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

Yuanta/​P-Shares Taiwan Div+ ETF Rebalance Preview: 6 Adds, 5 Deletes, Capping, US$3.5bn Trade

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

Yuanta/​P-Shares Taiwan Div+ ETF Rebalance Preview: Big Shift in Divs Leads to Last Minute Changes

Yuanta/​P-Shares Taiwan Div+ ETF Rebalance Preview: Nuvoton Could Drop Some More

Yuanta/​P-Shares Taiwan Div+ ETF Rebalance Preview: Nuvoton Deletion & Positioning

Taiwan Top 50 ETF Rebalance Preview: One Change Expected in Sep

Battle Lines Drawn As BABA Builds Out First/Last-Mile Capacity; But Who Will Fund 75+ Bn CNY CapEx?

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>
<a href="https://www.smartkarma.com/entities/nuvoton-technology-corp" target="_blank" data-smartkarma-citation="entities:15913:1" rel="noopener">Nuvoton Technology (4919 TT)</a> will be deleted from the Yuanta/​P-Shares Taiwan Dividend Plus ETF at the close on 20 September. That was expected.</li>
<li>Passive trackers will need to sell 20.3m shares of <a href="https://www.smartkarma.com/entities/nuvoton-technology-corp" target="_blank" data-smartkarma-citation="entities:15913:1" rel="noopener">Nuvoton Technology (4919 TT)</a>. That is 7x ADV, 4.8% of shares outstanding and 10.4% of float.</li>
<li>With no change in cumulative excess volume over the last few weeks and only a tiny increase in short interest, there could be more positioning in the stock near-term.</li>
</ul>



Nuvoton Technology (4919 TT) will be deleted from the Yuanta/​P-Shares Taiwan Dividend Plus ETF at the close on 20 September. That was expected.
Passive trackers will need to sell 20.3m shares of Nuvoton Technology (4919 TT). That is 7x ADV, 4.8% of shares outstanding and 10.4% of float.
With no change in cumulative excess volume over the last few weeks and only a tiny increase in short interest, there could be more positioning in the stock near-term.


Yuanta/​P-Shares Taiwan Div+ ETF Rebalance: Nuvoton Could Take Another Leg Lower

Nuvoton Technology

Yuanta/​P-Shares Taiwan Div+ ETF Rebalance: Nuvoton Could Take Another Leg Lower

Yuanta/P-Shares Taiwan Div+ ETF Rebalance: Nuvoton Could Take Another Leg Lower