Abstract: We measured cross-window alpha for the 53 names in the Feb 2026 MSCI China rebalance, vs the MSCI China benchmark, from WPreA through WI4 (60 days post-implementation). We split the ADD and DELETE cohorts by FF/ADV bucket (LOW/MID/HIGH) to separate the active-positioning trades from the passive-flow trades. We tested implementation-day intraday signals (R/O opening gap, R/I open-to-close) against later-window outcomes to find any forward-predictive read on the post-implementation path.
ANHUI GUJING DISTILLERY CO.,LTD (A #000596), CHINA TUNGSTEN AND HIGHTECH MATERIALS CO.,LTD (A #000657), YUNNAN TIN CO., LTD. (A #000960), SHENZHEN TECHWINSEMI TECHNOLOGY CO., LTD. (A #001309), LEO GROUP CO.,LTD. (A #002131), YUNNAN ENERGY NEW MATERIAL CO.,LTD. (A #002812), CGN POWER CO.,LTD. (A #003816), CHINA VANKE CO., LTD., QFIN-S, ZHEJIANG EXPRESSWAY CO., LTD., GUANGHUI ENERGY CO.,LTD. (A #600256), FIBERHOME TELECOMMUNICATION TECHNOLOGIES CO.,LTD. (A #600498), HUAIBEI MINING HOLDINGS CO.,LTD. (A #600985), FOSUN INTERNATIONAL LIMITED, YANGTZE OPTICAL FIBRE AND CABLE JOINT STOCK LIMITED COMPANY, YUANJIE SEMICONDUCTOR TECHNOLOGY CO., LTD. (A #688498), SICHUAN BIOKIN PHARMACEUTICAL CO., LTD. (A #688506), Qfin Holdings, Inc. American Depositary Shares
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