CEO, A. Stotz Investment Research

Dr. Andrew Stotz, CFA

Quantamental Investing to beat Benchmarks

A. Stotz Investment Research

We pick stocks. We construct portfolios. All our effort is focused on how to better pick stocks and construct portfolios. We serve fund management companies, family offices, and high net worth individuals.

Thematic (Sector/Industry)

<ul>
<li>We highlight 14 stocks in Asia that look interesting to us based on our FVMR methodology</li>
<li>Portfolio changes: Two stock remains, 12 stocks added into portfolio</li>
<li>Since its inception, it has generated a before-fee total return of 168% versus the MSCI Asia ex Japan of 82%</li>
</ul>


We highlight 14 stocks in Asia that look interesting to us based on our FVMR methodology
Portfolio changes: Two stock remains, 12 stocks added into portfolio
Since its inception, it has generated a before-fee total return of 168% versus the MSCI Asia ex Japan of 82%


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>
<a href="https://www.smartkarma.com/entities/pharmaessentia-corp" target="_blank" data-smartkarma-citation="entities:16461:1" rel="noopener">Pharmaessentia Corp (6446 TT)</a> will replace <a href="https://www.smartkarma.com/entities/nanya-technology-corp" target="_blank" data-smartkarma-citation="entities:3269:1" rel="noopener">Nanya Technology (2408 TT)</a> in the Yuanta/P-Shares Taiwan Top 50 ETF at the close of trading on 20 September.</li>
<li>Shorts have been covering positions in <a href="https://www.smartkarma.com/entities/pharmaessentia-corp" target="_blank" data-smartkarma-citation="entities:16461:1" rel="noopener">Pharmaessentia Corp (6446 TT)</a> while there has been a surge in new short positions in <a href="https://www.smartkarma.com/entities/nanya-technology-corp" target="_blank" data-smartkarma-citation="entities:3269:1" rel="noopener">Nanya Technology (2408 TT)</a>. </li>
<li>Cumulative excess volume in <a href="https://www.smartkarma.com/entities/pharmaessentia-corp" target="_blank" data-smartkarma-citation="entities:16461:1" rel="noopener">Pharmaessentia Corp (6446 TT)</a> has flattened out as momentum has stalled while there has been a surge in cumulative excess volume for <a href="https://www.smartkarma.com/entities/nanya-technology-corp" target="_blank" data-smartkarma-citation="entities:3269:1" rel="noopener">Nanya Technology (2408 TT)</a>.</li>
</ul>



Pharmaessentia Corp (6446 TT) will replace Nanya Technology (2408 TT) in the Yuanta/P-Shares Taiwan Top 50 ETF at the close of trading on 20 September.
Shorts have been covering positions in Pharmaessentia Corp (6446 TT) while there has been a surge in new short positions in Nanya Technology (2408 TT). 
Cumulative excess volume in Pharmaessentia Corp (6446 TT) has flattened out as momentum has stalled while there has been a surge in cumulative excess volume for Nanya Technology (2408 TT).


Taiwan Top 50 ETF Rebalance: Rallying PharmaEssentia To Replace Sliding Nanya Tech

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 T50 index represents the top 50 largest stocks by market capitalization in the Taiwan Stock Exchange (TWSE). The T100 index represents the next 100 largest names (51-150 ranks).</li>
<li>Today is the base date for the September 2024 index rebal event and the expected ADDs/DELs  discussed in this insight are our final index change expectations.</li>
<li>Separately, we also have a look at the T50/100 index implications of the <a href="https://www.smartkarma.com/entities/shin-kong-financial-holding" target="_blank" data-smartkarma-citation="entities:15351:1" rel="noopener">Shin Kong Financial Holding (2888 TT)</a> - <a href="https://www.smartkarma.com/entities/taishin-financial-holding" target="_blank" data-smartkarma-citation="entities:715:1" rel="noopener">Taishin Financial Holding (2887 TT)</a> merger situation.</li>
</ul>


The T50 index represents the top 50 largest stocks by market capitalization in the Taiwan Stock Exchange (TWSE). The T100 index represents the next 100 largest names (51-150 ranks).
Today is the base date for the September 2024 index rebal event and the expected ADDs/DELs  discussed in this insight are our final index change expectations.
Separately, we also have a look at the T50/100 index implications of the Shin Kong Financial Holding (2888 TT) - Taishin Financial Holding (2887 TT) merger situation.


Quiddity Leaderboard T50/​​​100 Sep 24: Nuvoton Tech TDIV DEL Likely; Shin Kong M&A Consequences

<ul>
<li>
<a href="https://www.smartkarma.com/entities/pharmaessentia-corp" target="_blank" data-smartkarma-citation="entities:16461:1" rel="noopener">Pharmaessentia Corp (6446 TT)</a> could replace <a href="https://www.smartkarma.com/entities/nanya-technology-corp" target="_blank" data-smartkarma-citation="entities:3269:1" rel="noopener">Nanya Technology (2408 TT)</a> in the Taiwan Top 50 ETF in September. <a href="https://www.smartkarma.com/entities/airtac-international-group" target="_blank" data-smartkarma-citation="entities:20538:1" rel="noopener">Airtac International (1590 TT)</a> has possibly just avoided deletion.</li>
<li>Short interest has been dropping in <a href="https://www.smartkarma.com/entities/pharmaessentia-corp" target="_blank" data-smartkarma-citation="entities:16461:1" rel="noopener">Pharmaessentia Corp (6446 TT)</a> as the stock has rallied, while cumulative excess volume has continued to increase steadily.</li>
<li>Shorts have increased in <a href="https://www.smartkarma.com/entities/nanya-technology-corp" target="_blank" data-smartkarma-citation="entities:3269:1" rel="noopener">Nanya Technology (2408 TT)</a> as the stock price dropped. There has been no increase in volume on the recent upmove indicating a possibility of further downside.</li>
</ul>



Pharmaessentia Corp (6446 TT) could replace Nanya Technology (2408 TT) in the Taiwan Top 50 ETF in September. Airtac International (1590 TT) has possibly just avoided deletion.
Short interest has been dropping in Pharmaessentia Corp (6446 TT) as the stock has rallied, while cumulative excess volume has continued to increase steadily.
Shorts have increased in Nanya Technology (2408 TT) as the stock price dropped. There has been no increase in volume on the recent upmove indicating a possibility of further downside.


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

Asia Pac IPO & Placement Research, China biotech, Aequitas Research

Ke Yan, CFA, FRM

Asia Pac IPO & Placement Research, China biotech

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Quantitative Analysis

<ul>
<li>We analyzed the changes in foreign holdings of TWSE Stocks as of Aug 23rd which has an aggregated holding worth USD967.8bn.</li>
<li>We estimate that foreign flows to be outflows of USD186mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.</li>
<li>We highlight foreign changes in Far Eastone Telecommunications, Taiwan Semiconductor Manufacturing, Ctbc Financial Holding.</li>
</ul>


We analyzed the changes in foreign holdings of TWSE Stocks as of Aug 23rd which has an aggregated holding worth USD967.8bn.
We estimate that foreign flows to be outflows of USD186mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
We highlight foreign changes in Far Eastone Telecommunications, Taiwan Semiconductor Manufacturing, Ctbc Financial Holding.


TWSE Foreign Holding Weekly (Aug 23rd): Far Eastone Telecommunications

Taiwan

PharmaEssentia Corporation develops and distributes therapeutic products for treatment in human disease. The Company develops drugs to treat hepatitis, chronic myeloid leukemia (CML), essential thrombocythemia (ET), myeloid fibrosis (MF), polycythemia vera (PV), hepatitis and cancer.

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Pharmaessentia Corp (6446 TT)

The Stocks to Own in Asia – Vol. 46

We highlight 14 stocks in Asia that look interesting to us based on our FVMR methodology. Portfolio changes: Two stock remains, 12 stocks added.

A. Stotz Investment Research

Taiwan Top 50 ETF Rebalance: Rallying PharmaEssentia To Replace Sliding Nanya Tech

Pharmaessentia will replace Nanya Tech in the Top 50 ETF at the close of trading on 20 Sep. Passives need to trade around 1x ADV in both stocks....

Brian Freitas

Quiddity Leaderboard T50/100 Sep 24: Nuvoton Tech TDIV DEL Likely; Shin Kong M&A Consequences

We expect Nuvoton Technology (4919 TT) to be deleted from the T100 index in September 2024. Since this name is a TDIV member, it is likely to be...

Janaghan Jeyakumar, CFA

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

PharmaEssentia could replace Nanya Tech in the Taiwan Top50 ETF. Shorts have been covering Pharmaessentia and building positions in Nanya Tech....

Brian Freitas

TWSE Foreign Holding Weekly (Aug 23rd): Far Eastone Telecommunications

We analyzed TWSE foreign holding data for the past week and highlighted foreign holding changes in Far Eastone Telecommunications, Taiwan...

Ke Yan, CFA, FRM

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

The Stocks to Own in Asia – Vol. 46

We highlight 14 stocks in Asia that look interesting to us based on our FVMR methodology. Portfolio changes: Two stock remains, 12 stocks added.

A. Stotz Investment Research

Taiwan Top 50 ETF Rebalance: Rallying PharmaEssentia To Replace Sliding Nanya Tech

Pharmaessentia will replace Nanya Tech in the Top 50 ETF at the close of trading on 20 Sep. Passives need to trade around 1x ADV in both stocks....

Brian Freitas

Quiddity Leaderboard T50/​​​100 Sep 24: Nuvoton Tech TDIV DEL Likely; Shin Kong M&A Consequences

We expect Nuvoton Technology (4919 TT) to be deleted from the T100 index in September 2024. Since this name is a TDIV member, it is likely to be...

Janaghan Jeyakumar, CFA

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

PharmaEssentia could replace Nanya Tech in the Taiwan Top50 ETF. Shorts have been covering Pharmaessentia and building positions in Nanya Tech....

Brian Freitas

TWSE Foreign Holding Weekly (Aug 23rd): Far Eastone Telecommunications

We analyzed TWSE foreign holding data for the past week and highlighted foreign holding changes in Far Eastone Telecommunications, Taiwan...

Ke Yan, CFA, FRM

Quiddity Leaderboard T50/100 Sep 24: Nuvoton Tech TDIV DEL Likely; Shin Kong M&A Consequences