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>JFSL spun off from <a href="https://www.smartkarma.com/entities/reliance-industries-ltd" target="_blank" data-smartkarma-citation="entities:198:1" rel="noopener">Reliance Industries (RIL IN)</a> last week and <a href="https://www.smartkarma.com/entities/ventia-services-group" target="_blank" data-smartkarma-citation="entities:34917:1" rel="noopener">Ventia (VNT AU)</a> replaced <a href="https://www.smartkarma.com/entities/blackmores-ltd" target="_blank" data-smartkarma-citation="entities:928:1" rel="noopener">Blackmores Ltd (BKL AU)</a> in the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a>. </li>
<li>The IDX should announce the changes to the IDX30, LQ45 and IDX80 indices early in the coming week.</li>
<li>There were inflows to <a href="https://www.smartkarma.com/entities/tracker-fund-of-hong-kong-ltd" target="_blank" data-smartkarma-citation="entities:29257:1" rel="noopener">Tracker Fund of Hong Kong Ltd (2800 HK)</a> and <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index-etf" target="_blank" data-smartkarma-citation="entities:25:1" rel="noopener">Hang Seng H Share Index ETF (2828 HK)</a> while Taiwan focused ETFs had outflows.</li>
</ul>


JFSL spun off from Reliance Industries (RIL IN) last week and Ventia (VNT AU) replaced Blackmores Ltd (BKL AU) in the S&amp;P/ASX 200 (AS51 INDEX). 
The IDX should announce the changes to the IDX30, LQ45 and IDX80 indices early in the coming week.
There were inflows to Tracker Fund of Hong Kong Ltd (2800 HK) and Hang Seng H Share Index ETF (2828 HK) while Taiwan focused ETFs had outflows.


Index Rebalance & ETF Flow Recap: ASX, SK Telecom, Yuanta ETFs

Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>In this insight, we take a look at Quiddity's flow expectations for the September 2023 index rebalance.</li>
<li>Since my last insight, my estimate for the tracking AUM estimate assumption for September 2023 has increased and has caused changes to my flow expectations.</li>
<li>Separately, the SHORTs suggested in my last insight have underperformed the index by 15.6% in 3 weeks. I have updated my thoughts on that as well.</li>
</ul>


In this insight, we take a look at Quiddity's flow expectations for the September 2023 index rebalance.
Since my last insight, my estimate for the tracking AUM estimate assumption for September 2023 has increased and has caused changes to my flow expectations.
Separately, the SHORTs suggested in my last insight have underperformed the index by 15.6% in 3 weeks. I have updated my thoughts on that as well.


Quiddity Leaderboard TDIV Sep 23: AUM Assumption Changes Again; SHORTs Down 15.6% Vs Index

Event-Driven

<ul>
<li>In this insight, we take a look at the names leading the race to become ADDs/DELs for the T50 and T100 Indices for the September 2023 Rebalance.</li>
<li>Some semiconductor/electronic component stocks have seen their share prices skyrocket in recent months due to AI-related excitement causing drastic shifts in Leaderboard rankings.</li>
<li>In my last insight, I expected two T50 changes and one T100 change. Now I expect five T50 changes and three T100 changes.</li>
</ul>


In this insight, we take a look at the names leading the race to become ADDs/DELs for the T50 and T100 Indices for the September 2023 Rebalance.
Some semiconductor/electronic component stocks have seen their share prices skyrocket in recent months due to AI-related excitement causing drastic shifts in Leaderboard rankings.
In my last insight, I expected two T50 changes and one T100 change. Now I expect five T50 changes and three T100 changes.


Quiddity Leaderboard T50/​​100 Sep 23: AI Frenzy Causes Many Changes to Expectations

<ul>
<li>In this insight, we take a look at Quiddity's flow expectations for the September 2023 index rebalance.</li>
<li>Since the semi-annual rebalance events are in June and December, there will not be any "regular" changes caused by dividend-yield rankings.</li>
<li>However, external factors such as deletion from the selection universe and a shift in tracking AUM assumptions can still trigger US$130mn capping flows in September 2023.</li>
</ul>


In this insight, we take a look at Quiddity's flow expectations for the September 2023 index rebalance.
Since the semi-annual rebalance events are in June and December, there will not be any "regular" changes caused by dividend-yield rankings.
However, external factors such as deletion from the selection universe and a shift in tracking AUM assumptions can still trigger US$130mn capping flows in September 2023.


Quiddity Leaderboard TDIV Sep 23: Potential ~US$130mn Flows Caused by T100 DEL and AUM Change

<ul>
<li>In this insight, we take a look at the names leading the race to become ADDs/DELs for the T50 and T100 Indices for the September 2023 Rebalance.</li>
<li>At present, I see two changes for the T50 index and one change for the T100 index.</li>
<li>The T100 change is an important one as the expected DEL <a href="https://www.smartkarma.com/entities/wisdom-marine-lines-co-ltd" target="_blank" data-smartkarma-citation="entities:10001:1" rel="noopener">Wisdom Marine Lines (2637 TT)</a> could also get deleted from the TDIV index.</li>
</ul>


In this insight, we take a look at the names leading the race to become ADDs/DELs for the T50 and T100 Indices for the September 2023 Rebalance.
At present, I see two changes for the T50 index and one change for the T100 index.
The T100 change is an important one as the expected DEL Wisdom Marine Lines (2637 TT) could also get deleted from the TDIV index.


Quiddity Leaderboard T50/​100 Jun 23: Wisdom Marine Facing TDIV Deletion

Taiwan

Wisdom Marine Lines Company Ltd. transports freight by ship.  The Company operates bulk carriers, loggers, tweendeckers, multipurpose ships, roll-on and roll-offs, and container ships.

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Wisdom Marine Lines (2637 TT)

Index Rebalance & ETF Flow Recap: ASX, SK Telecom, Yuanta ETFs

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

Brian Freitas

Quiddity Leaderboard TDIV Sep 23: AUM Assumption Changes Again; SHORTs Down 15.6% Vs Index

Based on current data, I see one-way capping flows of US$145mn which translates to a turnover of roughly 2.0%. However, impacts are low for most...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard T50/100 Sep 23: AI Frenzy Causes Many Changes to Expectations

T100 expected DEL Wisdom Marine Lines (2637 TT) is also a TDIV member and could be deleted from the TDIV index which would influence the TDIV...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard TDIV Sep 23: Potential ~US$130mn Flows Caused by T100 DEL and AUM Change

Among the outflow names, the expected DEL Wisdom Marine could have 9.4 days to sell. Apart from that, Farglory Land Development (5522 TT) could...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard T50/100 Jun 23: Wisdom Marine Facing TDIV Deletion

Lite On Tech and Wistron Corp could move from T100 to T50 while Walsin Lihwa and Wan Hai Lines could move from T50 to T100. Aerospace Industrial...

Janaghan Jeyakumar, CFA

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Index Rebalance & ETF Flow Recap: ASX, SK Telecom, Yuanta ETFs

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

Brian Freitas

Quiddity Leaderboard TDIV Sep 23: AUM Assumption Changes Again; SHORTs Down 15.6% Vs Index

Based on current data, I see one-way capping flows of US$145mn which translates to a turnover of roughly 2.0%. However, impacts are low for most...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard T50/​​100 Sep 23: AI Frenzy Causes Many Changes to Expectations

T100 expected DEL Wisdom Marine Lines (2637 TT) is also a TDIV member and could be deleted from the TDIV index which would influence the TDIV...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard TDIV Sep 23: Potential ~US$130mn Flows Caused by T100 DEL and AUM Change

Among the outflow names, the expected DEL Wisdom Marine could have 9.4 days to sell. Apart from that, Farglory Land Development (5522 TT) could...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard T50/​100 Jun 23: Wisdom Marine Facing TDIV Deletion

Lite On Tech and Wistron Corp could move from T100 to T50 while Walsin Lihwa and Wan Hai Lines could move from T50 to T100. Aerospace Industrial...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard T50/100 Sep 23: AI Frenzy Causes Many Changes to Expectations

Quiddity Leaderboard T50/100 Jun 23: Wisdom Marine Facing TDIV Deletion