Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/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

United Integrated Services / Index Rebalance

<ul>
<li>The T50 index represents the top 50 largest stocks by market capitalization in the Taiwan Stock Exchange (TWSE). The T100 index represents the next 100 largest names (51-150 ranks).</li>
<li>In this insight, we take a look at the potential ADDs and DELs for the December 2024 index rebal event.</li>
<li>Currently, we see one change for T50 and two changes for T100 but there are four more weeks to the base date and our expectations can change until then.</li>
</ul>


The T50 index represents the top 50 largest stocks by market capitalization in the Taiwan Stock Exchange (TWSE). The T100 index represents the next 100 largest names (51-150 ranks).
In this insight, we take a look at the potential ADDs and DELs for the December 2024 index rebal event.
Currently, we see one change for T50 and two changes for T100 but there are four more weeks to the base date and our expectations can change until then.


Quiddity Leaderboard T50/​​​100 Dec 24: Two Important Takeaways for the TDIV Index

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

Synnex Technology International / Index Rebalance

Synnex Technology International (2347 TT)

<ul>
<li>There are 15 changes for the TIP Taiwan Value High Dividend Index in November. The Yuanta Taiwan Value High Dividend ETF (00940 TT) has an AUM of US$5bn.</li>
<li>Estimated one-way turnover is 26% and there are 16 stocks with over 4 days of ADV left 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 since July. That could continue over the week as the ETF continues to rebalance their portfolio.</li>
</ul>


There are 15 changes for the TIP Taiwan Value High Dividend Index in November. The Yuanta Taiwan Value High Dividend ETF (00940 TT) has an AUM of US$5bn.
Estimated one-way turnover is 26% and there are 16 stocks with over 4 days of ADV left 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 since July. That could continue over the week as the ETF continues to rebalance their portfolio.


TIP Taiwan Value High Dividend Index Rebalance: A Lot to Trade This Week

<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>I currently see 5 ADDs and 4 DELs but some of these names are different from what we had last time (<a href="https://www.smartkarma.com/insights/quiddity-leaderboard-tdiv-dec-24-5-adds-4-dels-likely-us-1-38bn-one-way" target="_blank" rel="noopener">link</a>).</li>
<li>The current estimate for one-way flow in December 2024 is US$1.54bn.</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.
I currently see 5 ADDs and 4 DELs but some of these names are different from what we had last time (link).
The current estimate for one-way flow in December 2024 is US$1.54bn.


Quiddity Leaderboard TDIV Dec 24: Trade Successful; +9.5% in Three Weeks; More Upside Possible.

Event-Driven

<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

Taiwan

United Integrated Services Co., Ltd. provides electric system integration engineering services.  The Company's services include computer, telecommunication and control system, as well as traditional electric and air conditioning engineering integration services.  United Integrated also manufactures and markets uninterrupted power supply (UPS) equipment.

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United Integrated Services (2404 TT)

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

Quiddity Leaderboard T50/100 Dec 24: Two Important Takeaways for the TDIV Index

United Intergrated Services (2404 TT) has outperformed Formosa Sumco (3532 TT) by 21% since 22nd October. UIS (2404) is a T100+TDIV expected ADD...

Janaghan Jeyakumar, CFA

TIP Taiwan Value High Dividend Index Rebalance: A Lot to Trade This Week

There are 15 changes a side for the TIP Taiwan Value High Dividend Index in November. Estimated one-way turnover is 26% and there are 16 stocks...

Brian Freitas

Quiddity Leaderboard TDIV Dec 24: Trade Successful; +9.5% in Three Weeks; More Upside Possible.

The base date for the TDIV Dec24 rebal is 25th December 2024 (next Monday). The trade suggested in this insight has been performing very well and...

Janaghan Jeyakumar, CFA

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

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52-week Range

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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

Quiddity Leaderboard T50/​​​100 Dec 24: Two Important Takeaways for the TDIV Index

United Intergrated Services (2404 TT) has outperformed Formosa Sumco (3532 TT) by 21% since 22nd October. UIS (2404) is a T100+TDIV expected ADD...

Janaghan Jeyakumar, CFA

TIP Taiwan Value High Dividend Index Rebalance: A Lot to Trade This Week

There are 15 changes a side for the TIP Taiwan Value High Dividend Index in November. Estimated one-way turnover is 26% and there are 16 stocks...

Brian Freitas

Quiddity Leaderboard TDIV Dec 24: Trade Successful; +9.5% in Three Weeks; More Upside Possible.

The base date for the TDIV Dec24 rebal is 25th December 2024 (next Monday). The trade suggested in this insight has been performing very well and...

Janaghan Jeyakumar, CFA

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 Leaderboard T50/100 Dec 24: Two Important Takeaways for the TDIV Index

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