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

<ul>
<li>
<a href="https://www.smartkarma.com/entities/kokusai-electric-corp" target="_blank" data-smartkarma-citation="entities:40152:1" rel="noopener">Kokusai Electric (6525 JP)</a> could price their secondary offering after market close today. The stock is down 10.5% since the rumors of the placement began 7 trading sessions ago.</li>
<li>The <a href="https://www.smartkarma.com/entities/philadelphia-stock-exchange-semiconductor-index" target="_blank" data-smartkarma-citation="entities:32992:1" rel="noopener">Philadelphia Stock Exchange Semiconductor Index (SOX INDEX)</a> has been dropping over the last few days and is 8.6% lower over the last 8 trading days.</li>
<li>
<a href="https://www.smartkarma.com/entities/kokusai-electric-corp" target="_blank" data-smartkarma-citation="entities:40152:1" rel="noopener">Kokusai Electric (6525 JP)</a> has been trading higher on expectations of index inclusion in August, but that could move to November now.</li>
</ul>



Kokusai Electric (6525 JP) could price their secondary offering after market close today. The stock is down 10.5% since the rumors of the placement began 7 trading sessions ago.
The Philadelphia Stock Exchange Semiconductor Index (SOX INDEX) has been dropping over the last few days and is 8.6% lower over the last 8 trading days.

Kokusai Electric (6525 JP) has been trading higher on expectations of index inclusion in August, but that could move to November now.


Kokusai Electric (6525 JP): Placement Price Could Be Determined Today; Index Impact Could Be Delayed

<ul>
<li>
<a href="https://www.smartkarma.com/entities/nuvoton-technology-corp" target="_blank" data-smartkarma-citation="entities:15913:1" rel="noopener">Nuvoton Technology (4919 TT)</a> should be deleted from the Yuanta/​P-Shares Taiwan Dividend Plus ETF in September and that will trigger selling of over 4 days of ADV.</li>
<li>
<a href="https://www.smartkarma.com/entities/nuvoton-technology-corp" target="_blank" data-smartkarma-citation="entities:15913:1" rel="noopener">Nuvoton Technology (4919 TT)</a> has underperformed most of its peers since the start of the calendar year and shorts have started to increase in the stock.</li>
<li>Positioning appears light and the recent deletion from an index has increased the real float of the stock. Recent semiconductor weakness could further pressure the stock.</li>
</ul>



Nuvoton Technology (4919 TT) should be deleted from the Yuanta/​P-Shares Taiwan Dividend Plus ETF in September and that will trigger selling of over 4 days of ADV.

Nuvoton Technology (4919 TT) has underperformed most of its peers since the start of the calendar year and shorts have started to increase in the stock.
Positioning appears light and the recent deletion from an index has increased the real float of the stock. Recent semiconductor weakness could further pressure the stock.


Yuanta/​P-Shares Taiwan Div+ ETF Rebalance Preview: Nuvoton Deletion & Positioning

<ul>
<li>
<a href="https://www.smartkarma.com/entities/kokusai-electric-corp" target="_blank" data-smartkarma-citation="entities:40152:1" rel="noopener">Kokusai Electric (6525 JP)</a>'s listing has been approved by the JPX and the stock is expected to start trading on the Prime Market from 25 October.</li>
<li>At the reported indicative IPO price of JPY 1890/share, <a href="https://www.smartkarma.com/entities/kokusai-electric-corp" target="_blank" data-smartkarma-citation="entities:40152:1" rel="noopener">Kokusai Electric (6525 JP)</a> will be valued at JPY 435bn (US$2.94bn).</li>
<li>The stock should be added to the <a href="https://www.smartkarma.com/entities/tokyo-stock-exchange-tokyo-price-index-topix" target="_blank" data-smartkarma-citation="entities:22910:1" rel="noopener">TPX INDEX</a> at the close on 29 November where trackers will need to buy over 14% of the stock issued in the IPO.</li>
</ul>



Kokusai Electric (6525 JP)'s listing has been approved by the JPX and the stock is expected to start trading on the Prime Market from 25 October.
At the reported indicative IPO price of JPY 1890/share, Kokusai Electric (6525 JP) will be valued at JPY 435bn (US$2.94bn).
The stock should be added to the TPX INDEX at the close on 29 November where trackers will need to buy over 14% of the stock issued in the IPO.


Kokusai Electric (6525 JP) IPO: Listing in October, TPX Inclusion in November, Global Indices Later

Index Rebalance

<ul>
<li>The coming week has the rebalance implementation for the NIFTY family of indices on Thursday and the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> on Friday.</li>
<li>The review period for the December rebalance of the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng Index</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">Hang Seng China Enterprises Index</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">Hang Seng TECH Index</a> and the HSCI Index ends on Friday.</li>
<li>Inflows to mainland China ETFs resumed following a pause as markets continue to trade weak.</li>
</ul>


The coming week has the rebalance implementation for the NIFTY family of indices on Thursday and the Nikkei 225 (NKY INDEX) on Friday.
The review period for the December rebalance of the Hang Seng Index, Hang Seng China Enterprises Index, Hang Seng TECH Index and the HSCI Index ends on Friday.
Inflows to mainland China ETFs resumed following a pause as markets continue to trade weak.


Index Rebalance & ETF Flow Recap: HSI, HSCI, ASX, SET50, Wharf, SK Tel, Tata Motors, Midea, PCOMP

TSMC (Taiwan Semiconductor Manufacturing) / Event-Driven

TSMC (Taiwan Semiconductor Manufacturing) (TSM US)

TSMC (Taiwan Semiconductor Manufacturing)

<ul>
<li>Overnight, <a href="https://www.smartkarma.com/entities/berkshire-hathaway-inc-cl-b" target="_blank" data-smartkarma-citation="entities:8635:1" rel="noopener">Berkshire Hathaway Inc Cl B (BRK/B US)</a> announced that it held 60.06m shares (US$4.43bn) of <a href="https://www.smartkarma.com/entities/taiwan-semiconductor-sp-adr" target="_blank" data-smartkarma-citation="entities:8587:1" rel="noopener">Taiwan Semiconductor (TSMC) - ADR (TSM US)</a> as of 30 September.</li>
<li>That caused the ADR to spike after-hours and the local shares have rallied 8% today to close the gap with the ADR.</li>
<li>The ADR premium is trading near the lows and with Berkshire buying up a substantial chunk, <a href="https://www.smartkarma.com/entities/taiwan-semiconductor-sp-adr" target="_blank" data-smartkarma-citation="entities:8587:1" rel="noopener">Taiwan Semiconductor (TSMC) - ADR</a> should trade at a bigger premium to <a href="https://www.smartkarma.com/entities/taiwan-semiconductor-manufacturing-company" target="_blank" data-smartkarma-citation="entities:11230:1" rel="noopener">Taiwan Semiconductor (2330)</a>.</li>
</ul>


Overnight, Berkshire Hathaway Inc Cl B (BRK/B US) announced that it held 60.06m shares (US$4.43bn) of Taiwan Semiconductor (TSMC) - ADR (TSM US) as of 30 September.
That caused the ADR to spike after-hours and the local shares have rallied 8% today to close the gap with the ADR.
The ADR premium is trading near the lows and with Berkshire buying up a substantial chunk, Taiwan Semiconductor (TSMC) - ADR should trade at a bigger premium to Taiwan Semiconductor (2330).


TSMC (TSM/2330 TT): Berkshire Buying Could Push ADR Premium Higher

United States

The Philadelphia Semiconductor Index is a modified capitalization-weighted index comprised of companies that are involved in the design, distribution, manufacturing and sale of semiconductors. The index was developed with a base value of 100 as of december 1, 1993. Index methodology changed from Price-weighted as of 12/21/2009.

Philadelphia Stock Exchange Semiconductor Index (SOX INDEX)

Philadelphia Stock Exchange Semiconductor Index

Philadelphia Stock Exchange Semiconductor Index (SOX INDEX)

Kokusai Electric (6525 JP): Placement Price Could Be Determined Today; Index Impact Could Be Delayed

Kokusai Electric had run up versus the SOX Index. Then, Kokusai Electric underperformed the SOX during the selloff. With an early (surprise) index...

Brian Freitas

Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: Nuvoton Deletion & Positioning

Nuvoton Tech should be deleted from the Yuanta/P-Shares Taiwan Div Plus ETF in September and that will trigger selling of over 4x ADV. Positioning...

Brian Freitas

Kokusai Electric (6525 JP) IPO: Listing in October, TPX Inclusion in November, Global Indices Later

Kokusai Electric starts trading today. Initial passive demand will come from TOPIX trackers next month. Flow from global passive trackers will come...

Brian Freitas

Index Rebalance & ETF Flow Recap: HSI, HSCI, ASX, SET50, Wharf, SK Tel, Tata Motors, Midea, PCOMP

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

Brian Freitas

TSMC (TSM/2330 TT): Berkshire Buying Could Push ADR Premium Higher

Berkshire buying 60m TSM US will reduce supply. A rising SOX could increase demand for TSM US at the same time. The ADR premium to the local shares...

Brian Freitas

Kokusai Electric (6525 JP): Placement Price Could Be Determined Today; Index Impact Could Be Delayed

Kokusai Electric had run up versus the SOX Index. Then, Kokusai Electric underperformed the SOX during the selloff. With an early (surprise) index...

Brian Freitas

Yuanta/​P-Shares Taiwan Div+ ETF Rebalance Preview: Nuvoton Deletion & Positioning

Nuvoton Tech should be deleted from the Yuanta/​P-Shares Taiwan Div Plus ETF in September and that will trigger selling of over 4x ADV. Positioning...

Brian Freitas

Kokusai Electric (6525 JP) IPO: Listing in October, TPX Inclusion in November, Global Indices Later

Kokusai Electric starts trading today. Initial passive demand will come from TOPIX trackers next month. Flow from global passive trackers will come...

Brian Freitas

Index Rebalance & ETF Flow Recap: HSI, HSCI, ASX, SET50, Wharf, SK Tel, Tata Motors, Midea, PCOMP

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

Brian Freitas

TSMC (TSM/2330 TT): Berkshire Buying Could Push ADR Premium Higher

Berkshire buying 60m TSM US will reduce supply. A rising SOX could increase demand for TSM US at the same time. The ADR premium to the local shares...

Brian Freitas

Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: Nuvoton Deletion & Positioning

Nuvoton Tech should be deleted from the Yuanta/P-Shares Taiwan Div Plus ETF in September and that will trigger selling of over 4x ADV. Positioning...