Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

Far Eastern New Century / Index Rebalance

<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

Managing Director, Zero One, Zero One

Vincent Fernando, CFA

Managing Director, Zero One

Zero One

Founded in 2015, Zero One produces independent investment research and provides corporate finance advisory services with a focus on both listed and private technology companies. Founder Vincent Fernando has over 20 years of experience in US and Asia capital markets.

Independent Investment Research

Equity Bottom-Up

TSMC (Taiwan Semiconductor Manufacturing) - ADR / Equity Bottom-Up

TSMC (Taiwan Semiconductor Manufacturing) - ADR

<ul>
<li>Market Largely Influenced by Macro Trends and Nvidia Movements This Past Week</li>
<li>Key Events: Computex, Apple WDC, Key Taiwan May Revenue Releases</li>
<li>Apple (AAPL US) Is Overhauling Siri In Order to Create a Beautiful Voice-based AI Interface for the iPhone</li>
</ul>


Market Largely Influenced by Macro Trends and Nvidia Movements This Past Week
Key Events: Computex, Apple WDC, Key Taiwan May Revenue Releases
Apple (AAPL US) Is Overhauling Siri In Order to Create a Beautiful Voice-based AI Interface for the iPhone


Taiwan Tech Weekly: Computex & Apple WDC Imminent; Apple Releasing New AI Voice Interface for IPhone

Research and consultancy, Tabbush Report

Daniel Tabbush

Research and consultancy

Tabbush Report

We provide research and consultancy on Asian banks. Our focus is on what we call “Asian bank research, without the noise.” We are interested in the most critical swing-factors for banks, the NPL and credit cycle, and where we believe there is a gap between perception and reality. We often focus on the less studied components of bank financial statements.  Our research is highly thematic, sometimes examining unlisted banks and companies as a window on mainstream banks. 

Being independent allows us to look at smaller banks, often overlooked by others. Analysis of BIS bank guidelines in the context of Asia, is also a focal point, while we also analyze global banks operating in the region. We use what we believe is the most comprehensive, reliable financials database, SNL Financial. S&P Capital IQ augments our database, with corporate data and CEIC, with economics. 

Asian bank research, without the noise.

Chang Hwa Commercial Bank / Equity Bottom-Up

<ul>
<li>April monthly data on pre-tax income shows slowing YoY growth compared with YTD growth</li>
<li>NIM pressure was severe in past six months and this can be a key driver of less profit growth</li>
<li>Credit costs in decline supported net profit delta, but this may not longer be sustainable</li>
</ul>


April monthly data on pre-tax income shows slowing YoY growth compared with YTD growth
NIM pressure was severe in past six months and this can be a key driver of less profit growth
Credit costs in decline supported net profit delta, but this may not longer be sustainable


Chang Hwa Commercial Bank - April Monthly Profit Figures Suggest Slowing Growth

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/asia-vital-components" target="_blank" data-smartkarma-citation="entities:18397:1" rel="noopener">Asia Vital Components (3017 TT)</a> could replace <a href="https://www.smartkarma.com/entities/chang-hwa-commercial-bank" target="_blank" data-smartkarma-citation="entities:3494:1" rel="noopener">Chang Hwa Commercial Bank (2801 TT)</a> in the Yuanta/P-Shares Taiwan Top 50 ETF at the June rebalance.</li>
<li>This ETF inclusion for <a href="https://www.smartkarma.com/entities/asia-vital-components" target="_blank" data-smartkarma-citation="entities:18397:1" rel="noopener">Asia Vital Components (3017 TT)</a> could come back-to-back with another index inclusion scheduled for the end of May.</li>
<li>Shorts in <a href="https://www.smartkarma.com/entities/asia-vital-components" target="_blank" data-smartkarma-citation="entities:18397:1" rel="noopener">Asia Vital Components (3017 TT)</a> have been increasing recently while shorts in <a href="https://www.smartkarma.com/entities/chang-hwa-commercial-bank" target="_blank" data-smartkarma-citation="entities:3494:1" rel="noopener">Chang Hwa Commercial Bank (2801 TT)</a> are near their lows.</li>
</ul>



Asia Vital Components (3017 TT) could replace Chang Hwa Commercial Bank (2801 TT) in the Yuanta/P-Shares Taiwan Top 50 ETF at the June rebalance.
This ETF inclusion for Asia Vital Components (3017 TT) could come back-to-back with another index inclusion scheduled for the end of May.
Shorts in Asia Vital Components (3017 TT) have been increasing recently while shorts in Chang Hwa Commercial Bank (2801 TT) are near their lows.


Taiwan Top 50 ETF Rebalance Preview: Asia Vital Components (3017 TT) In Back-To-Back Inclusion?

<ul>
<li>In this insight, we take a look at our final expectations for ADDs/DELs for the T50 and T100 indices for the June 2024 index rebal event.</li>
<li>Today is the base date for the T50/100 June 2024 index review and there are some changes to our expectations since my last insight roughly a month ago.</li>
<li>We see one change for the T50 index and three changes for the T100 index.</li>
</ul>


In this insight, we take a look at our final expectations for ADDs/DELs for the T50 and T100 indices for the June 2024 index rebal event.
Today is the base date for the T50/100 June 2024 index review and there are some changes to our expectations since my last insight roughly a month ago.
We see one change for the T50 index and three changes for the T100 index.


Quiddity Leaderboard T50/​​​100 Jun 24: Bizlink TDIV Deletion And Some Surprises

Taiwan

Chang Hwa Commercial Bank provides a broad range of financial services.  The Bank's operations include deposits, short-term and mid-term loans, discount bills, securities brokerage, foreign currency transactions, and trust banking.

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Chang Hwa Commercial Bank (2801 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

Taiwan Tech Weekly: Computex & Apple WDC Imminent; Apple Releasing New AI Voice Interface for IPhone

Key events this week include Computex, Apple WDC, and Taiwan revenue releases. Apple is revamping Siri to create a voice-based AI interface for the...

Vincent Fernando, CFA

Chang Hwa Commercial Bank - April Monthly Profit Figures Suggest Slowing Growth

April income figures show slowing growth compared with March. NIM compression is a concern and potentially rising credit costs, unlike the recent...

Daniel Tabbush

Taiwan Top 50 ETF Rebalance Preview: Asia Vital Components (3017 TT) In Back-To-Back Inclusion?

Asia Vital Components (3017 TT) should replace Chang Hwa Commercial Bank at the June rebalance. The 3017 TT inclusion will come hot on the heels of...

Brian Freitas

Quiddity Leaderboard T50/100 Jun 24: Bizlink TDIV Deletion And Some Surprises

The main takeaway would be the potential deletion of Bizlink (3665 TT) from the T100 index which will also result in the name being deleted from...

Janaghan Jeyakumar, CFA

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

Taiwan Tech Weekly: Computex & Apple WDC Imminent; Apple Releasing New AI Voice Interface for IPhone

Key events this week include Computex, Apple WDC, and Taiwan revenue releases. Apple is revamping Siri to create a voice-based AI interface for the...

Vincent Fernando, CFA

Chang Hwa Commercial Bank - April Monthly Profit Figures Suggest Slowing Growth

April income figures show slowing growth compared with March. NIM compression is a concern and potentially rising credit costs, unlike the recent...

Daniel Tabbush

Taiwan Top 50 ETF Rebalance Preview: Asia Vital Components (3017 TT) In Back-To-Back Inclusion?

Asia Vital Components (3017 TT) should replace Chang Hwa Commercial Bank at the June rebalance. The 3017 TT inclusion will come hot on the heels of...

Brian Freitas

Quiddity Leaderboard T50/​​​100 Jun 24: Bizlink TDIV Deletion And Some Surprises

The main takeaway would be the potential deletion of Bizlink (3665 TT) from the T100 index which will also result in the name being deleted from...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard T50/100 Jun 24: Bizlink TDIV Deletion And Some Surprises