Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

Yang Ming Marine Transport / 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>The base date for the December 2024 review was 25th November 2024. <em><strong>However, after the base date, the index selection methodology has been changed.</strong></em>
</li>
<li>As a result, we are revising our expectations for index changes and flow expectations.</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.
The base date for the December 2024 review was 25th November 2024. However, after the base date, the index selection methodology has been changed.

As a result, we are revising our expectations for index changes and flow expectations.


Quiddity Leaderboard TDIV Dec 24: Late Changes to Methodology; New Flow Expectations

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

<ul>
<li>Using data from the close on 15 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 16.9% and a one-way trade of TWD 57.5bn (US$1.77bn).</li>
<li>Short interest is at the highs in most forecast deletes, while the trend is mixed among the potential inclusions.</li>
</ul>


Using data from the close on 15 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 16.9% and a one-way trade of TWD 57.5bn (US$1.77bn).
Short interest is at the highs in most forecast deletes, while the trend is mixed among the potential inclusions.


Yuanta/​P-Shares Taiwan Div+ ETF Rebalance Preview: 6 Adds, 5 Deletes, Capping, US$3.5bn Trade

Far Eastern New Century / Index Rebalance

<ul>
<li>The ADDs/DELs for the TDIV, T50, and T100 indices for the September 2024 index rebal event was confirmed after market close on Friday 6th September 2024.</li>
<li>There will be one change for the T50 index and four separate changes for the T100 index. One of the T100 changes will also trigger a TDIV index deletion.</li>
<li>In this insight, we have presented our final estimates for the index flows for ADDs/DELs and capping flows for the TDIV index.</li>
</ul>


The ADDs/DELs for the TDIV, T50, and T100 indices for the September 2024 index rebal event was confirmed after market close on Friday 6th September 2024.
There will be one change for the T50 index and four separate changes for the T100 index. One of the T100 changes will also trigger a TDIV index deletion.
In this insight, we have presented our final estimates for the index flows for ADDs/DELs and capping flows for the TDIV index.


Quiddity TDIV/50/​​​100 Sep 24 Rebal: 100% Hit Rate; Perfectly Positioned for Our Trade

Taiwan

Taiwan Secom Co Ltd provides diversified technology-based integrated security solutions for commercial enterprises and residences.  The Company monitors and maintains security systems devices, such as burglar and fire alarms for offices, shops, parking lots, and residences.  Taiwan Secom also provides security system consulting, designing, engineering, and integration services.

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Taiwan Secom (9917 TT)

Quiddity Leaderboard TDIV Dec 24: Late Changes to Methodology; New Flow Expectations

Our one-way flow expectations have increased from US$1.7bn to US$2.3bn for the TDIV Dec 24 index rebal event. Our expected number of index changes...

Janaghan Jeyakumar, CFA

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

Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: 6 Adds, 5 Deletes, Capping, US$3.5bn Trade

There could be 6 adds, 5 deletes, capping and funding changes, leading to a one-way turnover of 16.9% and a round-trip trade of US$3.55bn. There...

Brian Freitas

Quiddity TDIV/50/100 Sep 24 Rebal: 100% Hit Rate; Perfectly Positioned for Our Trade

The TDIV index change flows and capping flows will be equally distributed over five trading days (close of trading on 20th, 23rd, 24th, 25th, and...

Janaghan Jeyakumar, CFA

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52-week Range

Market Cap (USDm)

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Quiddity Leaderboard TDIV Dec 24: Late Changes to Methodology; New Flow Expectations

Our one-way flow expectations have increased from US$1.7bn to US$2.3bn for the TDIV Dec 24 index rebal event. Our expected number of index changes...

Janaghan Jeyakumar, CFA

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

Yuanta/​P-Shares Taiwan Div+ ETF Rebalance Preview: 6 Adds, 5 Deletes, Capping, US$3.5bn Trade

There could be 6 adds, 5 deletes, capping and funding changes, leading to a one-way turnover of 16.9% and a round-trip trade of US$3.55bn. There...

Brian Freitas

Quiddity TDIV/50/​​​100 Sep 24 Rebal: 100% Hit Rate; Perfectly Positioned for Our Trade

The TDIV index change flows and capping flows will be equally distributed over five trading days (close of trading on 20th, 23rd, 24th, 25th, and...

Janaghan Jeyakumar, CFA

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

Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: 6 Adds, 5 Deletes, Capping, US$3.5bn Trade

Quiddity TDIV/50/100 Sep 24 Rebal: 100% Hit Rate; Perfectly Positioned for Our Trade