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

Hua Nan Financial Holdings Co Ltd. / Event-Driven

<ul>
<li>The index changes for the T50/100 index family and the TDIV index were confirmed after market close on Friday 6th December 2024.</li>
<li>There will be one ADD/DEL for T50, five ADDs/DELs for T100, and 8 ADDs/7 DELs for TDIV. All of these are perfectly in line with our final expectations. </li>
<li>In this insight, we take a look at Quiddity's final flow expectations for the December 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 6th December 2024.
There will be one ADD/DEL for T50, five ADDs/DELs for T100, and 8 ADDs/7 DELs for TDIV. All of these are perfectly in line with our final expectations. 
In this insight, we take a look at Quiddity's final flow expectations for the December 2024 index rebal event and potential trade ideas based on the flow dynamics.


Quiddity TDIV/50/100 Dec 24 Results: 100% Hit Rate; 20x+ ADV for Many Names; US$2.3bn One-Way

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>There are 8 adds and 7 deletes for the Yuanta/​P-Shares Taiwan Dividend Plus ETF in December. We had a 100% hit rate on our forecasts.</li>
<li>Estimated one-way turnover is 22.1% resulting in a one-way trade of TWD 78.8bn (US$2.4bn). There are 16 stocks with over 5 days of ADV to trade.</li>
<li>There has been a big increase in short interest on some of the deletions and there could be some short covering the stocks closer to implementation date.</li>
</ul>


There are 8 adds and 7 deletes for the Yuanta/​P-Shares Taiwan Dividend Plus ETF in December. We had a 100% hit rate on our forecasts.
Estimated one-way turnover is 22.1% resulting in a one-way trade of TWD 78.8bn (US$2.4bn). There are 16 stocks with over 5 days of ADV to trade.
There has been a big increase in short interest on some of the deletions and there could be some short covering the stocks closer to implementation date.


Yuanta/​P-Shares Taiwan Div+ ETF Rebalance: 15 Changes, 44% Turnover, US$4.8bn Trade, BIG Impact

Yang Ming Marine Transport / Event-Driven

<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 2024 index rebal event.</li>
<li>The base date for the December 2024 review was 25th November 2024. <em><strong>However, after the base date, the index selection methodology has been changed.</strong></em>
</li>
<li>As a result, we are revising our expectations for index changes and flow expectations.</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 2024 index rebal event.
The base date for the December 2024 review was 25th November 2024. However, after the base date, the index selection methodology has been changed.

As a result, we are revising our expectations for index changes and flow expectations.


Quiddity Leaderboard TDIV Dec 24: Late Changes to Methodology; New Flow Expectations

<ul>
<li>There are now new changes forecast for the Yuanta/​P-Shares Taiwan Dividend Plus ETF in December for a total of 8 inclusions and 7 deletions.</li>
<li>Constituent changes along with capping changes will lead to a one-way turnover of 21.8% and in a one-way trade of TWD 75.8bn (US$2.33bn).</li>
<li>The potential changes had a big one-day move yesterday and we expect similar moves over the next couple of days.</li>
</ul>


There are now new changes forecast for the Yuanta/​P-Shares Taiwan Dividend Plus ETF in December for a total of 8 inclusions and 7 deletions.
Constituent changes along with capping changes will lead to a one-way turnover of 21.8% and in a one-way trade of TWD 75.8bn (US$2.33bn).
The potential changes had a big one-day move yesterday and we expect similar moves over the next couple of days.


Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: Last-Second Changes to the Last-Minute Changes

Synnex Technology International / Event-Driven

<ul>
<li>There are 15 changes for the TIP Taiwan Value High Dividend Index in November. The Yuanta Taiwan Value High Dividend ETF (00940 TT) has an AUM of US$5bn.</li>
<li>Estimated one-way turnover is 26% and there are 16 stocks with over 4 days of ADV left to trade. The rebalance commenced yesterday and will end on Friday.</li>
<li>An equal weighted basket of inclusions has outperformed an equal weighted basket of deletions since July. That could continue over the week as the ETF continues to rebalance their portfolio.</li>
</ul>


There are 15 changes for the TIP Taiwan Value High Dividend Index in November. The Yuanta Taiwan Value High Dividend ETF (00940 TT) has an AUM of US$5bn.
Estimated one-way turnover is 26% and there are 16 stocks with over 4 days of ADV left to trade. The rebalance commenced yesterday and will end on Friday.
An equal weighted basket of inclusions has outperformed an equal weighted basket of deletions since July. That could continue over the week as the ETF continues to rebalance their portfolio.


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

Taiwan

King's Town Bank accepts deposits and offers various kinds of loans. The Bank provides notes and bills discounting, collecting, guarantee, remittance, securities brokerage and financing, letter of credit, foreign exchange, and traveler checks services.

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King's Town Bank (2809 TT)

Quiddity TDIV/50/100 Dec 24 Results: 100% Hit Rate; 20x+ ADV for Many Names; US$2.3bn One-Way

The TDIV Inclusions/Exclusions will be equally-distributed over five trading days from 20th December 2024 to 26th December 2024. It is a good time...

Janaghan Jeyakumar, CFA

Yuanta/P-Shares Taiwan Div+ ETF Rebalance: 15 Changes, 44% Turnover, US$4.8bn Trade, BIG Impact

There are 8 adds/7 deletes for the Yuanta Taiwan Divi+ ETF. Estimated one-way turnover is 22.1% and one-way trade is TWD 78.8bn (US$2.4bn). There...

Brian Freitas

Quiddity Leaderboard TDIV Dec 24: Late Changes to Methodology; New Flow Expectations

Our one-way flow expectations have increased from US$1.7bn to US$2.3bn for the TDIV Dec 24 index rebal event. Our expected number of index changes...

Janaghan Jeyakumar, CFA

Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: Last-Second Changes to the Last-Minute Changes

There could now be 8 adds and 7 deletes for the ETF in December leading to one-way turnover of 21.8% and in a one-way trade of TWD 75.8bn...

Brian Freitas

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

There are 15 changes a side for the TIP Taiwan Value High Dividend Index in November. Estimated one-way turnover is 26% and there are 16 stocks...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Quiddity TDIV/50/100 Dec 24 Results: 100% Hit Rate; 20x+ ADV for Many Names; US$2.3bn One-Way

The TDIV Inclusions/Exclusions will be equally-distributed over five trading days from 20th December 2024 to 26th December 2024. It is a good time...

Janaghan Jeyakumar, CFA

Yuanta/​P-Shares Taiwan Div+ ETF Rebalance: 15 Changes, 44% Turnover, US$4.8bn Trade, BIG Impact

There are 8 adds/7 deletes for the Yuanta Taiwan Divi+ ETF. Estimated one-way turnover is 22.1% and one-way trade is TWD 78.8bn (US$2.4bn). There...

Brian Freitas

Quiddity Leaderboard TDIV Dec 24: Late Changes to Methodology; New Flow Expectations

Our one-way flow expectations have increased from US$1.7bn to US$2.3bn for the TDIV Dec 24 index rebal event. Our expected number of index changes...

Janaghan Jeyakumar, CFA

Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: Last-Second Changes to the Last-Minute Changes

There could now be 8 adds and 7 deletes for the ETF in December leading to one-way turnover of 21.8% and in a one-way trade of TWD 75.8bn...

Brian Freitas

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

There are 15 changes a side for the TIP Taiwan Value High Dividend Index in November. Estimated one-way turnover is 26% and there are 16 stocks...

Brian Freitas

Yuanta/P-Shares Taiwan Div+ ETF Rebalance: 15 Changes, 44% Turnover, US$4.8bn Trade, BIG Impact