Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Pan-Asia Index Flows & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Event-Driven

<ul>
<li>The index changes for the T50/100 index family and the TDIV index were confirmed after market close on Friday 7th June 2024.</li>
<li>While the T50 and T100 index changes were perfectly in line with our expectations there were some surprises among the TDIV index changes.</li>
<li>In this insight, we take a look at Quiddity's final flow expectations for the June 2024 index rebal event and potential trade ideas based on the flow dynamics.</li>
</ul>


The index changes for the T50/100 index family and the TDIV index were confirmed after market close on Friday 7th June 2024.
While the T50 and T100 index changes were perfectly in line with our expectations there were some surprises among the TDIV index changes.
In this insight, we take a look at Quiddity's final flow expectations for the June 2024 index rebal event and potential trade ideas based on the flow dynamics.


Quiddity TDIV/50/100 Jun 24 Rebal: 15/18 Hits; Updated Flow Expectations and Trade Ideas

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

<ul>
<li>With the review period now complete, there could be 5 changes to the Yuanta/​P-Shares Taiwan Dividend Plus ETF in June.</li>
<li>Price changes and changes to dividend estimates have led to names dropping off the list of potential adds and deletes over the last week.</li>
<li>Constituent changes, capping and funding flows will lead to a one-way turnover of 12.7% and a one-way trade of US$1.17bn. There are 12 stocks with over 4x ADV to trade.</li>
</ul>


With the review period now complete, there could be 5 changes to the Yuanta/​P-Shares Taiwan Dividend Plus ETF in June.
Price changes and changes to dividend estimates have led to names dropping off the list of potential adds and deletes over the last week.
Constituent changes, capping and funding flows will lead to a one-way turnover of 12.7% and a one-way trade of US$1.17bn. There are 12 stocks with over 4x ADV to trade.


Yuanta Taiwan Div+ ETF Rebalance Preview: 5 Changes as Names Move Around; US$2.35bn Round-Trip Trade

<ul>
<li>Using data from the close on 17 May, there could be 5 changes to the Yuanta/​P-Shares Taiwan Dividend Plus ETF in June.</li>
<li>There will also be capping and funding flows that will lead to a one-way turnover of 12.6% and a one-way trade of US$1.13bn.</li>
<li>Shorts have increased on the potential adds and potential deletes and covering will lead to rally in some stocks while providing support in others at rebalance implementation.</li>
</ul>


Using data from the close on 17 May, there could be 5 changes to the Yuanta/​P-Shares Taiwan Dividend Plus ETF in June.
There will also be capping and funding flows that will lead to a one-way turnover of 12.6% and a one-way trade of US$1.13bn.
Shorts have increased on the potential adds and potential deletes and covering will lead to rally in some stocks while providing support in others at rebalance implementation.


Yuanta/​P-Shares Taiwan Div+ ETF Rebalance Preview: 13% One-Way Turnover & US$2.27bn Trade

Semiconductor & Technology Specialist, Ingenuity

William Keating

Semiconductor & Technology Specialist

Ingenuity

Our focus is exclusively on in-depth research & consulting in the broader semiconductor industry. We focus on the key players, namely Intel, Micron, Qualcomm, Apple, Samsung, NVIDIA, AMD, TSMC & Global Foundries - as well as some of the lesser known, but nonetheless critical, companies such as ASML (for EUV), Mellanox, Cavium, Xilinx etc. We specialise in their products, roadmaps, process technologies, competitive advantages & threats etc. We also help our clients understand the implications of new and emerging technologies, e.g. 3D X-Point, 3D NAND, Carbon Nanotubes, Autonomous Driving, Graphene, Silicon Photonics, Wafer-Level Optics, Artificial Intelligence, FPGA, GPU, ASIC etc. 

Semiconductor Analysis & Research

Thematic (Sector/Industry)

<ul>
<li>Q124 silicon wafer area shipments amounted to 2,834 MSI, down 5% QoQ and down 13.2% YoY. </li>
<li>In revenue terms, the top 4 global manufacturers reported revenues of $2.2 billion, down 10.4% QoQ and down 20.8% YoY.</li>
<li>Taiwan's recent earthquake did not impact Globalwafers shipments due to high inventory levels. However, tools were damaged, highlighting the risk of having so much wafer production in earthquake prone countries</li>
</ul>


Q124 silicon wafer area shipments amounted to 2,834 MSI, down 5% QoQ and down 13.2% YoY. 
In revenue terms, the top 4 global manufacturers reported revenues of $2.2 billion, down 10.4% QoQ and down 20.8% YoY.
Taiwan's recent earthquake did not impact Globalwafers shipments due to high inventory levels. However, tools were damaged, highlighting the risk of having so much wafer production in earthquake prone countries


Silicon Wafer Q124 Review, CY24 Outlook & Earthquake Risk

<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

Taiwan

Formosa Sumco Technology Corporation specializes in testing and manufacture of Silicon chip materials.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Formosa Sumco Technology (3532 TT)

Quiddity TDIV/50/100 Jun 24 Rebal: 15/18 Hits; Updated Flow Expectations and Trade Ideas

We estimate one-way flow for the TDIV June 2024 rebal to be around US$1.08bn which translates to a turnover of 17%. We expect the top outflow names...

Janaghan Jeyakumar, CFA

Yuanta Taiwan Div+ ETF Rebalance Preview: 5 Changes as Names Move Around; US$2.35bn Round-Trip Trade

There should be 5 changes in June. Constituent changes, capping and funding flows will lead to a 1-way turnover of 12.7% and a 1-way trade of...

Brian Freitas

Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: 13% One-Way Turnover & US$2.27bn Trade

The ETF could have 5 constituent changes in June. There will also be capping and funding flows that will lead to a one-way turnover of 12.6% and a...

Brian Freitas

Silicon Wafer Q124 Review, CY24 Outlook & Earthquake Risk

Q124 wafer shipments 2,834 MSI, -5% QoQ & -13.2% YoY. Revenues of top 4 were $2.2 billion, -10.4% QoQ & -20.8% YoY. Siltronic makes a good hedge...

William Keating

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

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Quiddity TDIV/50/100 Jun 24 Rebal: 15/18 Hits; Updated Flow Expectations and Trade Ideas

We estimate one-way flow for the TDIV June 2024 rebal to be around US$1.08bn which translates to a turnover of 17%. We expect the top outflow names...

Janaghan Jeyakumar, CFA

Yuanta Taiwan Div+ ETF Rebalance Preview: 5 Changes as Names Move Around; US$2.35bn Round-Trip Trade

There should be 5 changes in June. Constituent changes, capping and funding flows will lead to a 1-way turnover of 12.7% and a 1-way trade of...

Brian Freitas

Yuanta/​P-Shares Taiwan Div+ ETF Rebalance Preview: 13% One-Way Turnover & US$2.27bn Trade

The ETF could have 5 constituent changes in June. There will also be capping and funding flows that will lead to a one-way turnover of 12.6% and a...

Brian Freitas

Silicon Wafer Q124 Review, CY24 Outlook & Earthquake Risk

Q124 wafer shipments 2,834 MSI, -5% QoQ & -13.2% YoY. Revenues of top 4 were $2.2 billion, -10.4% QoQ & -20.8% YoY. Siltronic makes a good hedge...

William Keating

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

Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: 13% One-Way Turnover & US$2.27bn Trade

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