亚洲德意志银行-equity strategy：foe to tyrants，country garden’s friend，latest southbound impact targets-20170615-asiadeutschebank

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1、DeutscheBankMarketsResearchAsiaStrategyDateChina15June2017HongKongAsiaEquityStrategyFoetotyrants,CountryGarden'sfriend:latestSouthboundImpacttargetsWillStephensMoretwowayflowinSouthbound/updatingourtargetsSouthboundquotautilizationhasbeendecliningthismonth,

2、withfourdaysofStrategistnetsellingbymainlandinvestors,asbothA-sharesandtherenminbihaverallied.+852-22036719ThesetrendsbelieanincreaseinoverallgrossactivityasSouthboundinvestortradinghasbecomemore"two-way".Infact,gross(buy+sell)activityhasLarsNaeckterrecent

3、lyhitmulti-yearhighs.AsSouthboundinvestorsbecomemoreselective,Strategistthiswillincreasetheirimpactatthestocklevel.Inthisnote,werefreshour+852-22036713SouthboundImpacttargetlistofstockslikelytoseethemostimpactfromthispick-upintwo-wayactivity.KhoiLeBinhStra

4、tegistOurstrategyhasreturned9%sinceinceptioninApril+852-22036990OurSouthboundImpactstrategyhasperformedstronglyinthefirsttwomonthsofitsinception,withthelongbasketsshowingreturnsof11.2%vs.theHSCEIElitaLaiup2.3%.Ourstrategytargetsstockswiththehighest1-monthtr

5、ailingflowtoStrategistliquidityand1-monthtrailingflowtofreefloatmarketcapassignals.Wehold+852-22036129thebasketfora1-monthperiod,hedgewithHSCEIandrebalancemonthly.Thebacktestshowedreturnsof80%sinceinceptionandaSharperatioof1.3.HemantSambaturBuyDBHKSI3Nvs.theH

6、SCEItotakeadvantageofongoingmainlandimpactStrategistWehavecreatedanewtargetbasket(DBHKSI3N)ofthe20stocksthatmeet+852-22036162ourcriteriaforJune.Newstocksinthebasketinclude:Shenhua(1088HK),CRPower(836HK),MelcoIntl(200HK)andManWah(1999HK).Withanongoingpickup

7、inSouthboundflows,weexpectnamesthatareattractingthehighestrelativeflowtocontinuetooutperform.DBHKSI3NisequalweightedandshouldaccommodatetradesofuptoUS$55mnperday.Figure1:SBImpactStrategy-JuneFigure2:DBSouthboundImpactStrategy-ReturnsSinceInceptionPortfolioSt

8、ocks1FULLSHARE(607HK)11CHINARESPOWER(836HK)12%LongPortfolio11.2%2NEWCHINALIFE(1336HK)12HSBC(5HK)HSCEI3SHENZHENINVEST(604HK)13GREATWALLMTR(2333HK)8%8.9%4CITICBANK(998HK)14ALIBABAHEALTH(241HK)4%5CHINAEVER(165HK