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>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

Synnex Technology International / Index Rebalance

Synnex Technology International (2347 TT)

<ul>
<li>There are 15 changes for the TIP Taiwan Value High Dividend Index in November. The Yuanta Taiwan Value High Dividend ETF (00940 TT) has an AUM of US$5bn.</li>
<li>Estimated one-way turnover is 26% and there are 16 stocks with over 4 days of ADV left 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 since July. That could continue over the week as the ETF continues to rebalance their portfolio.</li>
</ul>


There are 15 changes for the TIP Taiwan Value High Dividend Index in November. The Yuanta Taiwan Value High Dividend ETF (00940 TT) has an AUM of US$5bn.
Estimated one-way turnover is 26% and there are 16 stocks with over 4 days of ADV left 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 since July. That could continue over the week as the ETF continues to rebalance their portfolio.


TIP Taiwan Value High Dividend Index Rebalance: A Lot to Trade This Week

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 short interest of TWSE Stocks as of Jun 28th which has an aggregated short interest worth USD100.9bn.</li>
<li>We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.</li>
<li>We highlight short interest changes in Innolux, Evergreen Marine, Largan Precision, Ap Memory Tech, Wistron, Highwealth, Hon Hai, Synnex Tech Intl, Inventec.</li>
</ul>


We analyzed the changes in short interest of TWSE Stocks as of Jun 28th which has an aggregated short interest worth USD100.9bn.
We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.
We highlight short interest changes in Innolux, Evergreen Marine, Largan Precision, Ap Memory Tech, Wistron, Highwealth, Hon Hai, Synnex Tech Intl, Inventec.


TWSE Short Interest Weekly (Jun 28th): Innolux, Evergreen Marine, Largan Precision, Ap Memory Tech

<ul>
<li>We analyzed the changes in foreign holdings of TWSE Stocks as of Jun 14th which has an aggregated holding worth USD4,617.2bn.</li>
<li>We estimate that foreign flows to be inflows of USD6,436mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.</li>
<li>We highlight foreign changes in Hon Hai, TSMC, Mediatek, Quanta Computer, Realtek Semi, Evergreen Marine, Ctbc Financial, Eva Airways, Asia Vital, Asmedia Tech.</li>
</ul>


We analyzed the changes in foreign holdings of TWSE Stocks as of Jun 14th which has an aggregated holding worth USD4,617.2bn.
We estimate that foreign flows to be inflows of USD6,436mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
We highlight foreign changes in Hon Hai, TSMC, Mediatek, Quanta Computer, Realtek Semi, Evergreen Marine, Ctbc Financial, Eva Airways, Asia Vital, Asmedia Tech.


TWSE Foreign Holding Weekly (Jun 14th): Hon Hai, TSMC, Mediatek, Quanta Computer, Realtek Semi

<ul>
<li>We analyzed the changes in foreign holdings of TWSE Stocks as of Jun 7th which has an aggregated holding worth USD4,400.2bn.</li>
<li>We estimate that foreign flows to be outflows of USD12,832mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.</li>
<li>We highlight foreign changes in Realtek Semi, Asmedia Tech, Global Unichip, Yang Ming Marine, Tripod Tech, TSMC, Ctbc Financial, Hon Hai, Asustek Computer, Umc.</li>
</ul>


We analyzed the changes in foreign holdings of TWSE Stocks as of Jun 7th which has an aggregated holding worth USD4,400.2bn.
We estimate that foreign flows to be outflows of USD12,832mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
We highlight foreign changes in Realtek Semi, Asmedia Tech, Global Unichip, Yang Ming Marine, Tripod Tech, TSMC, Ctbc Financial, Hon Hai, Asustek Computer, Umc.


TWSE Foreign Holding Weekly (Jun 7th): Realtek Semi, Asmedia Tech, Global Unichip, Yang Ming Marine

Taiwan

Synnex Technology International Corporation markets personal computers, computer peripherals, multi-media products, network products, computer application software, electronic parts, and telecommunication products.

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Synnex Technology International (2347 TT)

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

TIP Taiwan Value High Dividend Index Rebalance: A Lot to Trade This Week

There are 15 changes a side for the TIP Taiwan Value High Dividend Index in November. Estimated one-way turnover is 26% and there are 16 stocks...

Brian Freitas

TWSE Short Interest Weekly (Jun 28th): Innolux, Evergreen Marine, Largan Precision, Ap Memory Tech

We analyzed TWSE short interest report for the past week and highlighted short interest changes in Innolux, Evergreen Marine, Largan Precision, Ap...

Ke Yan, CFA, FRM

TWSE Foreign Holding Weekly (Jun 14th): Hon Hai, TSMC, Mediatek, Quanta Computer, Realtek Semi

We analyzed TWSE foreign holding data for the past week and highlighted foreign holding changes in Hon Hai, TSMC, Mediatek, Quanta Computer,...

Ke Yan, CFA, FRM

TWSE Foreign Holding Weekly (Jun 7th): Realtek Semi, Asmedia Tech, Global Unichip, Yang Ming Marine

We analyzed TWSE foreign holding data for the past week and highlighted foreign holding changes in Realtek Semi, Asmedia Tech, Global Unichip, Yang...

Ke Yan, CFA, FRM

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