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

HD Hyundai Marine Solution  / Event-Driven

<ul>
<li>After a 96.5% gain on listing day, <a href="https://www.smartkarma.com/entities/hd-hyundai-marine-solution-co" target="_blank" data-smartkarma-citation="entities:41002:1" rel="noopener">HD Hyundai Marine Solution (443060 KS)</a> is very close to levels needed for <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX)</a> inclusion in June.</li>
<li>
<a href="https://www.smartkarma.com/entities/hd-hyundai-marine-solution-co" target="_blank" data-smartkarma-citation="entities:41002:1" rel="noopener">HD Hyundai Marine Solution</a> needs to outperform the 50th ranked stock in the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI2 INDEX</a> by 11.4% on average over the next 15 trading days to be added to the index.</li>
<li>Retail investors sold 25% of their allocation on listing day while foreign investors sold 22% of their IPO allocation with local institutions mopping up the shares.</li>
</ul>


After a 96.5% gain on listing day, HD Hyundai Marine Solution (443060 KS) is very close to levels needed for Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) inclusion in June.

HD Hyundai Marine Solution needs to outperform the 50th ranked stock in the KOSPI2 INDEX by 11.4% on average over the next 15 trading days to be added to the index.
Retail investors sold 25% of their allocation on listing day while foreign investors sold 22% of their IPO allocation with local institutions mopping up the shares.


HD Hyundai Marine Solution (443060 KS): Nearing KOSPI200 Index Inclusion in June

Index Rebalance

There could be two changes to 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 September index futures expiry with <a href="https://www.smartkarma.com/entities/kakaobank-corp" target="_blank" data-smartkarma-citation="entities:33501:1" rel="noopener">KakaoBank (1349010D KS)</a> and <a href="https://www.smartkarma.com/entities/krafton-inc" target="_blank" data-smartkarma-citation="entities:28956:1" rel="noopener"> Krafton Inc (259960 KS)</a> getting Fast Entry and replacing <a href="https://www.smartkarma.com/entities/lock-lock-co-ltd" target="_blank" data-smartkarma-citation="entities:4739:1" rel="noopener">Lock&amp;Lock (115390 KS)</a> and <a href="https://www.smartkarma.com/entities/jw-pharmaceutical-corp" target="_blank" data-smartkarma-citation="entities:18784:1" rel="noopener">Jw Pharmaceutical (001060 KS)</a> at the close of trading on 9 September.Then, the Korea Exchange (KRX) will announce the results of the December 2021 review of 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> in November. The constituent changes will be effective after the close of trading on 9 December.We see 5 potential changes at the December rebalance with <a href="https://www.smartkarma.com/entities/f-f-co-ltd-new" target="_blank" data-smartkarma-citation="entities:33479:1" rel="noopener">F&amp;F (383220 KS)</a>, <a href="https://www.smartkarma.com/entities/sl-corp" target="_blank" data-smartkarma-citation="entities:20694:1" rel="noopener">SL Corp (005850 KS)</a>, <a href="https://www.smartkarma.com/entities/geneone-life-science-inc" target="_blank" data-smartkarma-citation="entities:6549:1" rel="noopener">GeneOne Life Science Inc. (011000 KS)</a>, <a href="https://www.smartkarma.com/entities/myoung-shin-industrial-co-ltd" target="_blank" data-smartkarma-citation="entities:29698:1" rel="noopener">Myoung Shin Industrial Co.,Ltd (009900 KS)</a> and <a href="https://www.smartkarma.com/entities/hyosung-chemical-corp" target="_blank" data-smartkarma-citation="entities:27752:1" rel="noopener">Hyosung Chemical Corp (298000 KS)</a> replacing <a href="https://www.smartkarma.com/entities/f-f-co-ltd" target="_blank" data-smartkarma-citation="entities:15983:1" rel="noopener">F&amp;F Co Ltd (007700 KS)</a>, <a href="https://www.smartkarma.com/entities/samyang-foods-co-ltd" target="_blank" data-smartkarma-citation="entities:9100:1" rel="noopener">Samyang Foods (003230 KS)</a>, <a href="https://www.smartkarma.com/entities/ilyang-pharmaceutical-co-ltd" target="_blank" data-smartkarma-citation="entities:2789:1" rel="noopener">Ilyang Pharmaceutical Co., (007570 KS)</a>, <a href="https://www.smartkarma.com/entities/lx-holdings" target="_blank" data-smartkarma-citation="entities:33384:1" rel="noopener">LX Holdings (383800 KS)</a> and <a href="https://www.smartkarma.com/entities/dongwon-f-b-co-ltd" target="_blank" data-smartkarma-citation="entities:3274:1" rel="noopener">Dongwon F&amp;B (049770 KS)</a>.The potential inclusions have been outperforming the potential exclusions and this could continue as short selling is only permitted on index constituents and as active funds position for the rebalance following excellent returns at the June rebalance.

There could be two changes to the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) at the September index futures expiry with KakaoBank (1349010D KS) and  Krafton Inc (259960 KS) getting Fast Entry and replacing Lock&amp;Lock (115390 KS) and Jw Pharmaceutical (001060 KS) at the close of trading on 9 September.Then, the Korea Exchange (KRX) will announce the results of the December 2021 review of the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) in November. The constituent changes will be effective after the close of trading on 9 December.We see 5 potential changes at the December rebalance with F&amp;F (383220 KS), SL Corp (005850 KS), GeneOne Life Science Inc. (011000 KS), Myoung Shin Industrial Co.,Ltd (009900 KS) and Hyosung Chemical Corp (298000 KS) replacing F&amp;F Co Ltd (007700 KS), Samyang Foods (003230 KS), Ilyang Pharmaceutical Co., (007570 KS), LX Holdings (383800 KS) and Dongwon F&amp;B (049770 KS).The potential inclusions have been outperforming the potential exclusions and this could continue as short selling is only permitted on index constituents and as active funds position for the rebalance following excellent returns at the June rebalance.

KOSPI200 Index Rebalance Preview: Two Changes in September; Five in December

Korea / Special Situations, Clepsydra Capital

Sanghyun Park

Korea / Special Situations

Hansae Yes24 Holdings Co, Ltd. / Event-Driven

Hansae Yes24 Holdings Co, Ltd. (016450 KS)

<ul>
<li>Hansae Holdco/Sub duo is giving a very wide price divergence right now. They are now at -227% of σ. This is a 120D low. Holdco discount is 50% to NAV. Sub is 55% of the sub holdings and 60% of Holdco NAV. Sub has made a run lately mainly on improving outlook. Local long-term funds have led the recent Sub buying. They like Sub's 4Q results. They also expect this trend to continue at least for this year.</li>
<li>Valuation wise, Sub price is at a little over 17x PER on already adjusted FY19 earnings. This is pretty much in line with the yearly average in the past 3 years. Sub price rally should be resisted at this point. Holdco/Sub price ratio is at the lowest in 120D on a 20D MA. It has also fallen to near 2 year low.</li>
<li>Local short-term money managers do not seem to be joining the current Sub buying. Shorting on Sub is still at a significant level (nearly 10%). I'd make a trade at this point. I'd go long Holdco and short Sub for a short-term mean reversion. Again, Holdco liquidity can be an issue to some of us.</li>
</ul>


Hansae Holdco/Sub duo is giving a very wide price divergence right now. They are now at -227% of σ. This is a 120D low. Holdco discount is 50% to NAV. Sub is 55% of the sub holdings and 60% of Holdco NAV. Sub has made a run lately mainly on improving outlook. Local long-term funds have led the recent Sub buying. They like Sub's 4Q results. They also expect this trend to continue at least for this year.
Valuation wise, Sub price is at a little over 17x PER on already adjusted FY19 earnings. This is pretty much in line with the yearly average in the past 3 years. Sub price rally should be resisted at this point. Holdco/Sub price ratio is at the lowest in 120D on a 20D MA. It has also fallen to near 2 year low.
Local short-term money managers do not seem to be joining the current Sub buying. Shorting on Sub is still at a significant level (nearly 10%). I'd make a trade at this point. I'd go long Holdco and short Sub for a short-term mean reversion. Again, Holdco liquidity can be an issue to some of us.


Hansae Holdco/Sub Trade: Huge Divergence Now, Sub Price Rally Should Be Resisted Here

<ul>
<li>
<a href="https://www.smartkarma.com/entities/8636" target="_blank" data-smartkarma-citation="entities:8636:1">Hansae Yes24 Holdings Co, Ltd. (016450 KS)</a> is a small cap holdco stock in Korea. <a href="https://www.smartkarma.com/entities/16529" target="_blank" data-smartkarma-citation="entities:16529:1">Hansae Co Ltd (105630 KS)</a> takes up half of Holdco NAV. Sub is Korea's largest clothing OEM company. Holdco is currently at a 50% discount to NAV. This is the highest in 5 years. Discount was up nearly 10%p in the last 2 months.</li>
<li>Sub is taking a hit today. The share is down 5.56% now. Holdco is down only 1.21%. Macy's unpleasant guidance revision is pulling down Sub price. We are now a little above -1 σ on a 20D MA. Sub shares have rebounded lately with the expectation on improving margins in the US. But weak holiday sales numbers in the US would be more than enough to kiss off this expectation.</li>
<li>I'd initiate a stub trade even though the duo has narrowed the gap today. It is still a long way to get reverted back to where they were two months ago. </li>
</ul>



Hansae Yes24 Holdings Co, Ltd. (016450 KS) is a small cap holdco stock in Korea. Hansae Co Ltd (105630 KS) takes up half of Holdco NAV. Sub is Korea's largest clothing OEM company. Holdco is currently at a 50% discount to NAV. This is the highest in 5 years. Discount was up nearly 10%p in the last 2 months.
Sub is taking a hit today. The share is down 5.56% now. Holdco is down only 1.21%. Macy's unpleasant guidance revision is pulling down Sub price. We are now a little above -1 σ on a 20D MA. Sub shares have rebounded lately with the expectation on improving margins in the US. But weak holiday sales numbers in the US would be more than enough to kiss off this expectation.
I'd initiate a stub trade even though the duo has narrowed the gap today. It is still a long way to get reverted back to where they were two months ago. 


Hansae Yes24 Holdings Stub Trade: Macy's Lowered Guidance Will Revert Back 5Y High Holdco Discount

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Equity Bottom-Up

<ul><li>Our sum-of-the parts valuation scenarios analysis suggests a range of 24% to 70% upside for Fila Korea shares, depending upon different values scenarios for Acushnet IPO.</li><li>Acushnet generated EBITDA of $185 million in 2014. Our base case scenario assumes EBITDA of $200 million in 2016 for Acushnet. </li><li>Callaway Golf is the closest comp to Acushnet. Callaway Golf's shares have been trading at about 12x EV/EBITDA based on 2015 estimates. One could argue that Acushnet should be priced at least 12x EV/EBITDA multiple. Our base case scenario assumes 12x EV/EBITDA for Acushnet IPO, although we believe it could be priced higher in the 13-14x range.</li><li>Fila Korea currently owns a 55.8% stake of Acushnet. Post IPO, Fila Korea will own a 33% stake of Acushnet.</li><li>Acushnet has the best brands in the global golfing industry through its Titleist and Footjoy names.</li><li>Acushnet is getting ready for a IPO in 2016, most likely to be listed in the US.</li></ul>

Our sum-of-the parts valuation scenarios analysis suggests a range of 24% to 70% upside for Fila Korea shares, depending upon different values scenarios for Acushnet IPO.Acushnet generated EBITDA of $185 million in 2014. Our base case scenario assumes EBITDA of $200 million in 2016 for Acushnet. Callaway Golf is the closest comp to Acushnet. Callaway Golf's shares have been trading at about 12x EV/EBITDA based on 2015 estimates. One could argue that Acushnet should be priced at least 12x EV/EBITDA multiple. Our base case scenario assumes 12x EV/EBITDA for Acushnet IPO, although we believe it could be priced higher in the 13-14x range.Fila Korea currently owns a 55.8% stake of Acushnet. Post IPO, Fila Korea will own a 33% stake of Acushnet.Acushnet has the best brands in the global golfing industry through its Titleist and Footjoy names.Acushnet is getting ready for a IPO in 2016, most likely to be listed in the US.

Fila Korea - IPO of Acushnet Is the Tipping Point of Value Realization

South Korea

Hansae Co., Ltd manufactures and exports apparels through Original Equipment Manufacturing methods.  The Company mainly distributes its garments to North America.

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Hansae Co Ltd (105630 KS)

HD Hyundai Marine Solution (443060 KS): Nearing KOSPI200 Index Inclusion in June

A 96.5% rally on listing day as retail and foreign investors sold and domestic instis bought. The stock is now ~11% away from KOSPI200 inclusion in...

Brian Freitas

KOSPI200 Index Rebalance Preview: Two Changes in September; Five in December

We see 2 potential Fast Entry changes in September & then 5 more changes at the December rebalance. The adds are outperforming the deletes and the...

Brian Freitas

Hansae Holdco/Sub Trade: Huge Divergence Now, Sub Price Rally Should Be Resisted Here

Hansae Holdco/Sub duo is giving a very wide price divergence right now. They are now at -227% of σ. This is a 120D low. Holdco discount is 50% to...

Sanghyun Park

Hansae Yes24 Holdings Stub Trade: Macy's Lowered Guidance Will Revert Back 5Y High Holdco Discount

Hansae Yes24 Holdings Co, Ltd. (016450 KS) is a small cap holdco stock in Korea. Hansae Co Ltd (105630 KS) takes up half of Holdco NAV. Sub is...

Sanghyun Park

Fila Korea - IPO of Acushnet Is the Tipping Point of Value Realization

Our sum-of-the parts valuation scenarios analysis suggests a range of 24% to 70% upside for Fila Korea shares, depending upon different values...

Douglas Kim

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