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

Event-Driven

Cheng Shin Rubber Ind Co., Ltd. / Event-Driven

Cheng Shin Rubber Ind Co., Ltd. (2105 TT)

<ul>
<li>There are 5 adds and 4 deletes to the Yuanta/​P-Shares Taiwan Dividend Plus ETF in December with implementation taking place from 15-21 December.</li>
<li>The constituent changes and capping changes result in an estimated one-way turnover of 16.1% resulting in a one-way trade of US$1.26bn.</li>
<li>There will be positioning in a lot of the adds/deletes and the real action could be in the other stocks with capping and/or funding flows.</li>
</ul>


There are 5 adds and 4 deletes to the Yuanta/​P-Shares Taiwan Dividend Plus ETF in December with implementation taking place from 15-21 December.
The constituent changes and capping changes result in an estimated one-way turnover of 16.1% resulting in a one-way trade of US$1.26bn.
There will be positioning in a lot of the adds/deletes and the real action could be in the other stocks with capping and/or funding flows.


Yuanta/​P-Shares Taiwan Div+ ETF Rebalance: Changes Lead to Huge Turnover

<ul>
<li>The Yuanta/P-shares Dividend Plus ETF (0056 TT) started to rebalance its holdings on Friday and will continue to do so for the next 4 trading days.</li>
<li>Stocks with buy flows dropped 0.51% on average on Friday while the stocks with sell flows dropped 0.92%. On a flow weighted basis, the numbers were -0.21% vs -0.75%.</li>
<li>Since the start of November, the adds have outperformed the deletes and the <a href="https://www.smartkarma.com/entities/taiwan-stock-exchange-weighted-index" target="_blank" data-smartkarma-citation="entities:26056:1" rel="noopener">TWSE INDEX</a>. There has been significant outperformance in just the last week.</li>
</ul>


The Yuanta/P-shares Dividend Plus ETF (0056 TT) started to rebalance its holdings on Friday and will continue to do so for the next 4 trading days.
Stocks with buy flows dropped 0.51% on average on Friday while the stocks with sell flows dropped 0.92%. On a flow weighted basis, the numbers were -0.21% vs -0.75%.
Since the start of November, the adds have outperformed the deletes and the TWSE INDEX. There has been significant outperformance in just the last week.


Yuanta/​P-Shares Taiwan Div+ ETF: Day 1 Flows & Stock Moves

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 analyzed the changes in foreign holdings of TWSE Stocks as of Dec 15th which has an aggregated holding worth USD701.6bn.</li>
<li>We tabulate league table for top changes by value for 1 week, one 4 weeks, 1 year and top stocks held by foreign instutions by dollar value.</li>
<li>We estimate that foreign flows to be inflows of USD2,114mln and highlight foreign changes in TSMC, Largan Precision, Evergreen Marine, Far Eastone Telecom.</li>
</ul>


We analyzed the changes in foreign holdings of TWSE Stocks as of Dec 15th which has an aggregated holding worth USD701.6bn.
We tabulate league table for top changes by value for 1 week, one 4 weeks, 1 year and top stocks held by foreign instutions by dollar value.
We estimate that foreign flows to be inflows of USD2,114mln and highlight foreign changes in TSMC, Largan Precision, Evergreen Marine, Far Eastone Telecom.


TWSE Foreign Holding Weekly (Dec 15th): TSMC, Largan Precision, Evergreen Marine

Index Rebalance

<ul>
<li>There were a lot of rebalance implementations in China on Friday, plus a few upcoming index changes that were announced during the week.</li>
<li>There are a lot of implementations this week, with <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a> and <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150</a> on Thursday and then others across a bunch of countries on Friday.</li>
<li>There were big inflows to <a href="https://www.smartkarma.com/entities/tracker-fund-of-hong-kong-ltd" target="_blank" data-smartkarma-citation="entities:29257:1" rel="noopener">Tracker Fund of Hong Kong (2800 HK)</a> during the week taking units outstanding to a new high. ETF inflows continue even as the market drops.</li>
</ul>


There were a lot of rebalance implementations in China on Friday, plus a few upcoming index changes that were announced during the week.
There are a lot of implementations this week, with KOSPI 200 and KOSDAQ 150 on Thursday and then others across a bunch of countries on Friday.
There were big inflows to Tracker Fund of Hong Kong (2800 HK) during the week taking units outstanding to a new high. ETF inflows continue even as the market drops.


Index Rebalance & ETF Flow Recap: NKY, TW Div+, ASX200, NZX50, Mom30, Top10EW, MVW, Rakuten Bank

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>The index changes for the T50/100 index family and the TDIV index were confirmed after market close on Friday 1st December 2023.</li>
<li>The index changes were mostly in line with our final expectations.</li>
<li>In this insight, we take a close look at the breakdown of our final flow expectations for the upcoming Inclusion/Exclusion and Capping events.</li>
</ul>


The index changes for the T50/100 index family and the TDIV index were confirmed after market close on Friday 1st December 2023.
The index changes were mostly in line with our final expectations.
In this insight, we take a close look at the breakdown of our final flow expectations for the upcoming Inclusion/Exclusion and Capping events.


Quiddity TDIV/​50/​100 Dec 23 Rebal: Inflow Names Could Outperform Outflow Names

Taiwan

Getac Technology Corporation designs, manufactures, and markets laptops for business, personal, and military use.  The Company sells its products worldwide.

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Getac Technology (3005 TT)

Yuanta/P-Shares Taiwan Div+ ETF Rebalance: Changes Lead to Huge Turnover

On average, the adds have outperformed the deletes by 5.2% since the announcement of the changes and by 1.12% since the start of the implementation...

Brian Freitas

Yuanta/P-Shares Taiwan Div+ ETF: Day 1 Flows & Stock Moves

The 0056 TT ETF started rebalancing on Friday and that will continue for the next 4 trading days. The adds have outperformed the deletes...

Brian Freitas

TWSE Foreign Holding Weekly (Dec 15th): TSMC, Largan Precision, Evergreen Marine

We analyzed TWSE foreign holding data for the past week and highlight foreign holding changes in TSMC, Largan Precision, Evergreen Marine, Far...

Ke Yan, CFA, FRM

Index Rebalance & ETF Flow Recap: NKY, TW Div+, ASX200, NZX50, Mom30, Top10EW, MVW, Rakuten Bank

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

Quiddity TDIV/50/100 Dec 23 Rebal: Inflow Names Could Outperform Outflow Names

I estimate one-way flow to be US$1.2bn which is around 18.5% turnover. There are 29 expected inflow names and 25 expected outflow names.

Janaghan Jeyakumar, CFA

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Yuanta/​P-Shares Taiwan Div+ ETF Rebalance: Changes Lead to Huge Turnover

On average, the adds have outperformed the deletes by 5.2% since the announcement of the changes and by 1.12% since the start of the implementation...

Brian Freitas

Yuanta/​P-Shares Taiwan Div+ ETF: Day 1 Flows & Stock Moves

The 0056 TT ETF started rebalancing on Friday and that will continue for the next 4 trading days. The adds have outperformed the deletes...

Brian Freitas

TWSE Foreign Holding Weekly (Dec 15th): TSMC, Largan Precision, Evergreen Marine

We analyzed TWSE foreign holding data for the past week and highlight foreign holding changes in TSMC, Largan Precision, Evergreen Marine, Far...

Ke Yan, CFA, FRM

Index Rebalance & ETF Flow Recap: NKY, TW Div+, ASX200, NZX50, Mom30, Top10EW, MVW, Rakuten Bank

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

Quiddity TDIV/​50/​100 Dec 23 Rebal: Inflow Names Could Outperform Outflow Names

I estimate one-way flow to be US$1.2bn which is around 18.5% turnover. There are 29 expected inflow names and 25 expected outflow names.

Janaghan Jeyakumar, CFA

Yuanta/P-Shares Taiwan Div+ ETF Rebalance: Changes Lead to Huge Turnover

Yuanta/P-Shares Taiwan Div+ ETF: Day 1 Flows & Stock Moves

Quiddity TDIV/50/100 Dec 23 Rebal: Inflow Names Could Outperform Outflow Names