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 changes at the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a> September rebalance were announced on 4 September. The rebalance of the <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 was implemented on the same day.</li>
<li>The changes to the MVIS indices were announced on 8 September and will be implemented at the close on 15 September. The S&amp;P/ASX family will also rebalance on 15 September.</li>
<li>After a month and a half of big inflows to onshore China ETFs, there were small outflows from a lot of ETFs during the week.</li>
</ul>


The changes at the Nikkei 225 September rebalance were announced on 4 September. The rebalance of the HSI, HSCEI, HSTECH and HSCI was implemented on the same day.
The changes to the MVIS indices were announced on 8 September and will be implemented at the close on 15 September. The S&amp;P/ASX family will also rebalance on 15 September.
After a month and a half of big inflows to onshore China ETFs, there were small outflows from a lot of ETFs during the week.


Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, KOSDAQ150, Yuanta ETFs, MVA, MVW, SMH

Event-Driven

<ul>
<li>There are 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 impact on the inclusions is larger in terms of flow but smaller in terms of days to ADV to buy. Shorts are higher on the deletions.</li>
<li>There appears to be big positioning on a lot of the stocks. But the ETF adds could move higher in the short-term on short covering.</li>
</ul>


There are 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 impact on the inclusions is larger in terms of flow but smaller in terms of days to ADV to buy. Shorts are higher on the deletions.
There appears to be big positioning on a lot of the stocks. But the ETF adds could move higher in the short-term on short covering.


Yuanta ETFs Rebalance: AI-Frenzy Means Tech Replaces Industrials; Shorts Surge; Big Positioning

Asset Allocation & Fund Positioning, Copley Fund Research

Steven Holden

Asset Allocation & Fund Positioning

Copley Fund Research

Copley Fund Research provide research and data on asset allocation among Global and Emerging Market equity funds.  The analysis details absolute and relative positioning across countries, sectors and industries together with highly granular data on single stock and single fund allocations.  The data is updated monthly with time series going back to January 2011.

Global Research - Analysis of 165 prominent Global equity funds, combined AUM $335bn
GEM Research - Analysis of 127 prominent global EM equity funds, combined AUM $250bn

Asset Allocation - Global and GEM Equity

Equity Bottom-Up

<ul>
<li>Delta Electronics and Wiwynn Corp among 6 Taiwan stocks at their highest levels of fund ownership among active Emerging Market funds.</li>
<li>The combined weight in these 6 stocks has aggressively moved higher to 1.2% from less than 30bps in 2018.</li>
<li>All stocks enter the top 15 most widely held companies in Taiwan, but potential for further buying is clearly there.</li>
</ul>


Delta Electronics and Wiwynn Corp among 6 Taiwan stocks at their highest levels of fund ownership among active Emerging Market funds.
The combined weight in these 6 stocks has aggressively moved higher to 1.2% from less than 30bps in 2018.
All stocks enter the top 15 most widely held companies in Taiwan, but potential for further buying is clearly there.


Record Fund Ownership in Six Taiwanese Companies

<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

<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

Taiwan

Wiwynn Corporation manufactures computer storage devices. The Company develops and sells servers, storage devices, network systems, and equipment room infrastructure products. Wiwynn markets its products throughout Taiwan.

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Wiwynn Corp (6669 TT)

Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, KOSDAQ150, Yuanta ETFs, MVA, MVW, SMH

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: AI-Frenzy Means Tech Replaces Industrials; Shorts Surge; Big Positioning

There will be 9 constituent changes for the ETFs in September. Tech replaces Industrials and there is plenty to trade on the stocks. Positioning...

Brian Freitas

Record Fund Ownership in Six Taiwanese Companies

Delta Electronics and Wiwynn Corp among 6 Taiwan stocks at their highest levels of fund ownership among active Emerging Market funds.

Steven Holden

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

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