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>Using data from the close on 28 September, 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 19.8% and a one-way trade of US$1.36bn.</li>
<li>There are 15 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 28 September, 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 19.8% and a one-way trade of US$1.36bn.
There are 15 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 Dividend Plus ETF: 20% One-Way Turnover & US$2.72bn Trade

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>In this insight, we take a look at the names leading the race to become ADDs/DELETEs for the T50 and T100 Indices for the December 2023 Rebalance.</li>
<li>At present, I do not expect any index changes for the T50 index but there could be one change for the T100 index.</li>
<li>More interestingly, out of the top 10 T100 Potential DELETEs, there are five TDIV members and it will be worth tracking their rankings over the next 2 months.</li>
</ul>


In this insight, we take a look at the names leading the race to become ADDs/DELETEs for the T50 and T100 Indices for the December 2023 Rebalance.
At present, I do not expect any index changes for the T50 index but there could be one change for the T100 index.
More interestingly, out of the top 10 T100 Potential DELETEs, there are five TDIV members and it will be worth tracking their rankings over the next 2 months.


Quiddity Leaderboard T50/​​​100 Dec 23: U-Ming Marine TDIV Deletion Not Far Away

<ul>
<li>There should be 4 changes to the Yuanta/​P-Shares Taiwan Top 50 ETF and 1 deletion for the Yuanta/​P-Shares Taiwan Dividend Plus ETF in September.</li>
<li>The potential adds are driven by the AI-frenzy that has swept the market for the last few months. Most potential deletions are shipping stocks that are way off their highs.</li>
<li>Short interest on the potential deletions is high in terms of days of ADV and free float. The rise in shorts on the potential adds is being rapidly covered.</li>
</ul>


There should be 4 changes to the Yuanta/​P-Shares Taiwan Top 50 ETF and 1 deletion for the Yuanta/​P-Shares Taiwan Dividend Plus ETF in September.
The potential adds are driven by the AI-frenzy that has swept the market for the last few months. Most potential deletions are shipping stocks that are way off their highs.
Short interest on the potential deletions is high in terms of days of ADV and free float. The rise in shorts on the potential adds is being rapidly covered.


Yuanta ETFs Rebalance Preview: Changes Galore as Stocks Soar; Shorts Increase, Then Cover

<ul>
<li>In this insight, we take a look at Quiddity's final flow expectations for the September 2023 index rebalance.</li>
<li>In my previous insight, I revised my AUM assumption upwards but now I have revised it downwards based on the latest available data.</li>
<li>Based on the latest available data, I see 47 names with positive index flow expectations and 3 names with negative index flow expectations (including the DEL Wisdom Marine).</li>
</ul>


In this insight, we take a look at Quiddity's final flow expectations for the September 2023 index rebalance.
In my previous insight, I revised my AUM assumption upwards but now I have revised it downwards based on the latest available data.
Based on the latest available data, I see 47 names with positive index flow expectations and 3 names with negative index flow expectations (including the DEL Wisdom Marine).


Quiddity Leaderboard TDIV Sep 23: Wisdom Marine Could Underperform the Index

<ul>
<li>Using data from the close on 19 July, there could be 5 changes to the Yuanta/​P-Shares Taiwan Top 50 ETF and 2 deletions for the Yuanta/​P-Shares Taiwan Dividend Plus ETF.</li>
<li>Stocks that are expected to benefit from the AI revolution could gain ETF inclusion while shipping stocks are the ones expected to be deleted from the ETF.</li>
<li>There has been a huge increase in shorts on some of the potential inclusions and on most of the potential deletions. That will affect how stocks trade near term.</li>
</ul>


Using data from the close on 19 July, there could be 5 changes to the Yuanta/​P-Shares Taiwan Top 50 ETF and 2 deletions for the Yuanta/​P-Shares Taiwan Dividend Plus ETF.
Stocks that are expected to benefit from the AI revolution could gain ETF inclusion while shipping stocks are the ones expected to be deleted from the ETF.
There has been a huge increase in shorts on some of the potential inclusions and on most of the potential deletions. That will affect how stocks trade near term.


Yuanta ETFs Rebalance Preview: Soaring Stocks, Rising Shorts; AI Beats Shipping

Taiwan

U-Ming Marine Transport Corporation operates in the tramp shipping business. The Company mainly ships bulk raw materials such as iron ore, coal, grains, and cement.

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U Ming Marine Transport Corp (2606 TT)

Yuanta/P-Shares Taiwan Dividend Plus ETF: 20% One-Way Turnover & US$2.72bn Trade

The Yuanta/P-Shares Taiwan Dividend Plus ETF may see 6 adds and 5 deletes in Dec, with a 1-way turnover of 19.8% and 1-way trade of US$1.36bn. The...

Brian Freitas

Quiddity Leaderboard T50/100 Dec 23: U-Ming Marine TDIV Deletion Not Far Away

If a TDIV member gets deleted from the index selection universe (T50+T100), the name will also be deleted from the TDIV index concurrently and...

Janaghan Jeyakumar, CFA

Yuanta ETFs Rebalance Preview: Changes Galore as Stocks Soar; Shorts Increase, Then Cover

There should be 4 changes to the Yuanta Taiwan Top 50 ETF + 1 deletion for the Yuanta Taiwan Dividend Plus ETF in September. There has been a big...

Brian Freitas

Quiddity Leaderboard TDIV Sep 23: Wisdom Marine Could Underperform the Index

There could be around 7 days to sell in Wisdom Marine and I expect the stock to underperform the TDIV index over the next few weeks.

Janaghan Jeyakumar, CFA

Yuanta ETFs Rebalance Preview: Soaring Stocks, Rising Shorts; AI Beats Shipping

After a huge rally over the last couple of months, a lot of the potential inclusions are trading lower (or limit down) today. Shorts have continued...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Yuanta/​P-Shares Taiwan Dividend Plus ETF: 20% One-Way Turnover & US$2.72bn Trade

The Yuanta/P-Shares Taiwan Dividend Plus ETF may see 6 adds and 5 deletes in Dec, with a 1-way turnover of 19.8% and 1-way trade of US$1.36bn. The...

Brian Freitas

Quiddity Leaderboard T50/​​​100 Dec 23: U-Ming Marine TDIV Deletion Not Far Away

If a TDIV member gets deleted from the index selection universe (T50+T100), the name will also be deleted from the TDIV index concurrently and...

Janaghan Jeyakumar, CFA

Yuanta ETFs Rebalance Preview: Changes Galore as Stocks Soar; Shorts Increase, Then Cover

There should be 4 changes to the Yuanta Taiwan Top 50 ETF + 1 deletion for the Yuanta Taiwan Dividend Plus ETF in September. There has been a big...

Brian Freitas

Quiddity Leaderboard TDIV Sep 23: Wisdom Marine Could Underperform the Index

There could be around 7 days to sell in Wisdom Marine and I expect the stock to underperform the TDIV index over the next few weeks.

Janaghan Jeyakumar, CFA

Yuanta ETFs Rebalance Preview: Soaring Stocks, Rising Shorts; AI Beats Shipping

After a huge rally over the last couple of months, a lot of the potential inclusions are trading lower (or limit down) today. Shorts have continued...

Brian Freitas

Yuanta/P-Shares Taiwan Dividend Plus ETF: 20% One-Way Turnover & US$2.72bn Trade

Quiddity Leaderboard T50/100 Dec 23: U-Ming Marine TDIV Deletion Not Far Away