Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Highly experienced ex-Delta One trader with 17 years of experience trading arbitrage and related strategies across Asian markets.

Exempt Financial Adviser (EFA) under CrossASEAN Research Pte Ltd.

It is important to note that the information provided by Periscope Analytics is based on publicly available data and own knowledge, which has been gathered and synthesized from a variety of sources. While every effort has been made to ensure the accuracy and completeness of the information provided, it is not guaranteed to be free from errors or omissions.

All forecasts and estimates are based on information that has been obtained from public sources that are considered to be reliable. The sources include, but are not limited to, company announcements, exchange filings, ETF and other passive investment vehicle holdings, and free float and volume data from third-party data providers. Periscope Analytics does not guarantee the accuracy and completeness of the forecasts, estimates and/or other information.

Pan-Asia Index Rebalances/ Events/ Delta One

TIP Taiwan Value High Dividend Index Rebalance: A Lot to Trade This Week

TIP Customized Taiwan Select High Div Index Rebalance Preview: US$2.8bn Trade as Adds Outperform

TIP Customized Taiwan Select High Dividend Index Rebalance: US$3.2bn Trade with BIG Impact

TIP Customized Taiwan Select High Dividend Index Rebalance: 13 Changes & US$5.2bn Round-Trip Trade

TIP Customized Taiwan Select High Dividend Index Rebalance Preview: AUM Jump & HUGE Trade

TIP Taiwan Technology Dividend Highlight Index Rebalance: 12 Changes & US$4bn Round-Trip Trade

Yuanta/​P-Shares Taiwan Div+ ETF Rebalance: One Surprise as Round-Trip Trade Hits US$2.3bn

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 TIP Taiwan Select High Dividend ETF (00919 TW) tracks the TIP Customized Taiwan Select High Dividend Index and has an AUM of TWD 284bn (US$8.7bn).</li>
<li>We forecast 8 changes a side at the December rebalance with an estimated one-way turnover of around 15.8% and a round-trip trade of around US$2.75bn.</li>
<li>An equal weighted basket of potential inclusions has outperformed an equal weighted basket of potential deletions since beginning September with a pick-up in pace over the last 2-3 weeks.</li>
</ul>


The TIP Taiwan Select High Dividend ETF (00919 TW) tracks the TIP Customized Taiwan Select High Dividend Index and has an AUM of TWD 284bn (US$8.7bn).
We forecast 8 changes a side at the December rebalance with an estimated one-way turnover of around 15.8% and a round-trip trade of around US$2.75bn.
An equal weighted basket of potential inclusions has outperformed an equal weighted basket of potential deletions since beginning September with a pick-up in pace over the last 2-3 weeks.


Chung Hsin Electric & Machinery Mfg Corp (1513 TT)

TIP Customized Taiwan Select High Div Index Rebalance Preview: 32% T/O; US$2.75bn Trade; HUGE Impact

Wisdom Marine Lines

TIP Customized Taiwan Select High Div Index Rebalance Preview: 32% T/O; US$2.75bn Trade; HUGE Impact