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

<ul>
<li>There could be 2 adds and 2 deletes for Taiwan in a global index in February. Today is the last trading day ahead of the CNY holidays.</li>
<li>Passive trackers will need to trade between US$76m to US$370m of the stocks and impact will vary between 3.2x-7x ADV to trade.</li>
<li>Shorts are small in the potential adds and there has been short covering recently, while there has been a big increase in shorts for one of the potential deletes.</li>
</ul>


There could be 2 adds and 2 deletes for Taiwan in a global index in February. Today is the last trading day ahead of the CNY holidays.
Passive trackers will need to trade between US$76m to US$370m of the stocks and impact will vary between 3.2x-7x ADV to trade.
Shorts are small in the potential adds and there has been short covering recently, while there has been a big increase in shorts for one of the potential deletes.


Taiwan: Potential Global Index Changes; Last Review Day Today

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 Dec 27th which has an aggregated short interest worth USD21.7bn.</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 Evergreen Marine, Yang Ming Marine, Shanghai Commercial &amp; Savings Bank, Asia Vital Components, Alchip Technologies, Far Eastern New Century, Wiwynn, Walsin Lihwa.</li>
</ul>


We analyzed the changes in short interest of TWSE Stocks as of Dec 27th which has an aggregated short interest worth USD21.7bn.
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 Evergreen Marine, Yang Ming Marine, Shanghai Commercial &amp; Savings Bank, Asia Vital Components, Alchip Technologies, Far Eastern New Century, Wiwynn, Walsin Lihwa.


TWSE Short Interest Weekly (Dec 27th): Evergreen Marine, Yang Ming Marine, SCSB, Asia Vital

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Hua Nan Financial Holdings Co Ltd. / Index Rebalance

Hua Nan Financial Holdings Co Ltd. (2880 TT)

<ul>
<li>The index changes for the T50/100 index family and the TDIV index were confirmed after market close on Friday 6th December 2024.</li>
<li>There will be one ADD/DEL for T50, five ADDs/DELs for T100, and 8 ADDs/7 DELs for TDIV. All of these are perfectly in line with our final expectations. </li>
<li>In this insight, we take a look at Quiddity's final flow expectations for the December 2024 index rebal event and potential trade ideas based on the flow dynamics.</li>
</ul>


The index changes for the T50/100 index family and the TDIV index were confirmed after market close on Friday 6th December 2024.
There will be one ADD/DEL for T50, five ADDs/DELs for T100, and 8 ADDs/7 DELs for TDIV. All of these are perfectly in line with our final expectations. 
In this insight, we take a look at Quiddity's final flow expectations for the December 2024 index rebal event and potential trade ideas based on the flow dynamics.


Quiddity TDIV/50/100 Dec 24 Results: 100% Hit Rate; 20x+ ADV for Many Names; US$2.3bn One-Way

Event-Driven

Hua Nan Financial Holdings Co Ltd. / Event-Driven

<ul>
<li>There are 8 adds and 7 deletes for the Yuanta/​P-Shares Taiwan Dividend Plus ETF in December. We had a 100% hit rate on our forecasts.</li>
<li>Estimated one-way turnover is 22.1% resulting in a one-way trade of TWD 78.8bn (US$2.4bn). There are 16 stocks with over 5 days of ADV to trade.</li>
<li>There has been a big increase in short interest on some of the deletions and there could be some short covering the stocks closer to implementation date.</li>
</ul>


There are 8 adds and 7 deletes for the Yuanta/​P-Shares Taiwan Dividend Plus ETF in December. We had a 100% hit rate on our forecasts.
Estimated one-way turnover is 22.1% resulting in a one-way trade of TWD 78.8bn (US$2.4bn). There are 16 stocks with over 5 days of ADV to trade.
There has been a big increase in short interest on some of the deletions and there could be some short covering the stocks closer to implementation date.


Yuanta/​P-Shares Taiwan Div+ ETF Rebalance: 15 Changes, 44% Turnover, US$4.8bn Trade, BIG Impact

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

Taiwan

Walsin Lihwa Corp. manufactures and markets electric wires and cables. The Company's products include bare copper cables, power cables, and aluminum alloy transmission line conductors.  Walsin Lihwa sells its products in Taiwan and exports to Southeast Asia, Hong Kong, China, Korea, and Japan.

Price Gauge
52-week Range	0.00 - 0.00
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Walsin Lihwa (1605 TT)

Taiwan: Potential Global Index Changes; Last Review Day Today

There could be 4 changes for Taiwan in global indices in Feb. Flow is US$76-370m and impact is 3.2x-7x ADV. Shorts are small in the adds and much...

Brian Freitas

TWSE Short Interest Weekly (Dec 27th): Evergreen Marine, Yang Ming Marine, SCSB, Asia Vital

We analyzed TWSE short interest report for the past week and highlighted short interest changes in Evergreen Marine, Yang Ming Marine, SCSB, Asia...

Ke Yan, CFA, FRM

Quiddity TDIV/50/100 Dec 24 Results: 100% Hit Rate; 20x+ ADV for Many Names; US$2.3bn One-Way

The TDIV Inclusions/Exclusions will be equally-distributed over five trading days from 20th December 2024 to 26th December 2024. It is a good time...

Janaghan Jeyakumar, CFA

Yuanta/P-Shares Taiwan Div+ ETF Rebalance: 15 Changes, 44% Turnover, US$4.8bn Trade, BIG Impact

There are 8 adds/7 deletes for the Yuanta Taiwan Divi+ ETF. Estimated one-way turnover is 22.1% and one-way trade is TWD 78.8bn (US$2.4bn). There...

Brian Freitas

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

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Taiwan: Potential Global Index Changes; Last Review Day Today

There could be 4 changes for Taiwan in global indices in Feb. Flow is US$76-370m and impact is 3.2x-7x ADV. Shorts are small in the adds and much...

Brian Freitas

TWSE Short Interest Weekly (Dec 27th): Evergreen Marine, Yang Ming Marine, SCSB, Asia Vital

We analyzed TWSE short interest report for the past week and highlighted short interest changes in Evergreen Marine, Yang Ming Marine, SCSB, Asia...

Ke Yan, CFA, FRM

Quiddity TDIV/50/100 Dec 24 Results: 100% Hit Rate; 20x+ ADV for Many Names; US$2.3bn One-Way

The TDIV Inclusions/Exclusions will be equally-distributed over five trading days from 20th December 2024 to 26th December 2024. It is a good time...

Janaghan Jeyakumar, CFA

Yuanta/​P-Shares Taiwan Div+ ETF Rebalance: 15 Changes, 44% Turnover, US$4.8bn Trade, BIG Impact

There are 8 adds/7 deletes for the Yuanta Taiwan Divi+ ETF. Estimated one-way turnover is 22.1% and one-way trade is TWD 78.8bn (US$2.4bn). There...

Brian Freitas

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: 15 Changes, 44% Turnover, US$4.8bn Trade, BIG Impact