Abstract: We measured cross-window alpha for the 53 names in the March 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, CHINA TUNGSTEN AND HIGHTECH MATERIALS, YUNNAN TIN, SHENZHEN TECHWINSEMI TECHNOLOGY, LEO, YUNNAN ENERGY NEW MATERIAL, CGN POWER, CHINA VANKE, QFIN, ZHEJIANG EXPRESSWAY, GUANGHUI ENERGY, Fiberhome, HUAIBEI MINING, Fosun Intl, YOFC, YUANJIE SEMI, Biokin Pharma, Qfin
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