17/22 9/05/22 231 190.43 180.10 201.35 10.92 5.74 -15.04
Bank of Shanghai long 11/05/18 12/10/18 35 12.20 11.51 -0.69 -5.66
short 7/08/19 9/16/19 70 8.88 9.28 8.48 -0.40 -4.50
short 9/23/19 10/14/19 21 9.18 9.76 8.60 -0.58 -6.32 -15.60
Wingtech Technology long 12/13/21 1/17/22 35 138.10 121.02 -17.08 -12.37
short 9/19/22 12/05/22 77 54.30 56.95 51.65 -2.65 -4.88 -16.64
Haitong Secs short 1/11/16 6/13/16 154 12.54 14.85 10.23 -2.31 -18.42 -18.42
SAIC Motor Corp long 12/28/09 1/25/10 28 20.62 16.39 -4.23 -20.51 -20.51
China Merchants Secs long 7/06/20 11/16/20 133 29.23 21.31 -7.92 -27.10 -27.10
Annotations
7/28/17 SSE 50 component roundabout
new: Bank of Jiangsu, Bank of Shanghai, China Fortune Land, China Galaxy Securities and Greenland
Holdings
dropped out: AVIC Aviation, China Citic Bank, Industrial Securities, Shanghai Oriental and Sinolink Securities
12/28/16 SSE 50 Beijing Xinwei, Dongxing Secs, Founder Secs, Shandong Gold and Tsinghua Tongfang
replace China Cosco, GD Power, IM Baotao Steel, Power China and Shanghai Electric
12/29/15 SSE 50 complete analysis
12/28/15 SSE 50 CNNP, GD Power Development, Guotai Junan, New China Life and PowerChina replace
Guanghui Energy, NARI, Offshore Oil, Qingdao Haier and Tebian Electric Apparatus
8/28/15 SSE 50 complete analysis
7/27/15 Ping An Ins forward stock split 10:20 (twenty for ten)
7/17/15 Kweichow Moutai forward stock split 10:11 (eleven for ten)
7/16/15 Qingdao Haier forward stock split 10:20 (twenty for ten)
6/01/15 IM Yili foreward stock split 10:20 (twenty for ten)
5/11/15 China Northern Rare forward stock split 10:15 (fifteen for ten)
6/06/13 NARI Technology forward stock split 10:15 (fifteen for ten)
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