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

Index Rebalance

<ul>
<li>The WisdomTree Emerging Markets High Dividend Index is a fundamentally weighted index that measures the performance of high dividend yield stocks within emerging markets.</li>
<li>The October rebalance will result in a one-way turnover of ~37% and in a one-way trade of US$926m. There are 92 stocks with over 1 day of ADV to trade.</li>
<li>In Asia, the largest buy flows are expected on <a href="https://www.smartkarma.com/entities/astra-international-tbk-pt" target="_blank" data-smartkarma-citation="entities:46:1" rel="noopener">Astra International (ASII IJ)</a> and the largest sell flows on <a href="https://www.smartkarma.com/entities/posco-holdings-inc" target="_blank" data-smartkarma-citation="entities:208:1" rel="noopener">POSCO Holdings (005490 KS)</a>. </li>
</ul>


The WisdomTree Emerging Markets High Dividend Index is a fundamentally weighted index that measures the performance of high dividend yield stocks within emerging markets.
The October rebalance will result in a one-way turnover of ~37% and in a one-way trade of US$926m. There are 92 stocks with over 1 day of ADV to trade.
In Asia, the largest buy flows are expected on Astra International (ASII IJ) and the largest sell flows on POSCO Holdings (005490 KS). 


WisdomTree Emerging Markets High Dividend Index Rebalance: Huge Turnover & Trade Next Week

Managing Director, Zero One, Zero One

Vincent Fernando, CFA

Managing Director, Zero One

Zero One

Founded in 2015, Zero One produces independent investment research and provides corporate finance advisory services with a focus on both listed and private technology companies. Founder Vincent Fernando has over 20 years of experience in US and Asia capital markets.

Independent Investment Research

Equity Bottom-Up

TSMC (Taiwan Semiconductor Manufacturing) / Equity Bottom-Up

TSMC (Taiwan Semiconductor Manufacturing) (2330 TT)

TSMC (Taiwan Semiconductor Manufacturing)

<ul>
<li>Samsung Electronics and Nanya Technology will report their results this week. Samsung could reportedly increase NAND prices this month, giving a potential hint to the memory outlook they will provide.</li>
<li>Hon Hai will begin mass production of its Model C electric car in 4Q23E in Taiwan. This will provide a proof point for Hon Hai's global EV platform business model.</li>
<li>Top gainers recently have included rebounding AI names -- One can consider using the bounce to find AI shorts to pair against an Nvidia long.</li>
</ul>


Samsung Electronics and Nanya Technology will report their results this week. Samsung could reportedly increase NAND prices this month, giving a potential hint to the memory outlook they will provide.
Hon Hai will begin mass production of its Model C electric car in 4Q23E in Taiwan. This will provide a proof point for Hon Hai's global EV platform business model.
Top gainers recently have included rebounding AI names -- One can consider using the bounce to find AI shorts to pair against an Nvidia long.


Taiwan Tech Weekly: Samsung & Nanya Earnings; AI Names Rebound Again

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 Sep 29th which has an aggregated holding worth USD318.8bn.</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 outflows of USD776mln and highlight foreign changes in Gigabyte, Hon Hai, Novatek, Quanta, Asia Vital.</li>
</ul>


We analyzed the changes in foreign holdings of TWSE Stocks as of Sep 29th which has an aggregated holding worth USD318.8bn.
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 outflows of USD776mln and highlight foreign changes in Gigabyte, Hon Hai, Novatek, Quanta, Asia Vital.


TWSE Foreign Holding Weekly (Sep 29th): Gigabyte, Hon Hai, Novatek, Quanta, Asia Vital

TSMC (Taiwan Semiconductor Manufacturing) (TSM US)

<ul>
<li>Intel kicked off its Innovation conference and announced that its new PC processors with built-in AI coprocessors would launch December 14th. This is positive for the PC supply chain.</li>
<li>Many types of existing software that used to require expert users can become more valuable with AI capabilities; we believe tomorrow's AI PC killer apps could be in plain sight.</li>
<li>Himax Long vs. Novatek Short. Himax is at historically very cheap level relative to Novatek, yet both are exposed to similar display end-markets.</li>
</ul>


Intel kicked off its Innovation conference and announced that its new PC processors with built-in AI coprocessors would launch December 14th. This is positive for the PC supply chain.
Many types of existing software that used to require expert users can become more valuable with AI capabilities; we believe tomorrow's AI PC killer apps could be in plain sight.
Himax Long vs. Novatek Short. Himax is at historically very cheap level relative to Novatek, yet both are exposed to similar display end-markets.


Taiwan Tech Weekly: Intel 'AI PC' Chips On Track to Drive 2024E PC Supply Chain

<ul>
<li>TSMC will report its 2Q23 results today in the afternoon Taiwan time. Look for key readthroughs from the company in terms of robustness of the AI boom and PC recovery.</li>
<li>AMD's Chairman and CEO arrived in Taiwan and met with key supply chain partners -- Related stocks are surging; ASML beat expectations and raised its guidance.</li>
<li>Taiwan AI,  PC-linked, and AMD-linked shares are flying; Our recent Memory Monitor piece also highlights signs that the DRAM cycle has bottomed.</li>
</ul>


TSMC will report its 2Q23 results today in the afternoon Taiwan time. Look for key readthroughs from the company in terms of robustness of the AI boom and PC recovery.
AMD's Chairman and CEO arrived in Taiwan and met with key supply chain partners -- Related stocks are surging; ASML beat expectations and raised its guidance.
Taiwan AI,  PC-linked, and AMD-linked shares are flying; Our recent Memory Monitor piece also highlights signs that the DRAM cycle has bottomed.


Taiwan Tech Weekly: TSMC Results Today; ASML Beats & Raises; AMD in Taiwan Sparking Rallies

Taiwan

Micro-Star International Co., Ltd. manufactures and markets motherboards and video graphic accelerate (VGA) cards.  The Company exports its products to Europe, North America, and other Asian countries.

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Micro Star International (2377 TT)

WisdomTree Emerging Markets High Dividend Index Rebalance: Huge Turnover & Trade Next Week

There are 265 adds/215 deletes for the WisdomTree Emerging Markets High Dividend Index. One-way turnover is 37% resulting in a one-way trade of...

Brian Freitas

Taiwan Tech Weekly: Samsung & Nanya Earnings; AI Names Rebound Again

Top gainers recently have included rebounding AI names -- One can consider using the bounce to find AI shorts to pair against an Nvidia long.

Vincent Fernando, CFA

TWSE Foreign Holding Weekly (Sep 29th): Gigabyte, Hon Hai, Novatek, Quanta, Asia Vital

We analyzed TWSE foreign holding data for the past week and highlight foreign holding changes in Gigabyte, Hon Hai, Novatek, Quanta, Asia Vital.

Ke Yan, CFA, FRM

Taiwan Tech Weekly: Intel 'AI PC' Chips On Track to Drive 2024E PC Supply Chain

Many types of existing software that used to require expert users can become more valuable with AI capabilities; we believe tomorrow's AI PC killer...

Vincent Fernando, CFA

Taiwan Tech Weekly: TSMC Results Today; ASML Beats & Raises; AMD in Taiwan Sparking Rallies

TSMC will report its 2Q23 results today in the afternoon Taiwan time. Look for key readthroughs from the company in terms of robustness of the AI...

Vincent Fernando, CFA

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