Equity Analyst, Event-driven, Quiddity Advisors

Janaghan Jeyakumar, CFA

Equity Analyst, Event-driven

Quiddity Advisors

Pan-Asia Catalysts/Events

Event-Driven

<ul>
<li>In this insight, we take a look at Quiddity's flow expectations for the September 2023 index rebalance.</li>
<li>Since my last insight, my estimate for the tracking AUM estimate assumption for September 2023 has increased and has caused changes to my flow expectations.</li>
<li>Separately, the SHORTs suggested in my last insight have underperformed the index by 15.6% in 3 weeks. I have updated my thoughts on that as well.</li>
</ul>


In this insight, we take a look at Quiddity's flow expectations for the September 2023 index rebalance.
Since my last insight, my estimate for the tracking AUM estimate assumption for September 2023 has increased and has caused changes to my flow expectations.
Separately, the SHORTs suggested in my last insight have underperformed the index by 15.6% in 3 weeks. I have updated my thoughts on that as well.


Quiddity Leaderboard TDIV Sep 23: AUM Assumption Changes Again; SHORTs Down 15.6% Vs Index

IPOs and Catalysts/Events, Global Equity Research Ltd

Arun George

IPOs and Catalysts/Events

Uncompromised, Independent, Conflict-Free Research

Global Equity Research Ltd

Global Equity Research was started in 2017 by a group of experienced research professionals. It was founded on a passionate belief in the importance and the need for uncompromised, independent, conflict-free research. We aim to provide differentiated and actionable primary and bottom up fundamental research.

<ul>
<li>
<a href="https://www.smartkarma.com/entities/adbri-ltd" target="_blank" data-smartkarma-citation="entities:20166:1" rel="noopener">Adbri (ABC AU)</a> has entered a scheme implementation deed with <a href="https://www.smartkarma.com/entities/crh-plc-054117b2-cd70-470a-9efc-8f6fab2c83ec" target="_blank" data-smartkarma-citation="entities:28655:1" rel="noopener">CRH (CRH US)</a> and Barro at A$3.20 per share, a 41.0% premium to the undisturbed price of A$2.27 (13 December).</li>
<li>The offer requires shareholder and FIRB approval. FIRB approval for the bidder, CRH, should be forthcoming as it is a Fortune 500 company with HQ in Ireland. </li>
<li>The offer is attractive vs. peer multiples and historical ranges. At the last close and for a mid-June payment, the gross/annualised spread is 1.9%/6.6%.</li>
</ul>



Adbri (ABC AU) has entered a scheme implementation deed with CRH (CRH US) and Barro at A$3.20 per share, a 41.0% premium to the undisturbed price of A$2.27 (13 December).
The offer requires shareholder and FIRB approval. FIRB approval for the bidder, CRH, should be forthcoming as it is a Fortune 500 company with HQ in Ireland. 
The offer is attractive vs. peer multiples and historical ranges. At the last close and for a mid-June payment, the gross/annualised spread is 1.9%/6.6%.


Adbri (ABC AU): CRH and Barro’s Binding A$3.20 Offer

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

Hygon Information Technology C / Event-Driven

<ul>
<li>The changes for the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">SSE STAR50 (STAR50 INDEX)</a> and STAR100 Index were announced post market close on Friday.</li>
<li>The coming week is a full one with capping cutoffs, review cutoffs, announcements and implementations apart from futures expiries.</li>
<li>With China open after Lunar New Year, the National Team is back pouring money into ETFs with the largest inflows to the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300</a>, <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500</a>, <a href="https://www.smartkarma.com/entities/chinext-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">ChiNext</a> and <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50</a> indices.</li>
</ul>


The changes for the SSE STAR50 (STAR50 INDEX) and STAR100 Index were announced post market close on Friday.
The coming week is a full one with capping cutoffs, review cutoffs, announcements and implementations apart from futures expiries.
With China open after Lunar New Year, the National Team is back pouring money into ETFs with the largest inflows to the CSI 300, CSI 500, ChiNext and STAR50 indices.


Index Rebalance & ETF Flow Recap: HSCEI, HSCI, HSTECH, HSIII, STTF, Top50, Div+, FXI, FnGuide

<ul>
<li>
<a href="https://www.smartkarma.com/entities/bizlink-holding-inc" target="_blank" data-smartkarma-citation="entities:6779:1" rel="noopener">Bizlink Holding (3665 TT)</a> should be deleted from the Yuanta/​P-Shares Taiwan Dividend Plus ETF in March and that will trigger selling of over 8 days of ADV.</li>
<li>There will be capping and funding flows due to the higher AUM and passive trackers will need to trade over 0.4x ADV in 5 stocks.</li>
<li>Shorts have covered positions in <a href="https://www.smartkarma.com/entities/bizlink-holding-inc" target="_blank" data-smartkarma-citation="entities:6779:1" rel="noopener">Bizlink Holding (3665 TT)</a> but there has been a recent uptick that could be linked to positioning for the rebalance.</li>
</ul>



Bizlink Holding (3665 TT) should be deleted from the Yuanta/​P-Shares Taiwan Dividend Plus ETF in March and that will trigger selling of over 8 days of ADV.
There will be capping and funding flows due to the higher AUM and passive trackers will need to trade over 0.4x ADV in 5 stocks.
Shorts have covered positions in Bizlink Holding (3665 TT) but there has been a recent uptick that could be linked to positioning for the rebalance.


Yuanta/​P-Shares Taiwan Div+ ETF Rebalance Preview: One Deletion & Capping Changes

Cheng Shin Rubber Ind Co., Ltd. / Event-Driven

<ul>
<li>There are 5 adds and 4 deletes to the Yuanta/​P-Shares Taiwan Dividend Plus ETF in December with implementation taking place from 15-21 December.</li>
<li>The constituent changes and capping changes result in an estimated one-way turnover of 16.1% resulting in a one-way trade of US$1.26bn.</li>
<li>There will be positioning in a lot of the adds/deletes and the real action could be in the other stocks with capping and/or funding flows.</li>
</ul>


There are 5 adds and 4 deletes to the Yuanta/​P-Shares Taiwan Dividend Plus ETF in December with implementation taking place from 15-21 December.
The constituent changes and capping changes result in an estimated one-way turnover of 16.1% resulting in a one-way trade of US$1.26bn.
There will be positioning in a lot of the adds/deletes and the real action could be in the other stocks with capping and/or funding flows.


Yuanta/​P-Shares Taiwan Div+ ETF Rebalance: Changes Lead to Huge Turnover

Taiwan

Asia Cement Corporation manufactures and sells cement, clinker, ready-mixed concrete, as well as granulated blast-furnace slag and fly ash.  The Company markets its cement and clinker products under the Skyscraper brand name.

Asia Cement (1102 TT)

Quiddity Leaderboard TDIV Sep 23: AUM Assumption Changes Again; SHORTs Down 15.6% Vs Index

Based on current data, I see one-way capping flows of US$145mn which translates to a turnover of roughly 2.0%. However, impacts are low for most...

Janaghan Jeyakumar, CFA

Adbri (ABC AU): CRH and Barro’s Binding A$3.20 Offer

The offer is attractive vs. peer multiples and historical ranges. At the last close and for a mid-June payment, the gross/annualised spread is 1.9%...

Arun George

Index Rebalance & ETF Flow Recap: HSCEI, HSCI, HSTECH, HSIII, STTF, Top50, Div+, FXI, FnGuide

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: One Deletion & Capping Changes

We expect Bizlink will be deleted from the Yuanta/P-shares Taiwan Mid-Cap 100 ETF and the Yuanta/P-Shares Taiwan Dividend Plus ETF in March. That...

Brian Freitas

Yuanta/P-Shares Taiwan Div+ ETF Rebalance: Changes Lead to Huge Turnover

On average, the adds have outperformed the deletes by 5.2% since the announcement of the changes and by 1.12% since the start of the implementation...

Brian Freitas

Quiddity Leaderboard TDIV Sep 23: AUM Assumption Changes Again; SHORTs Down 15.6% Vs Index

Based on current data, I see one-way capping flows of US$145mn which translates to a turnover of roughly 2.0%. However, impacts are low for most...

Janaghan Jeyakumar, CFA

Adbri (ABC AU): CRH and Barro’s Binding A$3.20 Offer

The offer is attractive vs. peer multiples and historical ranges. At the last close and for a mid-June payment, the gross/annualised spread is 1.9%...

Arun George

Index Rebalance & ETF Flow Recap: HSCEI, HSCI, HSTECH, HSIII, STTF, Top50, Div+, FXI, FnGuide

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

Yuanta/​P-Shares Taiwan Div+ ETF Rebalance Preview: One Deletion & Capping Changes

We expect Bizlink will be deleted from the Yuanta/P-shares Taiwan Mid-Cap 100 ETF and the Yuanta/​P-Shares Taiwan Dividend Plus ETF in March. That...

Brian Freitas

Yuanta/​P-Shares Taiwan Div+ ETF Rebalance: Changes Lead to Huge Turnover

On average, the adds have outperformed the deletes by 5.2% since the announcement of the changes and by 1.12% since the start of the implementation...

Brian Freitas

Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: One Deletion & Capping Changes

We expect Bizlink will be deleted from the Yuanta/P-shares Taiwan Mid-Cap 100 ETF and the Yuanta/P-Shares Taiwan Dividend Plus ETF in March. That...

Yuanta/P-Shares Taiwan Div+ ETF Rebalance: Changes Lead to Huge Turnover