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

Taiwan Top 50 ETF Rebalance Preview: Plenty of Big Overlapping Flows Coming Up

Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: Four Changes; US$5.6bn Trade

TIP Customized Taiwan Select High Dividend Index Rebalance: 22 Changes as Expected

Chroma Ate (2360 TT): Double Index Inclusion Coming Up with Plenty to Buy

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

Teco Electric & Machinery / Index Rebalance

<ul>
<li>With the review period now complete, there could be 3 constituent changes for the Yuanta/​P-Shares Taiwan Dividend Plus ETF in December.</li>
<li>Constituent changes along with capping changes will lead to a one-way turnover of 12.7% and in a round-trip trade of TWD 125bn (US$4bn).</li>
<li>There are multiple stocks that have same-way or opposite flow from trackers of other Taiwan indices and present some interesting trading opportunities.</li>
</ul>


With the review period now complete, there could be 3 constituent changes for the Yuanta/​P-Shares Taiwan Dividend Plus ETF in December.
Constituent changes along with capping changes will lead to a one-way turnover of 12.7% and in a round-trip trade of TWD 125bn (US$4bn).
There are multiple stocks that have same-way or opposite flow from trackers of other Taiwan indices and present some interesting trading opportunities.


Evergreen Aviation Technologies (2645 TT)

Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: 3 Changes; US$4bn Trade