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 JPX Nikkei 400 index rebalance will take place on Wednesday, MSIC on Thursday and <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">HSTECH</a> and HSCI on Friday.</li>
<li>There are review cutoffs for the MVIS family of indices, and multiple announcements of changes to various indices during the week.</li>
<li>There were inflows to mainland China ETFs, <a href="https://www.smartkarma.com/entities/ishares-msci-india-etf" target="_blank" data-smartkarma-citation="entities:282:1" rel="noopener">iShares India ETF (INDA)</a>, <a href="https://www.smartkarma.com/entities/ishares-msci-india-small-cap" target="_blank" data-smartkarma-citation="entities:32064:1" rel="noopener">Ishares India Small-Cap (SMIN)</a> and <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets-223f5da3-7054-4e4f-bc55-b7f0852c2581" target="_blank" data-smartkarma-citation="entities:31998:1" rel="noopener">iShares EmergingMarkets ex China (EMXC)</a> while there were outflows for <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets" target="_blank" data-smartkarma-citation="entities:438:1" rel="noopener">iShares Emerging Markets (EEM)</a>.</li>
</ul>


The JPX Nikkei 400 index rebalance will take place on Wednesday, MSIC on Thursday and HSI, HSCEI, HSTECH and HSCI on Friday.
There are review cutoffs for the MVIS family of indices, and multiple announcements of changes to various indices during the week.
There were inflows to mainland China ETFs, iShares India ETF (INDA), Ishares India Small-Cap (SMIN) and iShares EmergingMarkets ex China (EMXC) while there were outflows for iShares Emerging Markets (EEM).


Index Rebalance & ETF Flow Recap: HSCEI, HSI, HSTECH, Yuanta ETFs, China ETFs, REMX, KOSPI

Event-Driven

<ul>
<li>There should be 4 changes to the Yuanta/​P-Shares Taiwan Top 50 ETF and 1 deletion for the Yuanta/​P-Shares Taiwan Dividend Plus ETF in September.</li>
<li>The potential adds are driven by the AI-frenzy that has swept the market for the last few months. Most potential deletions are shipping stocks that are way off their highs.</li>
<li>Short interest on the potential deletions is high in terms of days of ADV and free float. The rise in shorts on the potential adds is being rapidly covered.</li>
</ul>


There should be 4 changes to the Yuanta/​P-Shares Taiwan Top 50 ETF and 1 deletion for the Yuanta/​P-Shares Taiwan Dividend Plus ETF in September.
The potential adds are driven by the AI-frenzy that has swept the market for the last few months. Most potential deletions are shipping stocks that are way off their highs.
Short interest on the potential deletions is high in terms of days of ADV and free float. The rise in shorts on the potential adds is being rapidly covered.


Yuanta ETFs Rebalance Preview: Changes Galore as Stocks Soar; Shorts Increase, Then Cover

Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>Today is the base date for the T50 and T100 Indices for the September 2023 Rebalance.</li>
<li>In this insight, we take a look at the final expectations for ADDs/DELs for the T50 and T100 Indices.</li>
<li>Previously, I expected five and three changes for the T50 and T100 indices, respectively, but now I see four changes for both indices.</li>
</ul>


Today is the base date for the T50 and T100 Indices for the September 2023 Rebalance.
In this insight, we take a look at the final expectations for ADDs/DELs for the T50 and T100 Indices.
Previously, I expected five and three changes for the T50 and T100 indices, respectively, but now I see four changes for both indices.


Quiddity Leaderboard T50/​​​100 Sep 23: Final Expectations; AI Frenzy Fades; Wisdom Marine TDIV DEL

Managing Director, Zero One, Zero One

Vincent Fernando, CFA

Managing Director, Zero One

Equity Bottom-Up

TSMC (Taiwan Semiconductor Manufacturing) / Equity Bottom-Up

TSMC (Taiwan Semiconductor Manufacturing)

<ul>
<li>U.S. has announced new bans on PE and VC investment into key Chinese tech industries.</li>
<li>Elan Microelectronics, ChipMOS reported good results, two longs to consider as we still see upside.</li>
<li>Apple earnings short-term trades update -- We're closing out both trades, one at a loss and one roughly flat.</li>
</ul>


U.S. has announced new bans on PE and VC investment into key Chinese tech industries.
Elan Microelectronics, ChipMOS reported good results, two longs to consider as we still see upside.
Apple earnings short-term trades update -- We're closing out both trades, one at a loss and one roughly flat.


Taiwan Tech Weekly: U.S. Announces New Bans on Investment into Chinese High Tech Industries

<ul>
<li>Apple will report its earnings on August 3rd, 14:00 PDT. We highlight two potential trades into the Apple earnings event.</li>
<li>Quanta Computer has massively outperformed Apple due to investors latching on to its AI-server growth story. One can consider to Long Apple / Short Quanta into the Apple earnings event.</li>
<li>Hon Hai, Flexium, and Zhen Ding have all lagged Apple's shares yet generate significant revenue from Apple. One can Long a basket of the three into Apple's earnings.</li>
</ul>


Apple will report its earnings on August 3rd, 14:00 PDT. We highlight two potential trades into the Apple earnings event.
Quanta Computer has massively outperformed Apple due to investors latching on to its AI-server growth story. One can consider to Long Apple / Short Quanta into the Apple earnings event.
Hon Hai, Flexium, and Zhen Ding have all lagged Apple's shares yet generate significant revenue from Apple. One can Long a basket of the three into Apple's earnings.


Taiwan Apple Ecosystem Monitor: Two Potential Event Trades into Apple Earnings

Taiwan

Wistron Corporation manufactures and markets notebook computers, personal computers, and other related information products.

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Wistron Corp (3231 TT)

Index Rebalance & ETF Flow Recap: HSCEI, HSI, HSTECH, Yuanta ETFs, China ETFs, REMX, KOSPI

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

Brian Freitas

Yuanta ETFs Rebalance Preview: Changes Galore as Stocks Soar; Shorts Increase, Then Cover

There should be 4 changes to the Yuanta Taiwan Top 50 ETF + 1 deletion for the Yuanta Taiwan Dividend Plus ETF in September. There has been a big...

Brian Freitas

Quiddity Leaderboard T50/100 Sep 23: Final Expectations; AI Frenzy Fades; Wisdom Marine TDIV DEL

I expect the official index changes to be announced after the close on Friday 1st September 2023. The Inclusion/Exclusion events will be at the...

Janaghan Jeyakumar, CFA

Taiwan Tech Weekly: U.S. Announces New Bans on Investment into Chinese High Tech Industries

Also, Elan Microelectronics and ChipMOS reported strong results. The two companies represent two Longs to consider, we still see upside.

Vincent Fernando, CFA

Taiwan Apple Ecosystem Monitor: Two Potential Event Trades into Apple Earnings

Apple will report its earnings on August 3rd. We highlight one Long / Short and one Long-Only Basket trade into the event.

Vincent Fernando, CFA

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Index Rebalance & ETF Flow Recap: HSCEI, HSI, HSTECH, Yuanta ETFs, China ETFs, REMX, KOSPI

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

Brian Freitas

Yuanta ETFs Rebalance Preview: Changes Galore as Stocks Soar; Shorts Increase, Then Cover

There should be 4 changes to the Yuanta Taiwan Top 50 ETF + 1 deletion for the Yuanta Taiwan Dividend Plus ETF in September. There has been a big...

Brian Freitas

Quiddity Leaderboard T50/​​​100 Sep 23: Final Expectations; AI Frenzy Fades; Wisdom Marine TDIV DEL

I expect the official index changes to be announced after the close on Friday 1st September 2023. The Inclusion/Exclusion events will be at the...

Janaghan Jeyakumar, CFA

Taiwan Tech Weekly: U.S. Announces New Bans on Investment into Chinese High Tech Industries

Also, Elan Microelectronics and ChipMOS reported strong results. The two companies represent two Longs to consider, we still see upside.

Vincent Fernando, CFA

Taiwan Apple Ecosystem Monitor: Two Potential Event Trades into Apple Earnings

Apple will report its earnings on August 3rd. We highlight one Long / Short and one Long-Only Basket trade into the event.

Vincent Fernando, CFA

Quiddity Leaderboard T50/100 Sep 23: Final Expectations; AI Frenzy Fades; Wisdom Marine TDIV DEL