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>There are now new changes forecast for the Yuanta/​P-Shares Taiwan Dividend Plus ETF in December for a total of 8 inclusions and 7 deletions.</li>
<li>Constituent changes along with capping changes will lead to a one-way turnover of 21.8% and in a one-way trade of TWD 75.8bn (US$2.33bn).</li>
<li>The potential changes had a big one-day move yesterday and we expect similar moves over the next couple of days.</li>
</ul>


There are now new changes forecast for the Yuanta/​P-Shares Taiwan Dividend Plus ETF in December for a total of 8 inclusions and 7 deletions.
Constituent changes along with capping changes will lead to a one-way turnover of 21.8% and in a one-way trade of TWD 75.8bn (US$2.33bn).
The potential changes had a big one-day move yesterday and we expect similar moves over the next couple of days.


Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: Last-Second Changes to the Last-Minute Changes

<ul>
<li>Using data from the close on 25 November, there could be 6 adds and 5 deletes for 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 17.3% and a one-way trade of TWD 60.6bn (US$1.86bn).</li>
<li>On average, the forecast adds have started to outperform the forecast deletes. Positioning should continue in stocks that have large flow/impact or have recently joined the list of forecast adds/deletes.</li>
</ul>


Using data from the close on 25 November, there could be 6 adds and 5 deletes for 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 17.3% and a one-way trade of TWD 60.6bn (US$1.86bn).
On average, the forecast adds have started to outperform the forecast deletes. Positioning should continue in stocks that have large flow/impact or have recently joined the list of forecast adds/deletes.


Yuanta/​P-Shares Taiwan Div+ ETF Rebalance Preview: Big Shift in Divs Leads to Last Minute Changes

Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

Highwealth Construction / Index Rebalance

<ul>
<li>In this insight, we take look at Quiddity's expectations for index changes and capping flows for the TDIV Index for the December 2024 index rebal event.</li>
<li>Today is the base date for the final ranks and we see five ADDs and four DELs.</li>
<li>We estimate one-way flow to be around US$1.68bn with multiple names having 5x ADV or more to trade.</li>
</ul>


In this insight, we take look at Quiddity's expectations for index changes and capping flows for the TDIV Index for the December 2024 index rebal event.
Today is the base date for the final ranks and we see five ADDs and four DELs.
We estimate one-way flow to be around US$1.68bn with multiple names having 5x ADV or more to trade.


Quiddity Leaderboard TDIV Dec 24: Final Expectations; US$1.68bn One-Way; +17% Gain from Last 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 Jun 28th which has an aggregated holding worth USD4,832.6bn.</li>
<li>We estimate that foreign flows to be outflows of USD11,267mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.</li>
<li>We highlight foreign changes in Highwealth, Acer, King Yuan Elec, Bora Pharma, Auo, TSMC, Novatek, Mediatek, Chailease, Umc.</li>
</ul>


We analyzed the changes in foreign holdings of TWSE Stocks as of Jun 28th which has an aggregated holding worth USD4,832.6bn.
We estimate that foreign flows to be outflows of USD11,267mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
We highlight foreign changes in Highwealth, Acer, King Yuan Elec, Bora Pharma, Auo, TSMC, Novatek, Mediatek, Chailease, Umc.


TWSE Foreign Holding Weekly (Jun 28th): Highwealth, Acer, King Yuan Elec, Bora Pharma, Auo, TSMC

<ul>
<li>We analyzed the changes in short interest of TWSE Stocks as of Jun 28th which has an aggregated short interest worth USD100.9bn.</li>
<li>We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.</li>
<li>We highlight short interest changes in Innolux, Evergreen Marine, Largan Precision, Ap Memory Tech, Wistron, Highwealth, Hon Hai, Synnex Tech Intl, Inventec.</li>
</ul>


We analyzed the changes in short interest of TWSE Stocks as of Jun 28th which has an aggregated short interest worth USD100.9bn.
We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.
We highlight short interest changes in Innolux, Evergreen Marine, Largan Precision, Ap Memory Tech, Wistron, Highwealth, Hon Hai, Synnex Tech Intl, Inventec.


TWSE Short Interest Weekly (Jun 28th): Innolux, Evergreen Marine, Largan Precision, Ap Memory Tech

Taiwan

Highwealth Construction Corp. develops and sells residential and commercial buildings which are constructed by independent construction contractors.

Price Gauge
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Highwealth Construction (2542 TT)

Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: Last-Second Changes to the Last-Minute Changes

There could now be 8 adds and 7 deletes for the ETF in December leading to one-way turnover of 21.8% and in a one-way trade of TWD 75.8bn...

Brian Freitas

Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: Big Shift in Divs Leads to Last Minute Changes

There could be 6 adds, 5 deletes, capping and funding changes, leading to a 1-way turnover of 17.3% and a 1-way trade of US$1.86bn. There are new...

Brian Freitas

Quiddity Leaderboard TDIV Dec 24: Final Expectations; US$1.68bn One-Way; +17% Gain from Last Trade

The LONG-SHORT trade suggested in our previous insight has delivered a return of 17% in less than two months. With index change expectations now...

Janaghan Jeyakumar, CFA

TWSE Foreign Holding Weekly (Jun 28th): Highwealth, Acer, King Yuan Elec, Bora Pharma, Auo, TSMC

We analyzed TWSE foreign holding data for the past week and highlighted foreign holding changes in Highwealth, Acer, King Yuan Elec, Bora Pharma,...

Ke Yan, CFA, FRM

TWSE Short Interest Weekly (Jun 28th): Innolux, Evergreen Marine, Largan Precision, Ap Memory Tech

We analyzed TWSE short interest report for the past week and highlighted short interest changes in Innolux, Evergreen Marine, Largan Precision, Ap...

Ke Yan, CFA, FRM

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: Last-Second Changes to the Last-Minute Changes

There could now be 8 adds and 7 deletes for the ETF in December leading to one-way turnover of 21.8% and in a one-way trade of TWD 75.8bn...

Brian Freitas

Yuanta/​P-Shares Taiwan Div+ ETF Rebalance Preview: Big Shift in Divs Leads to Last Minute Changes

There could be 6 adds, 5 deletes, capping and funding changes, leading to a 1-way turnover of 17.3% and a 1-way trade of US$1.86bn. There are new...

Brian Freitas

Quiddity Leaderboard TDIV Dec 24: Final Expectations; US$1.68bn One-Way; +17% Gain from Last Trade

The LONG-SHORT trade suggested in our previous insight has delivered a return of 17% in less than two months. With index change expectations now...

Janaghan Jeyakumar, CFA

TWSE Foreign Holding Weekly (Jun 28th): Highwealth, Acer, King Yuan Elec, Bora Pharma, Auo, TSMC

We analyzed TWSE foreign holding data for the past week and highlighted foreign holding changes in Highwealth, Acer, King Yuan Elec, Bora Pharma,...

Ke Yan, CFA, FRM

TWSE Short Interest Weekly (Jun 28th): Innolux, Evergreen Marine, Largan Precision, Ap Memory Tech

We analyzed TWSE short interest report for the past week and highlighted short interest changes in Innolux, Evergreen Marine, Largan Precision, Ap...

Ke Yan, CFA, FRM

Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: Big Shift in Divs Leads to Last Minute Changes