Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

Tung Ho Steel Enterprise / Index Rebalance

<ul>
<li>The TDIV index tracks the top 50 names in the Taiwan Stock Exchange with the highest dividend yields. It is a yield-weighted index with unique capping rules.</li>
<li>In this insight, we take look at Quiddity's expectations for index changes and capping flows for the TDIV Index for the September 2025 index rebal event.</li>
<li>Currently, we expect no changes for the TDIV index for the September 2025 review and we estimate the one-way capping flow to be US$662mn.</li>
</ul>


The TDIV index tracks the top 50 names in the Taiwan Stock Exchange with the highest dividend yields. It is a yield-weighted index with unique capping rules.
In this insight, we take look at Quiddity's expectations for index changes and capping flows for the TDIV Index for the September 2025 index rebal event.
Currently, we expect no changes for the TDIV index for the September 2025 review and we estimate the one-way capping flow to be US$662mn.


Quiddity Leaderboard TDIV Sep25: Sector-Neutral Pair Trade Ideas with Some High Impact Names

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

Yang Ming Marine Transport / Index Rebalance

<ul>
<li>There are 10 changes for the TIP Taiwan Value High Dividend Index in May. The Yuanta Taiwan Value High Dividend ETF (00940 TT) has an AUM of US$4.4bn.</li>
<li>Estimated one-way turnover is 25.2% and there are 12 stocks with over 4 days of ADV to trade. The rebalance commenced yesterday and will end on Friday.</li>
<li>An equal weighted basket of inclusions has outperformed an equal weighted basket of deletions over the last month. That could continue near-term as the ETF continues to rebalance their portfolio.</li>
</ul>


There are 10 changes for the TIP Taiwan Value High Dividend Index in May. The Yuanta Taiwan Value High Dividend ETF (00940 TT) has an AUM of US$4.4bn.
Estimated one-way turnover is 25.2% and there are 12 stocks with over 4 days of ADV to trade. The rebalance commenced yesterday and will end on Friday.
An equal weighted basket of inclusions has outperformed an equal weighted basket of deletions over the last month. That could continue near-term as the ETF continues to rebalance their portfolio.


TIP Taiwan Value High Dividend Index Rebalance: 10 Changes Implemented This Week; US$2.2bn Trade

Vanguard Intl Semiconductor / Index Rebalance

<ul>
<li>There are 13 changes for the TIP Customized Taiwan Select High Dividend Index in June. The TIP Taiwan Select High Dividend ETF (00919 TW) has an AUM of US$6.4bn.</li>
<li>One-Way turnover is estimated at 41% and that will result in a round-trip trade of TWD 168.8bn (US$5.2bn). There are 16 stocks that could have over 4x ADV to trade.</li>
<li>The rebalance will be implemented over 8 trading days and the ETF has started trading the stocks last week.</li>
</ul>


There are 13 changes for the TIP Customized Taiwan Select High Dividend Index in June. The TIP Taiwan Select High Dividend ETF (00919 TW) has an AUM of US$6.4bn.
One-Way turnover is estimated at 41% and that will result in a round-trip trade of TWD 168.8bn (US$5.2bn). There are 16 stocks that could have over 4x ADV to trade.
The rebalance will be implemented over 8 trading days and the ETF has started trading the stocks last week.


TIP Customized Taiwan Select High Dividend Index Rebalance: 13 Changes & US$5.2bn Round-Trip Trade

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 Mar 29th which has an aggregated holding worth USD3,994.1bn.</li>
<li>We estimate that foreign flows to be outflows of USD5,801mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign instutions.</li>
<li>We highlight foreign changes in Hon Hai, Wistron, Wiwynn, Alchip Tech, Realtek Semi, Lite-On Tech, Mediatek, Umc, Chicony Elec, Inventec.</li>
</ul>


We analyzed the changes in foreign holdings of TWSE Stocks as of Mar 29th which has an aggregated holding worth USD3,994.1bn.
We estimate that foreign flows to be outflows of USD5,801mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign instutions.
We highlight foreign changes in Hon Hai, Wistron, Wiwynn, Alchip Tech, Realtek Semi, Lite-On Tech, Mediatek, Umc, Chicony Elec, Inventec.


TWSE Foreign Holding Weekly (Mar 29th): Hon Hai, Wistron, Wiwynn, Alchip Tech, Realtek Semi, Lite-On

<ul>
<li>We analyzed the changes in foreign holdings of TWSE Stocks as of Mar 22nd which has an aggregated holding worth USD4,011.4bn.</li>
<li>We estimate that foreign flows to be outflows of USD4,790mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign instutions.</li>
<li>We highlight foreign changes in TSMC, Unimicron Tech, Delta Elec, Quanta Computer, Hon Hai, Evergreen Marine, Mediatek, Gigabyte Tech, Pegatron, Getac Holdings.</li>
</ul>


We analyzed the changes in foreign holdings of TWSE Stocks as of Mar 22nd which has an aggregated holding worth USD4,011.4bn.
We estimate that foreign flows to be outflows of USD4,790mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign instutions.
We highlight foreign changes in TSMC, Unimicron Tech, Delta Elec, Quanta Computer, Hon Hai, Evergreen Marine, Mediatek, Gigabyte Tech, Pegatron, Getac Holdings.


TWSE Foreign Holding Weekly (Mar 22nd): TSMC, Unimicron Tech, Delta Elec, Quanta Computer, Hon Hai

Taiwan

Getac Technology Corporation designs, manufactures, and markets laptops for business, personal, and military use.  The Company sells its products worldwide.

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Getac Technology (3005 TT)

Quiddity Leaderboard TDIV Sep25: Sector-Neutral Pair Trade Ideas with Some High Impact Names

Assuming no index changes take place in September 2025, we estimate one-way capping flows of US$662mn. Some of these names have fairly high impacts.

Janaghan Jeyakumar, CFA

TIP Taiwan Value High Dividend Index Rebalance: 10 Changes Implemented This Week; US$2.2bn Trade

There are 10 index changes in May. Estimated one-way turnover is 25.2% and trade is US$2.2bn. 12 stocks with over 4x ADV to trade. Multiple stocks...

Brian Freitas

TIP Customized Taiwan Select High Dividend Index Rebalance: 13 Changes & US$5.2bn Round-Trip Trade

There are 13 changes for the index in June. One-way turnover is estimated at 41% resulting in a round-trip trade of TWD 168.8bn (US$5.2bn). There...

Brian Freitas

TWSE Foreign Holding Weekly (Mar 29th): Hon Hai, Wistron, Wiwynn, Alchip Tech, Realtek Semi, Lite-On

We analyzed TWSE foreign holding data for the past week and highlighted foreign holding changes in Hon Hai, Wistron, Wiwynn, Alchip Tech, Realtek...

Ke Yan, CFA, FRM

TWSE Foreign Holding Weekly (Mar 22nd): TSMC, Unimicron Tech, Delta Elec, Quanta Computer, Hon Hai

We analyzed TWSE foreign holding data for the past week and highlighted foreign holding changes in TSMC, Unimicron Tech, Delta Elec, Quanta...

Ke Yan, CFA, FRM

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