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>There were a lot of rebalance implementations in China on Friday, plus a few upcoming index changes that were announced during the week.</li>
<li>There are a lot of implementations this week, with <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a> and <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150</a> on Thursday and then others across a bunch of countries on Friday.</li>
<li>There were big 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 (2800 HK)</a> during the week taking units outstanding to a new high. ETF inflows continue even as the market drops.</li>
</ul>


There were a lot of rebalance implementations in China on Friday, plus a few upcoming index changes that were announced during the week.
There are a lot of implementations this week, with KOSPI 200 and KOSDAQ 150 on Thursday and then others across a bunch of countries on Friday.
There were big inflows to Tracker Fund of Hong Kong (2800 HK) during the week taking units outstanding to a new high. ETF inflows continue even as the market drops.


Index Rebalance & ETF Flow Recap: NKY, TW Div+, ASX200, NZX50, Mom30, Top10EW, MVW, Rakuten Bank

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 Dec 1st which has an aggregated short interest worth USD15.3bn.</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 TWSE short interest weekly changes in Genius Elec.</li>
</ul>


We analyzed the changes in short interest of TWSE Stocks as of Dec 1st which has an aggregated short interest worth USD15.3bn.
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 TWSE short interest weekly changes in Genius Elec.


TWSE Short Interest Weekly (Dec 1st): Genius Electronics

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>The index changes for the T50/100 index family and the TDIV index were confirmed after market close on Friday 1st December 2023.</li>
<li>The index changes were mostly in line with our final expectations.</li>
<li>In this insight, we take a close look at the breakdown of our final flow expectations for the upcoming Inclusion/Exclusion and Capping events.</li>
</ul>


The index changes for the T50/100 index family and the TDIV index were confirmed after market close on Friday 1st December 2023.
The index changes were mostly in line with our final expectations.
In this insight, we take a close look at the breakdown of our final flow expectations for the upcoming Inclusion/Exclusion and Capping events.


Quiddity TDIV/​50/​100 Dec 23 Rebal: Inflow Names Could Outperform Outflow Names

<ul>
<li>We analyzed the changes in short interest of TWSE Stocks as of Nov 24th which has an aggregated short interest worth USD15.0bn.</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 Lite-On Tech, Compeq Mfg, Inventec, Gigabyte Tech.</li>
</ul>


We analyzed the changes in short interest of TWSE Stocks as of Nov 24th which has an aggregated short interest worth USD15.0bn.
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 Lite-On Tech, Compeq Mfg, Inventec, Gigabyte Tech.


TWSE Short Interest Weekly (Nov 24th): Lite-On Tech, Compeq Mfg, Inventec, Gigabyte Tech

<ul>
<li>In this insight, we take look at Quiddity's expectations for index changes and capping flows for the TDIV Index for the December 2023 review.</li>
<li>There are some key changes to expectations since my last TDIV insight as a consequence of changes in share prices and/or dividend expectations.</li>
<li>I currently expect 6 ADDs and 5 DELs during the December 2023 review.</li>
</ul>


In this insight, we take look at Quiddity's expectations for index changes and capping flows for the TDIV Index for the December 2023 review.
There are some key changes to expectations since my last TDIV insight as a consequence of changes in share prices and/or dividend expectations.
I currently expect 6 ADDs and 5 DELs during the December 2023 review.


Quiddity Leaderboard TDIV Dec 23: US$1.36bn One-Way, 20%+ Turnover, 2 Weeks to Announcement

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)

Index Rebalance & ETF Flow Recap: NKY, TW Div+, ASX200, NZX50, Mom30, Top10EW, MVW, Rakuten Bank

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

Brian Freitas

TWSE Short Interest Weekly (Dec 1st): Genius Electronics

We analyzed TWSE short interest report for the past week and highlight weekly short interest changes in Genius Electronics.

Ke Yan, CFA, FRM

Quiddity TDIV/50/100 Dec 23 Rebal: Inflow Names Could Outperform Outflow Names

I estimate one-way flow to be US$1.2bn which is around 18.5% turnover. There are 29 expected inflow names and 25 expected outflow names.

Janaghan Jeyakumar, CFA

TWSE Short Interest Weekly (Nov 24th): Lite-On Tech, Compeq Mfg, Inventec, Gigabyte Tech

We analyzed TWSE short interest report for the past week and highlight short interest changes in Lite-On Tech, Compeq Mfg, Inventec, Gigabyte Tech.

Ke Yan, CFA, FRM

Quiddity Leaderboard TDIV Dec 23: US$1.36bn One-Way, 20%+ Turnover, 2 Weeks to Announcement

I expect one-way capping flows to be around US$1.36bn which is a turnover of approximately 20.5%. According to my estimates, currently there are 30...

Janaghan Jeyakumar, CFA

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Index Rebalance & ETF Flow Recap: NKY, TW Div+, ASX200, NZX50, Mom30, Top10EW, MVW, Rakuten Bank

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

Brian Freitas

TWSE Short Interest Weekly (Dec 1st): Genius Electronics

We analyzed TWSE short interest report for the past week and highlight weekly short interest changes in Genius Electronics.

Ke Yan, CFA, FRM

Quiddity TDIV/​50/​100 Dec 23 Rebal: Inflow Names Could Outperform Outflow Names

I estimate one-way flow to be US$1.2bn which is around 18.5% turnover. There are 29 expected inflow names and 25 expected outflow names.

Janaghan Jeyakumar, CFA

TWSE Short Interest Weekly (Nov 24th): Lite-On Tech, Compeq Mfg, Inventec, Gigabyte Tech

We analyzed TWSE short interest report for the past week and highlight short interest changes in Lite-On Tech, Compeq Mfg, Inventec, Gigabyte Tech.

Ke Yan, CFA, FRM

Quiddity Leaderboard TDIV Dec 23: US$1.36bn One-Way, 20%+ Turnover, 2 Weeks to Announcement

I expect one-way capping flows to be around US$1.36bn which is a turnover of approximately 20.5%. According to my estimates, currently there are 30...

Janaghan Jeyakumar, CFA

Quiddity TDIV/50/100 Dec 23 Rebal: Inflow Names Could Outperform Outflow Names