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

Taishin Financial Holding / Index Rebalance

<ul>
<li>There are 8 adds and 8 deletes for the TIP Customized Taiwan Select High Dividend Index in December. The TIP Taiwan Select High Dividend ETF has an AUM of US$13bn.</li>
<li>The ETF has started trading the stocks and is expected to continue trading for the next 7 trading days.</li>
<li>There are a few surprises and those stocks could outperform peers over the rest of the trading period.</li>
</ul>


There are 8 adds and 8 deletes for the TIP Customized Taiwan Select High Dividend Index in December. The TIP Taiwan Select High Dividend ETF has an AUM of US$13bn.
The ETF has started trading the stocks and is expected to continue trading for the next 7 trading days.
There are a few surprises and those stocks could outperform peers over the rest of the trading period.


TIP Customized Taiwan Select High Dividend Index Rebalance: US$7bn Trade over the Next Week

<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 403bn (US$12.8bn).</li>
<li>We forecast 8 changes a side at the December rebalance with an estimated one-way turnover of 30.6% resulting in a round-trip trade of US$7.9bn.</li>
<li>The forecast adds have outperformed the forecast deletes over the last couple of weeks and we expect the adds to continue outperforming the deletes over the next few days.</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 403bn (US$12.8bn).
We forecast 8 changes a side at the December rebalance with an estimated one-way turnover of 30.6% resulting in a round-trip trade of US$7.9bn.
The forecast adds have outperformed the forecast deletes over the last couple of weeks and we expect the adds to continue outperforming the deletes over the next few days.


TIP Customized Taiwan Select High Dividend Index Rebal Preview: 8 Changes; US$8bn Trade

Asia Pac IPO & Placement Research, China biotech, Aequitas Research

Ke Yan, CFA, FRM

Asia Pac IPO & Placement Research, China biotech

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Quantitative Analysis

<ul>
<li>We analyzed the changes in short interest of TWSE Stocks as of Jun 6th. The aggregated short interest was USD24.1bn.</li>
<li>We tabulate league tables 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 Cathay Financial, Ctbc Financial, Fubon Financial, Yang Ming Marine, Catcher Technology, Novatek Microelectronics, Gigabyte Technology, SCSB, Ase Industrial, Inventec.</li>
</ul>


We analyzed the changes in short interest of TWSE Stocks as of Jun 6th. The aggregated short interest was USD24.1bn.
We tabulate league tables 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 Cathay Financial, Ctbc Financial, Fubon Financial, Yang Ming Marine, Catcher Technology, Novatek Microelectronics, Gigabyte Technology, SCSB, Ase Industrial, Inventec.


TWSE Short Interest Weekly (Jun 6th): Cathay Financial, Ctbc Financial, Fubon Financial

<ul>
<li>There are 16 adds and 6 deletes for the TIP Customized Taiwan Select High Dividend Index in June. The TIP Taiwan Select High Dividend ETF has an AUM of US$12.4bn.</li>
<li>The ETF has started trading the stocks and are expected to continue trading for the next 7 trading days. In reality, the process could drag on for some stocks.</li>
<li>The index committee appears to have a little discretion in choosing the inclusions with one expected add not being added and one lower ranked stock being added to the index.</li>
</ul>


There are 16 adds and 6 deletes for the TIP Customized Taiwan Select High Dividend Index in June. The TIP Taiwan Select High Dividend ETF has an AUM of US$12.4bn.
The ETF has started trading the stocks and are expected to continue trading for the next 7 trading days. In reality, the process could drag on for some stocks.
The index committee appears to have a little discretion in choosing the inclusions with one expected add not being added and one lower ranked stock being added to the index.


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

Yang Ming Marine Transport / 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 363bn (US$12.1bn).</li>
<li>Following a change in methodology, there could be 16 adds and 6 deletes in June with an estimated one-way turnover of 39% and a round-trip trade of US$9bn.</li>
<li>We expect the adds to outperform the deletes over the next few days, following which reversion could set in.</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 363bn (US$12.1bn).
Following a change in methodology, there could be 16 adds and 6 deletes in June with an estimated one-way turnover of 39% and a round-trip trade of US$9bn.
We expect the adds to outperform the deletes over the next few days, following which reversion could set in.


TIP Customized Taiwan Select High Div Index Rebal Preview: Methodology Change Leads to US$9bn Trade

Taiwan

Tatung Co., Ltd. manufactures and markets computer and communication products, electronics and industrial equipment, as well as home appliances.  The Company's products include computers, motherboards, monitors, computer peripherals, rice cookers, refrigerators, air conditioners, microwave ovens, transformers, switch gears, wires, and cables.  Tatung sells its products worldwide.

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Tatung Co Ltd (2371 TT)

TIP Customized Taiwan Select High Dividend Index Rebalance: US$7bn Trade over the Next Week

There are 8 adds and 8 deletes for the index. Estimated one-way turnover is 26.9% resulting in a round-trip trade of US$7bn. There are a few...

Brian Freitas

TIP Customized Taiwan Select High Dividend Index Rebal Preview: 8 Changes; US$8bn Trade

We forecast 8 changes a side at the December rebalance with an estimated one-way turnover of 30.6% resulting in a round-trip trade of US$7.9bn....

Brian Freitas

TWSE Short Interest Weekly (Jun 6th): Cathay Financial, Ctbc Financial, Fubon Financial

We analyzed TWSE short interest report for the past week and highlighted short interest changes in Cathay Financial (2882 TT), Ctbc Financial (2891...

Ke Yan, CFA, FRM

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

A change in index methodology leads to 16 adds and 6 deletes in June. The ETF has started trading the stocks and will continue to trade for the...

Brian Freitas

TIP Customized Taiwan Select High Div Index Rebal Preview: Methodology Change Leads to US$9bn Trade

A change in methodology could result in 16 adds and 6 deletes in June leading to one-way turnover of 39% and a round-trip trade of US$9bn. The adds...

Brian Freitas

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