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

Yang Ming Marine Transport / Index Rebalance

<ul>
<li>The TIP Taiwan Select High Dividend ETF (00919 TW) tracks the TIP Customized Taiwan Select High Dividend Index and has an AUM of TWD 363bn (US$12.1bn).</li>
<li>Following a change in methodology, there could be 16 adds and 6 deletes in June with an estimated one-way turnover of 39% and a round-trip trade of US$9bn.</li>
<li>We expect the adds to outperform the deletes over the next few days, following which reversion could set in.</li>
</ul>


The TIP Taiwan Select High Dividend ETF (00919 TW) tracks the TIP Customized Taiwan Select High Dividend Index and has an AUM of TWD 363bn (US$12.1bn).
Following a change in methodology, there could be 16 adds and 6 deletes in June with an estimated one-way turnover of 39% and a round-trip trade of US$9bn.
We expect the adds to outperform the deletes over the next few days, following which reversion could set in.


TIP Customized Taiwan Select High Div Index Rebal Preview: Methodology Change Leads to US$9bn Trade

<ul>
<li>There are 10 changes for the TIP Taiwan Value High Dividend Index in May. The Yuanta Taiwan Value High Dividend ETF (00940 TT) has an AUM of US$4.4bn.</li>
<li>Estimated one-way turnover is 25.2% and there are 12 stocks with over 4 days of ADV to trade. The rebalance commenced yesterday and will end on Friday.</li>
<li>An equal weighted basket of inclusions has outperformed an equal weighted basket of deletions over the last month. That could continue near-term as the ETF continues to rebalance their portfolio.</li>
</ul>


There are 10 changes for the TIP Taiwan Value High Dividend Index in May. The Yuanta Taiwan Value High Dividend ETF (00940 TT) has an AUM of US$4.4bn.
Estimated one-way turnover is 25.2% and there are 12 stocks with over 4 days of ADV to trade. The rebalance commenced yesterday and will end on Friday.
An equal weighted basket of inclusions has outperformed an equal weighted basket of deletions over the last month. That could continue near-term as the ETF continues to rebalance their portfolio.


TIP Taiwan Value High Dividend Index Rebalance: 10 Changes Implemented This Week; US$2.2bn Trade

Tracking developments across tech supply chains, Tech Supply Chain Tracker

Tech Supply Chain Tracker

Tracking developments across tech supply chains

Equity Bottom-Up

<ul><li>China smartphone market in 4Q 2024 expected to see growth, intensifying competition among top brands.</li><li>GlobalWafers remains stable despite uncertainty around US CHIPS Act funding.</li><li>Yageo surprises with Shibaura Electronics takeover bid, Foxconn proposes partnership with Nissan, Forces Mos wins patent case against Asus.</li></ul>

China smartphone market in 4Q 2024 expected to see growth, intensifying competition among top brands.GlobalWafers remains stable despite uncertainty around US CHIPS Act funding.Yageo surprises with Shibaura Electronics takeover bid, Foxconn proposes partnership with Nissan, Forces Mos wins patent case against Asus.

Tech Supply Chain Tracker (15-Feb-2025): China smartphone market, 4Q '24

<ul>
<li>There are 8 changes a side for the TIP Customized Taiwan Select High Dividend Index in December. The TIP Taiwan Select High Dividend ETF (00919TW) has an AUM of US$9.3bn.</li>
<li>Estimated one-way turnover is 17.2% and that will result in a round-trip trade of US$3.2bn. All adds and deletes have over 5x ADV to trade from passive trackers.</li>
<li>The rebalance will be implemented over 8 trading days and the ETF started trading some stocks late last week and the rest from 17 December.</li>
</ul>


There are 8 changes a side for the TIP Customized Taiwan Select High Dividend Index in December. The TIP Taiwan Select High Dividend ETF (00919TW) has an AUM of US$9.3bn.
Estimated one-way turnover is 17.2% and that will result in a round-trip trade of US$3.2bn. All adds and deletes have over 5x ADV to trade from passive trackers.
The rebalance will be implemented over 8 trading days and the ETF started trading some stocks late last week and the rest from 17 December.


TIP Customized Taiwan Select High Dividend Index Rebalance: US$3.2bn Trade with BIG Impact

<ul>
<li>The TIP Taiwan Select High Dividend ETF (00919 TW) tracks the TIP Customized Taiwan Select High Dividend Index and has an AUM of TWD 285bn (US$8.75bn).</li>
<li>We forecast 8 changes a side at the December rebalance with an estimated one-way turnover of around 16% and a round-trip trade of around US$2.8bn.</li>
<li>An equal weighted basket of potential inclusions has outperformed an equal weighted basket of potential deletions since the start of July with most of the outperformance coming from September.</li>
</ul>


The TIP Taiwan Select High Dividend ETF (00919 TW) tracks the TIP Customized Taiwan Select High Dividend Index and has an AUM of TWD 285bn (US$8.75bn).
We forecast 8 changes a side at the December rebalance with an estimated one-way turnover of around 16% and a round-trip trade of around US$2.8bn.
An equal weighted basket of potential inclusions has outperformed an equal weighted basket of potential deletions since the start of July with most of the outperformance coming from September.


TIP Customized Taiwan Select High Div Index Rebalance Preview: US$2.8bn Trade as Adds Outperform

Taiwan

Sino-American Silicon Products Inc. supplies silicon-based products, including silicon lapped wafer, silicon diffusion wafer, silicon ingot, silicon diffused diode chip, and automobile rectifier.  The Company sells its products worldwide.

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Sino American Silicon Products (5483 TT)

TIP Customized Taiwan Select High Div Index Rebal Preview: Methodology Change Leads to US$9bn Trade

A change in methodology could result in 16 adds and 6 deletes in June leading to one-way turnover of 39% and a round-trip trade of US$9bn. The adds...

Brian Freitas

TIP Taiwan Value High Dividend Index Rebalance: 10 Changes Implemented This Week; US$2.2bn Trade

There are 10 index changes in May. Estimated one-way turnover is 25.2% and trade is US$2.2bn. 12 stocks with over 4x ADV to trade. Multiple stocks...

Brian Freitas

Tech Supply Chain Tracker (15-Feb-2025): China smartphone market, 4Q '24

China's smartphone market is growing, GlobalWafers remains stable, quantum computing advances, Yageo bids for Shibaura Electronics, Foxconn...

Tech Supply Chain Tracker

TIP Customized Taiwan Select High Dividend Index Rebalance: US$3.2bn Trade with BIG Impact

There are 8 changes for the index. Estimated one-way turnover is 17.2% and round-trip trade is US$3.2bn. All add/deletes have over 5x ADV to trade...

Brian Freitas

TIP Customized Taiwan Select High Div Index Rebalance Preview: US$2.8bn Trade as Adds Outperform

Announcement of the changes will made post market close today. The potential adds and deletes have performed in line since the end of the review...

Brian Freitas

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