Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

<ul>
<li>The index changes for the March 2024 index rebal event for the T50/100 index family and the TDIV index were confirmed after market close on Friday 1st March 2024.</li>
<li>The confirmed changes for T50 and T100 were captured in our expectations but an additional change we expected did not materialize which adversely affected our flow expectations for March 2024.</li>
<li>In this insight, we take a close look at the breakdown of our <em>final flow expectations</em> for the upcoming Inclusion/Exclusion and Capping events.</li>
</ul>


The index changes for the March 2024 index rebal event for the T50/100 index family and the TDIV index were confirmed after market close on Friday 1st March 2024.
The confirmed changes for T50 and T100 were captured in our expectations but an additional change we expected did not materialize which adversely affected our flow expectations for March 2024.
In this insight, we take a close look at the breakdown of our final flow expectations for the upcoming Inclusion/Exclusion and Capping events.


Quiddity TDIV/​50/​100 Mar 24 Rebal: Disappointing Result but Trade Successful So Far; Bail Out Now!

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 / Index Rebalance

Hygon Information Technology C (688041 CH)

<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

Event-Driven

<ul>
<li>With the review period complete, <a href="https://www.smartkarma.com/entities/alchip-technologies-ltd" target="_blank" data-smartkarma-citation="entities:20219:1" rel="noopener">Alchip Technologies</a> is a high probability inclusion and <a href="https://www.smartkarma.com/entities/feng-tay-enterprise-co-ltd" target="_blank" data-smartkarma-citation="entities:18329:1" rel="noopener">Feng Tay Enterprise</a> is a high probability deletion for the Yuanta/P-Shares Taiwan Top 50 ETF in March.</li>
<li>Passive trackers will need to buy around 0.4x ADV in <a href="https://www.smartkarma.com/entities/alchip-technologies-ltd" target="_blank" data-smartkarma-citation="entities:20219:1" rel="noopener">Alchip Technologies (3661 TT)</a> and sell 4x ADV in <a href="https://www.smartkarma.com/entities/feng-tay-enterprise-co-ltd" target="_blank" data-smartkarma-citation="entities:18329:1" rel="noopener">Feng Tay Enterprise (9910 TT)</a>. </li>
<li>There will be positioning in both stocks, though it appears larger in <a href="https://www.smartkarma.com/entities/alchip-technologies-ltd" target="_blank" data-smartkarma-citation="entities:20219:1" rel="noopener">Alchip Technologies (3661 TT)</a> as compared to <a href="https://www.smartkarma.com/entities/feng-tay-enterprise-co-ltd" target="_blank" data-smartkarma-citation="entities:18329:1" rel="noopener">Feng Tay Enterprise (9910 TT)</a>. </li>
</ul>


With the review period complete, Alchip Technologies is a high probability inclusion and Feng Tay Enterprise is a high probability deletion for the Yuanta/P-Shares Taiwan Top 50 ETF in March.
Passive trackers will need to buy around 0.4x ADV in Alchip Technologies (3661 TT) and sell 4x ADV in Feng Tay Enterprise (9910 TT). 
There will be positioning in both stocks, though it appears larger in Alchip Technologies (3661 TT) as compared to Feng Tay Enterprise (9910 TT). 


Taiwan Top 50 ETF Rebalance Preview: Alchip (3661) Could Replace Feng Tay (9910)

<ul>
<li>In this insight, we take a look at the names leading the race to become ADDs/DELs for the T50 and T100 Indices for the March 2024 index rebal event.</li>
<li>I expect one change for the T50 index and two other changes for the T100 index.</li>
<li>The two T100 expected DELs are special because one could be a surprise deletion due to liquidity test failure and the other one is TDIV member with significant flow implications.</li>
</ul>


In this insight, we take a look at the names leading the race to become ADDs/DELs for the T50 and T100 Indices for the March 2024 index rebal event.
I expect one change for the T50 index and two other changes for the T100 index.
The two T100 expected DELs are special because one could be a surprise deletion due to liquidity test failure and the other one is TDIV member with significant flow implications.


Quiddity Leaderboard T50/​​​100 Mar 24: Bizlink TDIV DEL; Foxtron's Futile Rally; One More Surprise

<ul>
<li>There will be a bunch of rebalance announcements towards the start and at the end of the coming week. This includes the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">HSTECH</a>, HSCI, HSIII and global indices.</li>
<li>The review period for the March rebalance of the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200</a> and related indices ends on 16 February. The announcement of the changes will come couple of weeks later.</li>
<li>There were HUGE inflows to mainland China ETFs for yet another week as Central Huijin indicated that they would continue to buy/create ETFs units.</li>
</ul>


There will be a bunch of rebalance announcements towards the start and at the end of the coming week. This includes the HSI, HSCEI, HSTECH, HSCI, HSIII and global indices.
The review period for the March rebalance of the S&amp;P/ASX 200 and related indices ends on 16 February. The announcement of the changes will come couple of weeks later.
There were HUGE inflows to mainland China ETFs for yet another week as Central Huijin indicated that they would continue to buy/create ETFs units.


Index Rebalance & ETF Flow Recap: STAR100, NEXT50, LowVol30, KOSPI200, TW50, NWD, ITC, India Float

Taiwan

Feng Tay Enterprise Co., Ltd. manufactures and markets athletic footwear products.  The Company's products include sneakers and roller blades. Its headquarters, primarily for product development and human resources functions, is located at Yunlin Science and Industrial Park in Taiwan, while its factories are spread throughout China, Vietnam, Indonesia and India.

Price Gauge
52-week Range	0.00 - 0.00
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Feng Tay Enterprise (9910 TT)

Quiddity TDIV/50/100 Mar 24 Rebal: Disappointing Result but Trade Successful So Far; Bail Out Now!

Our SHORT Bizlink has underperformed the index by 4.11% in the last 2 weeks. Now, I think it is time to unwind this trade as the expected deletion...

Janaghan Jeyakumar, CFA

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

Taiwan Top 50 ETF Rebalance Preview: Alchip (3661) Could Replace Feng Tay (9910)

Alchip should replace Feng Tay in the Yuanta/P-Shares Taiwan Top 50 ETF in March. Shorts have been covering in Alchip and increasing positions in...

Brian Freitas

Quiddity Leaderboard T50/100 Mar 24: Bizlink TDIV DEL; Foxtron's Futile Rally; One More Surprise

Bizlink is a TDIV index member. If a TDIV index member gets deleted from the T50+T100 index universe, that name will also get deleted from the TDIV...

Janaghan Jeyakumar, CFA

Index Rebalance & ETF Flow Recap: STAR100, NEXT50, LowVol30, KOSPI200, TW50, NWD, ITC, India Float

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

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Quiddity TDIV/​50/​100 Mar 24 Rebal: Disappointing Result but Trade Successful So Far; Bail Out Now!

Our SHORT Bizlink has underperformed the index by 4.11% in the last 2 weeks. Now, I think it is time to unwind this trade as the expected deletion...

Janaghan Jeyakumar, CFA

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

Taiwan Top 50 ETF Rebalance Preview: Alchip (3661) Could Replace Feng Tay (9910)

Alchip should replace Feng Tay in the Yuanta/P-Shares Taiwan Top 50 ETF in March. Shorts have been covering in Alchip and increasing positions in...

Brian Freitas

Quiddity Leaderboard T50/​​​100 Mar 24: Bizlink TDIV DEL; Foxtron's Futile Rally; One More Surprise

Bizlink is a TDIV index member. If a TDIV index member gets deleted from the T50+T100 index universe, that name will also get deleted from the TDIV...

Janaghan Jeyakumar, CFA

Index Rebalance & ETF Flow Recap: STAR100, NEXT50, LowVol30, KOSPI200, TW50, NWD, ITC, India Float

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

Brian Freitas

Quiddity TDIV/50/100 Mar 24 Rebal: Disappointing Result but Trade Successful So Far; Bail Out Now!

Quiddity Leaderboard T50/100 Mar 24: Bizlink TDIV DEL; Foxtron's Futile Rally; One More Surprise