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 upcoming rebalance of the MVIS US Listed Semiconductor 25 Index will be implemented on 17 March. There are no constituent changes, but there are float and capping changes.</li>
<li>The <a href="https://www.smartkarma.com/entities/vaneck-vectors-semiconductor" target="_blank" data-smartkarma-citation="entities:32807:1" rel="noopener">VanEck Vectors Semiconductor (SMH US)</a> ETF tracks the index and has an AUM of US$7.2bn.</li>
<li>Estimated one-way turnover is 4.8% resulting in a one-way trade of US$356m. The stocks are extremely liquid, the impact on the stocks in terms of ADV to trade is small.</li>
</ul>


The upcoming rebalance of the MVIS US Listed Semiconductor 25 Index will be implemented on 17 March. There are no constituent changes, but there are float and capping changes.
The VanEck Vectors Semiconductor (SMH US) ETF tracks the index and has an AUM of US$7.2bn.
Estimated one-way turnover is 4.8% resulting in a one-way trade of US$356m. The stocks are extremely liquid, the impact on the stocks in terms of ADV to trade is small.


MVIS US Listed Semiconductor 25 Index Rebalance: Big Flow, Small Impact

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

<ul>
<li>2023 gameplan remains unchanged; we see limited upside from here for ACWI-US, and we expect a rangebound year of trading on ACWI-US with $93 capping upside and $75-77 capping downside</li>
<li>We also remain overweight Europe/UK, we want to add exposure on pullbacks to China/Hong Kong/EM, and overweight non-U.S. equities (MSCI ACWI ex-US) relative to MSCI ACWI</li>
<li>We highlight buy ideas within Technology, Communications, and Consumer Discretionary. The UK/Europe and Hong Kong/China continue to make up the majority of our buy recommendations</li>
</ul>


2023 gameplan remains unchanged; we see limited upside from here for ACWI-US, and we expect a rangebound year of trading on ACWI-US with $93 capping upside and $75-77 capping downside
We also remain overweight Europe/UK, we want to add exposure on pullbacks to China/Hong Kong/EM, and overweight non-U.S. equities (MSCI ACWI ex-US) relative to MSCI ACWI
We highlight buy ideas within Technology, Communications, and Consumer Discretionary. The UK/Europe and Hong Kong/China continue to make up the majority of our buy recommendations


Major Top on U.S. Dollar; Overweight Non-U.S. And Europe/UK; Buys in Tech, Comm., Discretionary

Taiwan Stock Exchange Weighted Index / Technical Analysis

<ul>
<li>The bear market rally that we have discussed since our Sept. 29 Int'l Compass has managed to surpass our price targets, which were YTD downtrends on the ACWX-US and EFA-US.</li>
<li>As a result of these bullish reversals and breakdowns on the US dollar (DXY) and 10-year Treasury yield, we are upgrading our outlook to neutral.</li>
<li>Buy ideas on a pullback in: Consumer Discretionary, Energy, and Technology/Tech Services</li>
</ul>


The bear market rally that we have discussed since our Sept. 29 Int'l Compass has managed to surpass our price targets, which were YTD downtrends on the ACWX-US and EFA-US.
As a result of these bullish reversals and breakdowns on the US dollar (DXY) and 10-year Treasury yield, we are upgrading our outlook to neutral.
Buy ideas on a pullback in: Consumer Discretionary, Energy, and Technology/Tech Services


Bullish Reversals Continue: TAIEX, KOSPI, AEX, Hang Seng, CSI 300. Buy Cyclicals/Growth on Pullbacks

Taiwan Tech Focused Senior Analyst

Patrick Liao

Equity Bottom-Up

<ul>
<li>The 1st quarter is relatively a lower season. Therefore, we expect that the revenue/NM is about RMB$8. 7bn/9.0% in 1Q22 respectively, which declines ~10% QoQ and grow 30% YoY. </li>
<li>To our understanding, QCOM is still the biggest client in JCET. The rest of clients have changing a bit in JCET since Huawei was being driven out.</li>
<li>Overall speaking, China is devoted in developing OSAT (Outsource Semiconductor Assembly and Packaging) business, and the gap shall be close to ASEH and Amkor. </li>
</ul>


The 1st quarter is relatively a lower season. Therefore, we expect that the revenue/NM is about RMB$8. 7bn/9.0% in 1Q22 respectively, which declines ~10% QoQ and grow 30% YoY. 
To our understanding, QCOM is still the biggest client in JCET. The rest of clients have changing a bit in JCET since Huawei was being driven out.
Overall speaking, China is devoted in developing OSAT (Outsource Semiconductor Assembly and Packaging) business, and the gap shall be close to ASEH and Amkor. 


JCET (600584.CN): The 1Q22 Will Be a Lower Season, and the Recent Ukraine Crisis Did Post a Shadow.

<ul>
<li>The GlobalWafers announced the deal to merge Siltronic did not get the approval by Germany government this morning. <strong>We maintain our Target Price for GlobalWafers doesn’t change at NT$880~960.</strong>
</li>
<li>The GlobalWafers points out that the results will not influence business activities, and the European market remains the importance for GlobalWafers.</li>
<li>
<strong>Comparing to 20s years ago, we think the semiconductor market has experienced a dramatic changes already</strong>.</li>
</ul>


The GlobalWafers announced the deal to merge Siltronic did not get the approval by Germany government this morning. We maintain our Target Price for GlobalWafers doesn’t change at NT$880~960.

The GlobalWafers points out that the results will not influence business activities, and the European market remains the importance for GlobalWafers.

Comparing to 20s years ago, we think the semiconductor market has experienced a dramatic changes already.


GlobalWafers (6488.TT): Maintain Target Price at NT$880-960 for Siltronic Mergence Failed

Singapore

STMicroelectronics N.V. designs, develops, manufactures, and markets semiconductor integrated circuits and discrete devices. The Company's products are used in the telecommunications, consumer electronics, automotive, computer, and industrial sectors. Geographically, customers are located in North America, Europe, and the Asia Pacific region.

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STMicroelectronics NV (STM US)

MVIS US Listed Semiconductor 25 Index Rebalance: Big Flow, Small Impact

No constituent changes, but there are float/capping changes. Estimated one-way turnover is 4.8% resulting in a one-way trade of US$356m. Stocks are...

Brian Freitas

Major Top on U.S. Dollar; Overweight Non-U.S. And Europe/UK; Buys in Tech, Comm., Discretionary

The $DXY broke below 5-year support at $103, signaling a major top in place. This is bullish for risk assets, and is another sign suggesting the...

Vermilion Research

Bullish Reversals Continue: TAIEX, KOSPI, AEX, Hang Seng, CSI 300. Buy Cyclicals/Growth on Pullbacks

Bullish reversals: Taiwan $TAIEX, Korea $KOSPI, Netherlands' $AEX reversing YTD downtrends, while Hang Seng $HSI and China's CSI 300 are reversing...

Vermilion Research

JCET (600584.CN): The 1Q22 Will Be a Lower Season, and the Recent Ukraine Crisis Did Post a Shadow.

Usually, the 1st quarter is relatively a lower season. Therefore, we will expect that the revenue/NM is about RMB$8. 7bn/9.0% in 1Q22 respectively,...

Patrick Liao

GlobalWafers (6488.TT): Maintain Target Price at NT$880-960 for Siltronic Mergence Failed

The GlobalWafers announces the deal to merge Siltronic did not get the approval by Germany government this morning. We maintain our target price...

Patrick Liao

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