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>Nearly a third of the way through the review period, we see 12 potential changes for the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index (KOSDQ150 INDEX EQUITY)</a> at the December rebalance.</li>
<li>There could be one change to the index in July/August following <a href="https://www.smartkarma.com/entities/nice-information-service-co" target="_blank" data-smartkarma-citation="entities:20236:1" rel="noopener">Nice Information Service Co (030190 KS)</a>'s transfer from the KOSDAQ Market to the KOSPI Market.</li>
<li>The potential adds have outperformed the potential deletes over the last few months and there could be further outperformance as we go through the review period.</li>
</ul>


Nearly a third of the way through the review period, we see 12 potential changes for the KOSDAQ 150 Index (KOSDQ150 INDEX EQUITY) at the December rebalance.
There could be one change to the index in July/August following Nice Information Service Co (030190 KS)'s transfer from the KOSDAQ Market to the KOSPI Market.
The potential adds have outperformed the potential deletes over the last few months and there could be further outperformance as we go through the review period.


KOSDAQ150 Index Rebalance Preview: A Dozen Potential Changes from Now to December

Korea / Special Situations, Clepsydra Capital

Sanghyun Park

Korea / Special Situations

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

Event-Driven

<ul>
<li>Here are the tradable stocks for Long/Short position buildups for the KOSDAQ 150 rebalancing in June.</li>
<li>LONG (Additions): <strong>Dear U (376300 KS), Vidente (121800 KS), GOLFZON (215000 KS), Hana Micron (067310 KS), Danal (064260 KS), &amp; Intellian Technologies (189300 KS) </strong>
</li>
<li>SHORT (Deletions): <strong>Daea Ti (045390 KS), Advanced Process Systems (265520 KS), Unison (018000 KS), Danawa (119860 KS), OE Solutions (138080 KS), &amp; Toptec (108230 KS) </strong>
</li>
</ul>


Here are the tradable stocks for Long/Short position buildups for the KOSDAQ 150 rebalancing in June.
LONG (Additions): Dear U (376300 KS), Vidente (121800 KS), GOLFZON (215000 KS), Hana Micron (067310 KS), Danal (064260 KS), &amp; Intellian Technologies (189300 KS) 

SHORT (Deletions): Daea Ti (045390 KS), Advanced Process Systems (265520 KS), Unison (018000 KS), Danawa (119860 KS), OE Solutions (138080 KS), &amp; Toptec (108230 KS) 



KOSDAQ 150 Rebalancing in June: Safely Tradable Names for Position Buildups at This Point

<ul>
<li>One third of the way through the review period for the June rebalance, we see 14 potential changes to the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index (KOSDQ150 INDEX)</a>.</li>
<li>One-Way turnover is estimated at 6.29% and the impact on the expected deletions is a lot higher than the impact on the expected inclusions.</li>
<li>The potential inclusions have outperformed the potential deletions and are starting to lose some ground now. The potential inclusions are not short sell eligible and could move higher again.</li>
</ul>


One third of the way through the review period for the June rebalance, we see 14 potential changes to the KOSDAQ 150 Index (KOSDQ150 INDEX).
One-Way turnover is estimated at 6.29% and the impact on the expected deletions is a lot higher than the impact on the expected inclusions.
The potential inclusions have outperformed the potential deletions and are starting to lose some ground now. The potential inclusions are not short sell eligible and could move higher again.


KOSDAQ150 Index Rebalance Preview (June 2022): Lots of Changes Early in the Review Period

<p>The GS merger is coming to an end.</p><p>The exercise of the stock appraisal right will be completed on the following Monday, and the trading suspension of GS Home Shopping stock will start from the following Tuesday.</p><table class="table table-striped">
<colgroup>
<col width="200">
<col width="200">
</colgroup>
<tbody>
<tr><td colspan="2" data-sheets-value='{"1":2,"2":"Timetable"}'>Timetable</td></tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Trade suspension (GS Home Shopping)"}'><strong>Trade suspension (GS Home Shopping)</strong></td>
<td data-sheets-value='{"1":2,"2":"2021. 6. 29 ~ 7. 15"}'><strong>It begins on June 29 and runs until July 15.</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Listing"}'>Listing of new shares</td>
<td data-sheets-value='{"1":3,"3":44393}' data-sheets-numberformat='{"1":5,"2":"yyyy. m. d","3":1}'>2021. 7. 16</td>
</tr>
<tr><td colspan="2" data-sheets-value='{"1":2,"2":"Source: DART"}'>Source: DART</td></tr>
</tbody>
</table><p>Currently, the merger arbitrage yield remains below 2%.</p><table class="table table-striped">
<colgroup>
<col width="100">
<col width="100">
<col width="100">
</colgroup>
<tbody>
<tr>
<td data-sheets-value='{"1":2,"2":"Spread - swap"}'>Spread - swap</td>
<td style="text-align: center;" data-sheets-value='{"1":2,"2":"Acquirer"}'>Acquirer</td>
<td style="text-align: center;" data-sheets-value='{"1":2,"2":"Target company"}'>Target company</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Current price"}'>Current price</td>
<td style="text-align: center;" data-sheets-value='{"1":3,"3":36500}' data-sheets-numberformat='[null,2,"[$₩-412]#,##0",1]' data-sheets-formula='=googlefinance(Terms!R[2]C[0], "price")'>₩36,500</td>
<td style="text-align: center;" data-sheets-value='{"1":3,"3":151400}' data-sheets-numberformat='[null,2,"[$₩-412]#,##0",1]' data-sheets-formula='=googlefinance(Terms!R[5]C[-1], "price")'>₩151,400</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Swap price"}'>Swap price</td>
<td style="text-align: center;" data-sheets-value='{"1":3,"3":33800}' data-sheets-numberformat='[null,2,"[$₩-412]#,##0",1]' data-sheets-formula="=Terms!R[7]C[0]">₩33,800</td>
<td style="text-align: center;" data-sheets-value='{"1":3,"3":142762}' data-sheets-numberformat='[null,2,"[$₩-412]#,##0",1]' data-sheets-formula="=Terms!R[13]C[-1]">₩142,762</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":" - x Swap ratio"}'>- x Swap ratio</td>
<td style="text-align: center;" data-sheets-value='{"1":3,"3":154164.4441}' data-sheets-numberformat='[null,2,"[$₩-412]#,##0",1]' data-sheets-formula="=R[-2]C[0]*Terms!R[15]C[0]">₩154,164</td>
<td style="text-align: center;" data-sheets-value='{"1":3,"3":151400}' data-sheets-numberformat='[null,2,"[$₩-412]#,##0",1]' data-sheets-formula="=R[-2]C[0]">₩151,400</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Spread"}'><strong>Spread</strong></td>
<td colspan="2" rowspan="1" style="text-align: center;" data-sheets-value='{"1":3,"3":0.01825920805812413}' data-sheets-numberformat='[null,3,"0.00%",1]' data-sheets-formula="=(R[-1]C[0]-R[-1]C[1])/R[-1]C[1]"><strong>1.83%</strong></td>
</tr>
<tr><td colspan="3" rowspan="1" data-sheets-value='{"1":2,"2":"Source: DART &amp; KRX"}'>Source: DART &amp; KRX</td></tr>
</tbody>
</table><section class="figure"><p>The merger arbitrage yield has remained at 3% since the beginning of this month but has recently fallen to 2%.</p>
<figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/214/987/original/GS+Retail+%26+GS+Home+Shopping+merger+swap+arb+yield.png?1624505472" class="editor-image img-responsive" data-smartkarma-image-id="214987"></figure><p>This appears to be due to the fact that the stock prices of both companies to be merged greatly exceeded the exercise price of the stock appraisal, so there was little incentive to attract arb traders.</p>
<table class="table table-striped">
<colgroup>
<col width="100">
<col width="100">
<col width="100">
</colgroup>
<tbody>
<tr>
<td data-sheets-value='{"1":2,"2":"Spread - stock purchase"}'>Spread - stock purchase</td>
<td style="text-align: center;" data-sheets-value='{"1":2,"2":"Acquirer"}'>Acquirer - GS Retail</td>
<td style="text-align: center;" data-sheets-value='{"1":2,"2":"Target company"}'>Target company - GS Home Shopping</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Current price"}'>Current price</td>
<td style="text-align: center;" data-sheets-value='{"1":3,"3":36450}' data-sheets-numberformat='[null,2,"[$₩-412]#,##0",1]' data-sheets-formula="=R[-7]C[0]">₩36,450</td>
<td style="text-align: center;" data-sheets-value='{"1":3,"3":150900}' data-sheets-numberformat='[null,2,"[$₩-412]#,##0",1]' data-sheets-formula="=R[-7]C[0]">₩150,900</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Exercise price"}'>Exercise price</td>
<td style="text-align: center;" data-sheets-value='{"1":3,"3":34125}' data-sheets-numberformat='[null,2,"[$₩-412]#,##0",1]' data-sheets-formula="=Terms!R[12]C[0]">₩34,125</td>
<td style="text-align: center;" data-sheets-value='{"1":3,"3":138855}' data-sheets-numberformat='[null,2,"[$₩-412]#,##0",1]' data-sheets-formula="=Terms!R[13]C[-1]">₩138,855</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Premium"}'><strong> - Premium to the exercise price</strong></td>
<td style="text-align: center;" data-sheets-value='{"1":3,"3":0.06813186813186813}' data-sheets-numberformat='[null,3,"0.00%",1]' data-sheets-formula="=(R[-2]C[0]-R[-1]C[0])/R[-1]C[0]"><strong>6.81%</strong></td>
<td style="text-align: center;" data-sheets-value='{"1":3,"3":0.0867451658204602}' data-sheets-numberformat='[null,3,"0.00%",1]' data-sheets-formula="=(R[-2]C[0]-R[-1]C[0])/R[-1]C[0]"><strong>8.67%</strong></td>
</tr>
<tr><td colspan="3" rowspan="1" data-sheets-value='{"1":2,"2":"Source: DART &amp; KRX"}'>Source: DART &amp; KRX</td></tr>
</tbody>
</table></section>

The GS merger is coming to an end.The exercise of the stock appraisal right will be completed on the following Monday, and the trading suspension of GS Home Shopping stock will start from the following Tuesday.





Timetable

Trade suspension (GS Home Shopping)
It begins on June 29 and runs until July 15.


Listing of new shares
2021. 7. 16

Source: DART

Currently, the merger arbitrage yield remains below 2%.







Spread - swap
Acquirer
Target company


Current price
₩36,500
₩151,400


Swap price
₩33,800
₩142,762


- x Swap ratio
₩154,164
₩151,400


Spread
1.83%

Source: DART &amp; KRX

The merger arbitrage yield has remained at 3% since the beginning of this month but has recently fallen to 2%.
This appears to be due to the fact that the stock prices of both companies to be merged greatly exceeded the exercise price of the stock appraisal, so there was little incentive to attract arb traders.








Spread - stock purchase
Acquirer - GS Retail
Target company - GS Home Shopping


Current price
₩36,450
₩150,900


Exercise price
₩34,125
₩138,855


 - Premium to the exercise price
6.81%
8.67%

Source: DART &amp; KRX



GS Merger Arb: Let's Capitalize on a Potential Arb Yield Spike on KOSDAQ 150 Rebalancing (June 28)

<p>On 10 November 2020, <a href="https://www.smartkarma.com/entities/gs-holdings" target="_blank" data-smartkarma-citation="entities:18524:1" rel="noopener">GS Holdings (078930 KS)</a> announced the merger of two of its retail units <a href="https://www.smartkarma.com/entities/gs-retail-co-ltd" target="_blank" data-smartkarma-citation="entities:3867:1" rel="noopener">GS Retail (007070 KS)</a> and <a href="https://www.smartkarma.com/entities/gs-home-shopping-inc" target="_blank" data-smartkarma-citation="entities:3916:1" rel="noopener">GS Home Shopping (028150 KS)</a>. The merger ratio was announced as 4.22 shares of <a href="https://www.smartkarma.com/entities/gs-retail-co-ltd" target="_blank" data-smartkarma-citation="entities:3867:1" rel="noopener">GS Retail (007070 KS)</a> for 1 share of <a href="https://www.smartkarma.com/entities/gs-home-shopping-inc" target="_blank" data-smartkarma-citation="entities:3916:1" rel="noopener">GS Home Shopping (028150 KS)</a>.</p><p>Last evening, the KRX announced the deletion of <a href="https://www.smartkarma.com/entities/gs-home-shopping-inc" target="_blank" data-smartkarma-citation="entities:3916:1" rel="noopener">GS Home Shopping (028150 KS)</a> from the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index (KOSDQ150 INDEX)</a> and the inclusion of <a href="https://www.smartkarma.com/entities/modetour-network-inc" target="_blank" data-smartkarma-citation="entities:14818:1" rel="noopener">Modetour Network (080160 KS)</a> with the change becoming effective after the close of trading on 28 June.</p><p>We estimate passive <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index (KOSDQ150 INDEX)</a> trackers will need to sell 5 days of ADV on <a href="https://www.smartkarma.com/entities/gs-home-shopping-inc" target="_blank" data-smartkarma-citation="entities:3916:1" rel="noopener">GS Home Shopping (028150 KS)</a> while buying 1 day of ADV on <a href="https://www.smartkarma.com/entities/modetour-network-inc" target="_blank" data-smartkarma-citation="entities:14818:1" rel="noopener">Modetour Network (080160 KS)</a>. </p><p>KRX will increase the number of index shares for <a href="https://www.smartkarma.com/entities/gs-retail-co-ltd" target="_blank" data-smartkarma-citation="entities:3867:1" rel="noopener">GS Retail (007070 KS)</a> in the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200-index" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX)</a> at the same time and passive trackers will need to buy 0.7 days of ADV on the stock.</p><p>The <a href="https://www.smartkarma.com/entities/gs-retail-co-ltd" target="_blank" data-smartkarma-citation="entities:3867:1" rel="noopener">GS Retail (007070 KS)</a> / <a href="https://www.smartkarma.com/entities/gs-home-shopping-inc" target="_blank" data-smartkarma-citation="entities:3916:1" rel="noopener">GS Home Shopping (028150 KS)</a> spread will be interesting at the close on 28 June and there will be opportunities to unwind existing positions or to initiate new positions.</p>

On 10 November 2020, GS Holdings (078930 KS) announced the merger of two of its retail units GS Retail (007070 KS) and GS Home Shopping (028150 KS). The merger ratio was announced as 4.22 shares of GS Retail (007070 KS) for 1 share of GS Home Shopping (028150 KS).Last evening, the KRX announced the deletion of GS Home Shopping (028150 KS) from the KOSDAQ 150 Index (KOSDQ150 INDEX) and the inclusion of Modetour Network (080160 KS) with the change becoming effective after the close of trading on 28 June.We estimate passive KOSDAQ 150 Index (KOSDQ150 INDEX) trackers will need to sell 5 days of ADV on GS Home Shopping (028150 KS) while buying 1 day of ADV on Modetour Network (080160 KS). KRX will increase the number of index shares for GS Retail (007070 KS) in the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) at the same time and passive trackers will need to buy 0.7 days of ADV on the stock.The GS Retail (007070 KS) / GS Home Shopping (028150 KS) spread will be interesting at the close on 28 June and there will be opportunities to unwind existing positions or to initiate new positions.

KOSDAQ150 Index Rebalance: Modetour to Replace GS Home Shopping; GS Retail Weight Increase in KOSPI2

South Korea

Modetour Network Inc. provides a wide range of travel services. The Company's main services include overseas bookings, package tours, air courier services, and discount airline ticketing services.

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Modetour Network (080160 KS)

KOSDAQ150 Index Rebalance Preview: A Dozen Potential Changes from Now to December

There could be 12 changes for the KOSDAQ150 from now to December. The forecast adds have outperformed the potential deletes and there could be more...

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KOSDAQ 150 Rebalancing in June: Safely Tradable Names for Position Buildups at This Point

This post screens the tradable stocks for Long/Short position buildups for the KOSDAQ 150 rebalancing, which will occur on the second Thursday in...

Sanghyun Park

KOSDAQ150 Index Rebalance Preview (June 2022): Lots of Changes Early in the Review Period

A third of the way through the review period, we see 14 potential changes to the KOSDAQ150 Index at the June rebalance. A reversal in performance...

Brian Freitas

GS Merger Arb: Let's Capitalize on a Potential Arb Yield Spike on KOSDAQ 150 Rebalancing (June 28)

KOSDAQ 150 rebalancing trading on June 28 will cause a temporary drop in GS Home Shopping's share price, leading to a further stretch of the GS...

Sanghyun Park

KOSDAQ150 Index Rebalance: Modetour to Replace GS Home Shopping; GS Retail Weight Increase in KOSPI2

Modetour will replace GS Home Shopping in the KOSDAQ150 at the close on 28 June. GS Retail's shares in the KOSPI200 will be increased at the same...

Brian Freitas

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