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

Event-Driven

<ul>
<li>The Yuanta/P-shares Dividend Plus ETF (0056 TT) started to rebalance its holdings on Friday and will continue to do so for the next 4 trading days.</li>
<li>Stocks with buy flows dropped 0.8% on average on Friday while the stocks with sell flows rose 0.27%. On a flow weighted basis, the numbers were -0.63% vs +1.99%.</li>
<li>The stocks with outflows have outperformed stocks with inflows by a huge margin in the recent past and short interest has jumped on most stocks recently.</li>
</ul>


The Yuanta/P-shares Dividend Plus ETF (0056 TT) started to rebalance its holdings on Friday and will continue to do so for the next 4 trading days.
Stocks with buy flows dropped 0.8% on average on Friday while the stocks with sell flows rose 0.27%. On a flow weighted basis, the numbers were -0.63% vs +1.99%.
The stocks with outflows have outperformed stocks with inflows by a huge margin in the recent past and short interest has jumped on most stocks recently.


Yuanta/​P-Shares Taiwan Dividend Plus ETF: Day 1 Flows & Stock Moves

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>In this insight, we take a look at the final ADDs/DELs for the TDIV, T50, and T100 Indices for the June 2023 Rebalance.</li>
<li>Across these three indices there will be 18 changes and 15 of them were in line with expectations.</li>
<li>Our updated flow expectations show that there could be US$1.1bn one-way flow in the June 2023 rebalance.</li>
</ul>


In this insight, we take a look at the final ADDs/DELs for the TDIV, T50, and T100 Indices for the June 2023 Rebalance.
Across these three indices there will be 18 changes and 15 of them were in line with expectations.
Our updated flow expectations show that there could be US$1.1bn one-way flow in the June 2023 rebalance.


Quiddity TDIV/50/100 Jun 23 Rebal: 15/18 as Expected; Some Surprises, US$1.1bn+ One Way

Index Rebalance

<ul>
<li>In this insight, we take a look at Quiddity's flow expectations for the June 2023 index rebalance.</li>
<li>I currently see 5 ADDs/DELs. Some of these names are different from the ones I specified in my previous insight.</li>
<li>I have also discussed some long-short trading ideas involving names with significant flow implications.</li>
</ul>


In this insight, we take a look at Quiddity's flow expectations for the June 2023 index rebalance.
I currently see 5 ADDs/DELs. Some of these names are different from the ones I specified in my previous insight.
I have also discussed some long-short trading ideas involving names with significant flow implications.


Quiddity Leaderboard TDIV Jun 23: Five Changes and US$922mn One-Way Flows

<ul>
<li>There have been some changes to my expectations for the TWSE Div+ index June 2023 index changes and capping flows.</li>
<li>I currently see 5 ADDs/DELs. Some of these names are different from the ones I specified in my previous insight.</li>
<li>In this insight, we take a look at my latest flow expectations.</li>
</ul>


There have been some changes to my expectations for the TWSE Div+ index June 2023 index changes and capping flows.
I currently see 5 ADDs/DELs. Some of these names are different from the ones I specified in my previous insight.
In this insight, we take a look at my latest flow expectations.


Quiddity Leaderboard TWSE Div+ Jun 23: New Potential Index Changes and Flow Expectations Update

<ul>
<li>In this insight, we take look at Quiddity's estimations for index changes and capping flows for the Taiwan Div+ index for the June 2023 review.</li>
<li>I currently see 4 ADDs/DELs but there are several names close to the border and expectations could change before the base date as prices move around.</li>
<li>My latest estimation for one-way flow is around US$778mn which translates to a turnover of approximately 12%.</li>
</ul>


In this insight, we take look at Quiddity's estimations for index changes and capping flows for the Taiwan Div+ index for the June 2023 review.
I currently see 4 ADDs/DELs but there are several names close to the border and expectations could change before the base date as prices move around.
My latest estimation for one-way flow is around US$778mn which translates to a turnover of approximately 12%.


Quiddity Leaderboard TWSE Div+ Jun 23: Take the Win on YFY Now

Taiwan

YFY Inc. manufactures and sells paper pulp and various paper products.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

YFY Inc (1907 TT)

Yuanta/P-Shares Taiwan Dividend Plus ETF: Day 1 Flows & Stock Moves

The 0056 TT ETF started rebalancing on Friday and that will continue for the next 4 trading days. The deletes and stocks with outflows have...

Brian Freitas

Quiddity TDIV/50/100 Jun 23 Rebal: 15/18 as Expected; Some Surprises, US$1.1bn+ One Way

The T50 and TDIV standalone changes are significant but the T100 standalone changes are insignificant. The main pick trades suggested in my last...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard TDIV Jun 23: Five Changes and US$922mn One-Way Flows

I see 35 inflow names including the five Expected ADDs and 20 outflow names including the five Expected DELs. My latest estimation for one-way flow...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard TWSE Div+ Jun 23: New Potential Index Changes and Flow Expectations Update

At present, I see 28 inflow names including the five Expected ADDs and 27 outflow names including the five DELs. My latest estimation for one-way...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard TWSE Div+ Jun 23: Take the Win on YFY Now

My last Top Pick YFY has gained 7.14% since my last insight while the Div+ index has only gained 0.3% in the same period. This trade was successful...

Janaghan Jeyakumar, CFA

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Yuanta/​P-Shares Taiwan Dividend Plus ETF: Day 1 Flows & Stock Moves

The 0056 TT ETF started rebalancing on Friday and that will continue for the next 4 trading days. The deletes and stocks with outflows have...

Brian Freitas

Quiddity TDIV/50/100 Jun 23 Rebal: 15/18 as Expected; Some Surprises, US$1.1bn+ One Way

The T50 and TDIV standalone changes are significant but the T100 standalone changes are insignificant. The main pick trades suggested in my last...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard TDIV Jun 23: Five Changes and US$922mn One-Way Flows

I see 35 inflow names including the five Expected ADDs and 20 outflow names including the five Expected DELs. My latest estimation for one-way flow...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard TWSE Div+ Jun 23: New Potential Index Changes and Flow Expectations Update

At present, I see 28 inflow names including the five Expected ADDs and 27 outflow names including the five DELs. My latest estimation for one-way...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard TWSE Div+ Jun 23: Take the Win on YFY Now

My last Top Pick YFY has gained 7.14% since my last insight while the Div+ index has only gained 0.3% in the same period. This trade was successful...

Janaghan Jeyakumar, CFA

Yuanta/P-Shares Taiwan Dividend Plus ETF: Day 1 Flows & Stock Moves