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

Index Rebalance

Yang Ming Marine Transport / Index Rebalance

<ul>
<li>There are 5 adds and 5 deletes for the Yuanta/​P-Shares Taiwan Dividend Plus ETF in June with implementation starting on 20 June and ending on 26 June.</li>
<li>Estimated one-way turnover is 17.7% resulting in a round-trip trade of TWD 158bn (US$5.3bn). There are 10 stocks with over 5 days of ADV to trade.</li>
<li>There are a few stocks that have same-way or opposing flows from other index trackers over the next couple of weeks and those stocks could outperform/underperform their peers.</li>
</ul>


There are 5 adds and 5 deletes for the Yuanta/​P-Shares Taiwan Dividend Plus ETF in June with implementation starting on 20 June and ending on 26 June.
Estimated one-way turnover is 17.7% resulting in a round-trip trade of TWD 158bn (US$5.3bn). There are 10 stocks with over 5 days of ADV to trade.
There are a few stocks that have same-way or opposing flows from other index trackers over the next couple of weeks and those stocks could outperform/underperform their peers.


Yuanta/​P-Shares Taiwan Div+ ETF Rebalance: Huge Turnover & Flow Overlap

Uni President Enterprises / Index Rebalance

<ul>
<li>There should be 5 changes for the Yuanta/​P-Shares Taiwan Dividend Plus ETF in June. Most changes are due to missing dividend forecasts for constituent stocks.</li>
<li>Constituent changes along with capping changes will lead to a one-way turnover of 17.6% and in a round-trip trade of TWD 157bn (US$5.2bn).</li>
<li>There are multiple stocks that have same-way or opposite flow from trackers of other Taiwan dividend yield weighted indices and presents some interesting trading opportunities.</li>
</ul>


There should be 5 changes for the Yuanta/​P-Shares Taiwan Dividend Plus ETF in June. Most changes are due to missing dividend forecasts for constituent stocks.
Constituent changes along with capping changes will lead to a one-way turnover of 17.6% and in a round-trip trade of TWD 157bn (US$5.2bn).
There are multiple stocks that have same-way or opposite flow from trackers of other Taiwan dividend yield weighted indices and presents some interesting trading opportunities.


Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: Five Changes; US$5.2bn Trade; Other Index Flows

<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

Asia Pac ECM and Index Rebal, Shenton Research

Ke Yan, CFA, FRM

Asia Pac ECM and Index Rebal

Asia Pac IPO & Placement Research, China Biotech

DZT Research

DZT Research is an independent Asia Pacific equity specialist. Our quantitative research covers index rebalancing flows, alongside exchange data analytics accross Asia Pacific. On the equity capital markets side, we focus on Asia Pacific ECM, especially biotech and TMT. Our lead analyst is frequently cited by international media.

Quantitative Analysis

<ul>
<li>We analyzed the changes in short interest of TWSE Stocks as of Mar 28th which has an aggregated short interest worth USD20.8bn.</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 Quanta Computer, Eva Airways, Macronix International, Sinopac Financial, Largan Precision, Chang Hwa Commercial Bank.</li>
</ul>


We analyzed the changes in short interest of TWSE Stocks as of Mar 28th which has an aggregated short interest worth USD20.8bn.
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 Quanta Computer, Eva Airways, Macronix International, Sinopac Financial, Largan Precision, Chang Hwa Commercial Bank.


TWSE Short Interest Weekly (Mar 28th): Quanta Computer, Eva Airways, Macronix Intl

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Cheng Shin Rubber Ind Co., Ltd. / Index Rebalance

Cheng Shin Rubber Ind Co., Ltd. (2105 TT)

<ul>
<li>The index changes for the T50/100 index family and the TDIV index were confirmed after market close on Friday 7th March 2025.</li>
<li>There will be one change for T50 and two other changes for T100. There will be no changes for the TDIV index but there will be capping flows.</li>
<li>In this insight, we will take a look at our final flow expectations for the March 2025 index rebal event.</li>
</ul>


The index changes for the T50/100 index family and the TDIV index were confirmed after market close on Friday 7th March 2025.
There will be one change for T50 and two other changes for T100. There will be no changes for the TDIV index but there will be capping flows.
In this insight, we will take a look at our final flow expectations for the March 2025 index rebal event.


Quiddity TDIV/50/100 Mar25 Results: US$500Mn+ One-Way Flows Collectively; Only One Surprise

Taiwan

SinoPac Financial Holdings Co., Ltd. is an investment holding company, formed through Bank SinoPac and SinoPac Securities.

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SinoPac Holdings (2890 TT)

Yuanta/P-Shares Taiwan Div+ ETF Rebalance: Huge Turnover & Flow Overlap

There are 5 changes in June. One-way turnover is around 17.7% and round-trip trade is TWD US$5.3bn. 10 stocks have over 5x ADV to trade. Some...

Brian Freitas

Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: Five Changes; US$5.2bn Trade; Other Index Flows

There could be 5 changes in June with one-way turnover of 17.6% and a round-trip trade of US$5.2bn. Multiple stocks will have flows from other div...

Brian Freitas

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

TWSE Short Interest Weekly (Mar 28th): Quanta Computer, Eva Airways, Macronix Intl

We analyzed TWSE short interest report for the past week and highlighted short interest changes in Quanta Computer, Eva Airways, Macronix...

Ke Yan, CFA, FRM

Quiddity TDIV/50/100 Mar25 Results: US$500Mn+ One-Way Flows Collectively; Only One Surprise

Many TDIV members have more than 2x ADV to trade. Cheng Shin Rubber is the highest-impact name with 7.4x ADV to sell. We expect this name to...

Janaghan Jeyakumar, CFA

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52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Yuanta/​P-Shares Taiwan Div+ ETF Rebalance: Huge Turnover & Flow Overlap

There are 5 changes in June. One-way turnover is around 17.7% and round-trip trade is TWD US$5.3bn. 10 stocks have over 5x ADV to trade. Some...

Brian Freitas

Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: Five Changes; US$5.2bn Trade; Other Index Flows

There could be 5 changes in June with one-way turnover of 17.6% and a round-trip trade of US$5.2bn. Multiple stocks will have flows from other div...

Brian Freitas

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

TWSE Short Interest Weekly (Mar 28th): Quanta Computer, Eva Airways, Macronix Intl

We analyzed TWSE short interest report for the past week and highlighted short interest changes in Quanta Computer, Eva Airways, Macronix...

Ke Yan, CFA, FRM

Quiddity TDIV/50/100 Mar25 Results: US$500Mn+ One-Way Flows Collectively; Only One Surprise

Many TDIV members have more than 2x ADV to trade. Cheng Shin Rubber is the highest-impact name with 7.4x ADV to sell. We expect this name to...

Janaghan Jeyakumar, CFA

Yuanta/P-Shares Taiwan Div+ ETF Rebalance: Huge Turnover & Flow Overlap