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 JPX Nikkei 400 index rebalance will take place on Wednesday, MSIC on Thursday and <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">HSTECH</a> and HSCI on Friday.</li>
<li>There are review cutoffs for the MVIS family of indices, and multiple announcements of changes to various indices during the week.</li>
<li>There were inflows to mainland China ETFs, <a href="https://www.smartkarma.com/entities/ishares-msci-india-etf" target="_blank" data-smartkarma-citation="entities:282:1" rel="noopener">iShares India ETF (INDA)</a>, <a href="https://www.smartkarma.com/entities/ishares-msci-india-small-cap" target="_blank" data-smartkarma-citation="entities:32064:1" rel="noopener">Ishares India Small-Cap (SMIN)</a> and <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets-223f5da3-7054-4e4f-bc55-b7f0852c2581" target="_blank" data-smartkarma-citation="entities:31998:1" rel="noopener">iShares EmergingMarkets ex China (EMXC)</a> while there were outflows for <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets" target="_blank" data-smartkarma-citation="entities:438:1" rel="noopener">iShares Emerging Markets (EEM)</a>.</li>
</ul>


The JPX Nikkei 400 index rebalance will take place on Wednesday, MSIC on Thursday and HSI, HSCEI, HSTECH and HSCI on Friday.
There are review cutoffs for the MVIS family of indices, and multiple announcements of changes to various indices during the week.
There were inflows to mainland China ETFs, iShares India ETF (INDA), Ishares India Small-Cap (SMIN) and iShares EmergingMarkets ex China (EMXC) while there were outflows for iShares Emerging Markets (EEM).


Index Rebalance & ETF Flow Recap: HSCEI, HSI, HSTECH, Yuanta ETFs, China ETFs, REMX, KOSPI

Pan-Asia Catalysts/Events, Quiddity Advisors

David Blennerhassett

Pan-Asia Catalysts/Events

Quiddity Advisors

<ul>
<li>Why is <a href="https://www.smartkarma.com/entities/jsr-corp" target="_blank" data-smartkarma-citation="entities:17620:1" rel="noopener">JSR Corp (4185 JP)</a> trading wide? FUD and Flows.</li>
<li>
<a href="https://www.smartkarma.com/entities/intouch-holdings-pcl" target="_blank" data-smartkarma-citation="entities:17638:1" rel="noopener">Intouch Holdings (INTUCH TB)</a> plumbs new 12-month lows for its implied stub, and NAV discount as the former PM returns from exile. </li>
<li>You would NOT want to short <a href="https://www.smartkarma.com/entities/m-a-research-institute-inc" target="_blank" data-smartkarma-citation="entities:36749:1" rel="noopener">M&amp;A Research Institute (9552 JP) </a> into the inclusion. But the ascension to TOPIX is not a surprise.</li>
</ul>


Why is JSR Corp (4185 JP) trading wide? FUD and Flows.

Intouch Holdings (INTUCH TB) plumbs new 12-month lows for its implied stub, and NAV discount as the former PM returns from exile. 
You would NOT want to short M&amp;A Research Institute (9552 JP)  into the inclusion. But the ascension to TOPIX is not a surprise.


Last Week In Event SPACE: JSR, Intouch/Thaksin, Softbank/ARM, M&A Research, Premier

<ul>
<li>There should be 4 changes to the Yuanta/​P-Shares Taiwan Top 50 ETF and 1 deletion for the Yuanta/​P-Shares Taiwan Dividend Plus ETF in September.</li>
<li>The potential adds are driven by the AI-frenzy that has swept the market for the last few months. Most potential deletions are shipping stocks that are way off their highs.</li>
<li>Short interest on the potential deletions is high in terms of days of ADV and free float. The rise in shorts on the potential adds is being rapidly covered.</li>
</ul>


There should be 4 changes to the Yuanta/​P-Shares Taiwan Top 50 ETF and 1 deletion for the Yuanta/​P-Shares Taiwan Dividend Plus ETF in September.
The potential adds are driven by the AI-frenzy that has swept the market for the last few months. Most potential deletions are shipping stocks that are way off their highs.
Short interest on the potential deletions is high in terms of days of ADV and free float. The rise in shorts on the potential adds is being rapidly covered.


Yuanta ETFs Rebalance Preview: Changes Galore as Stocks Soar; Shorts Increase, Then Cover

<ul>
<li>JFSL spun off from <a href="https://www.smartkarma.com/entities/reliance-industries-ltd" target="_blank" data-smartkarma-citation="entities:198:1" rel="noopener">Reliance Industries (RIL IN)</a> last week and <a href="https://www.smartkarma.com/entities/ventia-services-group" target="_blank" data-smartkarma-citation="entities:34917:1" rel="noopener">Ventia (VNT AU)</a> replaced <a href="https://www.smartkarma.com/entities/blackmores-ltd" target="_blank" data-smartkarma-citation="entities:928:1" rel="noopener">Blackmores Ltd (BKL AU)</a> in the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a>. </li>
<li>The IDX should announce the changes to the IDX30, LQ45 and IDX80 indices early in the coming week.</li>
<li>There were 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 Ltd (2800 HK)</a> and <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index-etf" target="_blank" data-smartkarma-citation="entities:25:1" rel="noopener">Hang Seng H Share Index ETF (2828 HK)</a> while Taiwan focused ETFs had outflows.</li>
</ul>


JFSL spun off from Reliance Industries (RIL IN) last week and Ventia (VNT AU) replaced Blackmores Ltd (BKL AU) in the S&amp;P/ASX 200 (AS51 INDEX). 
The IDX should announce the changes to the IDX30, LQ45 and IDX80 indices early in the coming week.
There were inflows to Tracker Fund of Hong Kong Ltd (2800 HK) and Hang Seng H Share Index ETF (2828 HK) while Taiwan focused ETFs had outflows.


Index Rebalance & ETF Flow Recap: ASX, SK Telecom, Yuanta ETFs

Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Pan-Asia Index Flows & Special Situations

<ul>
<li>In this insight, we take a look at Quiddity's flow expectations for the September 2023 index rebalance.</li>
<li>Since my last insight, my estimate for the tracking AUM estimate assumption for September 2023 has increased and has caused changes to my flow expectations.</li>
<li>Separately, the SHORTs suggested in my last insight have underperformed the index by 15.6% in 3 weeks. I have updated my thoughts on that as well.</li>
</ul>


In this insight, we take a look at Quiddity's flow expectations for the September 2023 index rebalance.
Since my last insight, my estimate for the tracking AUM estimate assumption for September 2023 has increased and has caused changes to my flow expectations.
Separately, the SHORTs suggested in my last insight have underperformed the index by 15.6% in 3 weeks. I have updated my thoughts on that as well.


Quiddity Leaderboard TDIV Sep 23: AUM Assumption Changes Again; SHORTs Down 15.6% Vs Index

Taiwan

Wisdom Marine Lines Company Ltd. transports freight by ship.  The Company operates bulk carriers, loggers, tweendeckers, multipurpose ships, roll-on and roll-offs, and container ships.

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Wisdom Marine Lines (2637 TT)

Index Rebalance & ETF Flow Recap: HSCEI, HSI, HSTECH, Yuanta ETFs, China ETFs, REMX, KOSPI

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

Brian Freitas

Last Week In Event SPACE: JSR, Intouch/Thaksin, Softbank/ARM, M&A Research, Premier

The weekend is here! Pour yourself a coffee, grab a comfortable seat, and sift through a brief summary of insights on various events discussed...

David Blennerhassett

Yuanta ETFs Rebalance Preview: Changes Galore as Stocks Soar; Shorts Increase, Then Cover

There should be 4 changes to the Yuanta Taiwan Top 50 ETF + 1 deletion for the Yuanta Taiwan Dividend Plus ETF in September. There has been a big...

Brian Freitas

Index Rebalance & ETF Flow Recap: ASX, SK Telecom, Yuanta ETFs

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

Brian Freitas

Quiddity Leaderboard TDIV Sep 23: AUM Assumption Changes Again; SHORTs Down 15.6% Vs Index

Based on current data, I see one-way capping flows of US$145mn which translates to a turnover of roughly 2.0%. However, impacts are low for most...

Janaghan Jeyakumar, CFA

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