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>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

Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Pan-Asia Index Flows & 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>The capping for the Hang Seng family of indices will use closing prices from 28 November while implementation will take place at the close on 1 December.</li>
<li>The changes for the next <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> rebalance will be announced after the close of trading on 1 December.</li>
<li>It was another week of inflows for the <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 Emerging Markets (EMXC US)</a> to take units outstanding to a new high.</li>
</ul>


The capping for the Hang Seng family of indices will use closing prices from 28 November while implementation will take place at the close on 1 December.
The changes for the next S&amp;P/ASX 200 (AS51 INDEX) rebalance will be announced after the close of trading on 1 December.
It was another week of inflows for the iShares Emerging Markets (EMXC US) to take units outstanding to a new high.


Index Rebalance & ETF Flow Recap: HSI, HSCEI, HSTECH, HSCI, Div+, Top50, ASX, FXI, Xiaomi, Tata Tech

<ul>
<li>Using data from the close on 20 November, there could be 6 adds and 5 deletes to the Yuanta/​P-Shares Taiwan Dividend Plus ETF in December.</li>
<li>There will also be capping and funding flows that will lead to a one-way turnover of 17.8% and a one-way trade of US$1.37bn.</li>
<li>There are 16 stocks with at least 3 days ADV to trade from passive trackers and another 10 stocks that have at least 1-day ADV to trade.</li>
</ul>


Using data from the close on 20 November, there could be 6 adds and 5 deletes to the Yuanta/​P-Shares Taiwan Dividend Plus ETF in December.
There will also be capping and funding flows that will lead to a one-way turnover of 17.8% and a one-way trade of US$1.37bn.
There are 16 stocks with at least 3 days ADV to trade from passive trackers and another 10 stocks that have at least 1-day ADV to trade.


Yuanta/​P-Shares Taiwan Div+ ETF Rebalance Preview: 18% One-Way Turnover & US$2.74bn Trade

<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

Wistron NeWeb Corporation manufactures wireless communication systems.  The Company's products include satellite communication, wireless networking, embedded antenna, and mobile handset products.

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Wistron Neweb (6285 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

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

Index Rebalance & ETF Flow Recap: HSI, HSCEI, HSTECH, HSCI, Div+, Top50, ASX, FXI, Xiaomi, Tata Tech

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

Brian Freitas

Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: 18% One-Way Turnover & US$2.74bn Trade

There should be 6 adds, 5 deletes and capping changes leading to 1-way turnover of 17.8% and 1-way trade of US$1.37bn. 16 stocks could have over 3x...

Brian Freitas

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

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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

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

Index Rebalance & ETF Flow Recap: HSI, HSCEI, HSTECH, HSCI, Div+, Top50, ASX, FXI, Xiaomi, Tata Tech

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

Brian Freitas

Yuanta/​P-Shares Taiwan Div+ ETF Rebalance Preview: 18% One-Way Turnover & US$2.74bn Trade

There should be 6 adds, 5 deletes and capping changes leading to 1-way turnover of 17.8% and 1-way trade of US$1.37bn. 16 stocks could have over 3x...

Brian Freitas

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

Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: 18% One-Way Turnover & US$2.74bn Trade