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>The review period for the September rebalance ends 31 July, the changes will be announced in the first week of September and implemented at the close of trading 12 September.</li>
<li>There are changes expected for each of the Secondary Battery, Bio, Internet, Game and BBIG indices. The <a href="https://www.smartkarma.com/entities/shift-up-corp" target="_blank" data-smartkarma-citation="entities:36232:1" rel="noopener">Shift Up (462870 KS)</a> listing should result in more changes.</li>
<li>The largest flows will be in <a href="https://www.smartkarma.com/entities/posco-future-m-co-ltd" target="_blank" data-smartkarma-citation="entities:12421:1" rel="noopener">Posco Future M</a>, <a href="https://www.smartkarma.com/entities/ecopro-bm-co-ltd" target="_blank" data-smartkarma-citation="entities:27873:1" rel="noopener">Ecopro BM</a>, <a href="https://www.smartkarma.com/entities/sk-biopharmaceuticals-co-ltd" target="_blank" data-smartkarma-citation="entities:28966:1" rel="noopener">SK Biopharmaceuticals</a>, <a href="https://www.smartkarma.com/entities/alteogen-inc" target="_blank" data-smartkarma-citation="entities:15886:1" rel="noopener">Alteogen</a>, <a href="https://www.smartkarma.com/entities/douzone-bizon-co-ltd" target="_blank" data-smartkarma-citation="entities:20161:1" rel="noopener">Douzone Bizon</a>, <a href="https://www.smartkarma.com/entities/skc-co-ltd" target="_blank" data-smartkarma-citation="entities:3970:1" rel="noopener">SKC Co</a> and <a href="https://www.smartkarma.com/entities/kakao-corp" target="_blank" data-smartkarma-citation="entities:15002:1" rel="noopener">Kakao Corp</a>.</li>
</ul>


The review period for the September rebalance ends 31 July, the changes will be announced in the first week of September and implemented at the close of trading 12 September.
There are changes expected for each of the Secondary Battery, Bio, Internet, Game and BBIG indices. The Shift Up (462870 KS) listing should result in more changes.
The largest flows will be in Posco Future M, Ecopro BM, SK Biopharmaceuticals, Alteogen, Douzone Bizon, SKC Co and Kakao Corp.


KRX New Deal Index Rebalance Preview: Lots of Change; Shift Up Listing Adds to It

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.

<ul>
<li>Two pairs of constituent changes marked in squares in INTERNET and GAME may offer meaningful trading opportunities: Seojin System IN / Ahnlab OUT and Com2us IN / Doubleugames OUT.</li>
<li>Along with TIGER ETF, stealth index funds follow these indices. So, constituent changes in INTERNET and GAME create a flow impact of 0.3~0.6x DTV, even not in the Top 3.</li>
<li>Also, INTERNET and GAME have less passive flow impact degradation risk due to momentum trading flows compared to BATTERY and BIO.</li>
</ul>


Two pairs of constituent changes marked in squares in INTERNET and GAME may offer meaningful trading opportunities: Seojin System IN / Ahnlab OUT and Com2us IN / Doubleugames OUT.
Along with TIGER ETF, stealth index funds follow these indices. So, constituent changes in INTERNET and GAME create a flow impact of 0.3~0.6x DTV, even not in the Top 3.
Also, INTERNET and GAME have less passive flow impact degradation risk due to momentum trading flows compared to BATTERY and BIO.


Overlooked Trading Angle in K-New Deal Rebalancing Event: Two LONG SHORT Pairs to Watch

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Event-Driven

<ul>
<li>In the past 24 hours, there have been many news flow about numerous US airports that have been cyber attacked by suspects from Russia. </li>
<li>The increasing media attention on cyberattack threat could result in greater concerns about cybersecurity inducing higher global spending on software and other services that help to protect against cyber attacks. </li>
<li>Global cybersecurity stocks that could benefit from greater media attention on cyberattacks include Palo Alto Networks (PANW US)  Crowdstrike Holdings Inc (CRWD US)  CloudFlare (NET US).  </li>
</ul>


In the past 24 hours, there have been many news flow about numerous US airports that have been cyber attacked by suspects from Russia. 
The increasing media attention on cyberattack threat could result in greater concerns about cybersecurity inducing higher global spending on software and other services that help to protect against cyber attacks. 
Global cybersecurity stocks that could benefit from greater media attention on cyberattacks include Palo Alto Networks (PANW US)  Crowdstrike Holdings Inc (CRWD US)  CloudFlare (NET US).  


Cyberattacks at Numerous US Airports by Suspects from Russia

<ul>
<li>
<a href="https://www.smartkarma.com/entities/vidente-co-ltd" target="_blank" data-smartkarma-citation="entities:10357:1" rel="noopener">Vidente (121800 KS)</a> has not submitted its semiannual reports and has been labeled as an 'Administrative Issue'. This means deletion 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> on 19 August.</li>
<li>
<a href="https://www.smartkarma.com/entities/hancom-inc" target="_blank" data-smartkarma-citation="entities:13366:1" rel="noopener">Hancom Inc (030520 KS)</a> was the highest ranked stock to not be included in the index at the June rebalance. It will now be included in the index.</li>
<li>Passive funds will need to buy KRW 8.8bn of <a href="https://www.smartkarma.com/entities/hancom-inc" target="_blank" data-smartkarma-citation="entities:13366:1" rel="noopener">Hancom Inc (030520 KS)</a> while selling KRW 11.2bn of <a href="https://www.smartkarma.com/entities/vidente-co-ltd" target="_blank" data-smartkarma-citation="entities:10357:1" rel="noopener">Vidente (121800 KS)</a>. </li>
</ul>



Vidente (121800 KS) has not submitted its semiannual reports and has been labeled as an 'Administrative Issue'. This means deletion from the KOSDAQ 150 Index (KOSDQ150 INDEX) on 19 August.

Hancom Inc (030520 KS) was the highest ranked stock to not be included in the index at the June rebalance. It will now be included in the index.
Passive funds will need to buy KRW 8.8bn of Hancom Inc (030520 KS) while selling KRW 11.2bn of Vidente (121800 KS). 


KOSDAQ150 Ad Hoc Index Rebalance: Hancom (030520) To Replace Vidente (121800)

Equity Capital Markets

<ul>
<li>Suppose we grouped S1 and Taiwan Secom with the Physical/Integrated Security weighting and then applied the Cybersecurity weighing to Ahnlab and CyberOne. <strong>We would have 11.40x, substantially lower than 14.85x</strong>.</li>
<li>SK Shieldus' sales were ₩1.55T, an increase of ₩0.22T (16.8%) from the previous year. But<strong> 65% of last year's sales increase was derived from the internal deals with SK Group</strong>.</li>
<li>How the company and the bankers will respond to those mentioned above two controversial aspects will be the most crucial point in determining the success or failure of this IPO.</li>
</ul>


Suppose we grouped S1 and Taiwan Secom with the Physical/Integrated Security weighting and then applied the Cybersecurity weighing to Ahnlab and CyberOne. We would have 11.40x, substantially lower than 14.85x.
SK Shieldus' sales were ₩1.55T, an increase of ₩0.22T (16.8%) from the previous year. But 65% of last year's sales increase was derived from the internal deals with SK Group.
How the company and the bankers will respond to those mentioned above two controversial aspects will be the most crucial point in determining the success or failure of this IPO.


SK Shieldus Controversies: Excessive Valuations & Suspicious Surge in Internal Sales

South Korea

Ahnlab, Inc. designs and develops anti-virus solutions for network server systems, personal computers, and e-business data systems.  The Company also offers consulting service and develops Internet security applications.

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Ahnlab Inc (053800 KS)

KRX New Deal Index Rebalance Preview: Lots of Change; Shift Up Listing Adds to It

There should be 1 change for each of the Battery, Bio and Game indices plus 2 changes for each of the Internet and BBIG indices. The Shift Up...

Brian Freitas

Overlooked Trading Angle in K-New Deal Rebalancing Event: Two LONG SHORT Pairs to Watch

This post uncovers the overlooked trading angle in the K-New Deal index rebalancing event and presents two pairs of LONG SHORT setups that we...

Sanghyun Park

Cyberattacks at Numerous US Airports by Suspects from Russia

In the past 24 hours, there have been many news flow about numerous US airports that have been cyber attacked by suspects from Russia. This could...

Douglas Kim

KOSDAQ150 Ad Hoc Index Rebalance: Hancom (030520) To Replace Vidente (121800)

Vidente has been designated as an 'Administrative Issue' and will be deleted from the KOSDAQ150. Hancom will be added to the index and passive...

Brian Freitas

SK Shieldus Controversies: Excessive Valuations & Suspicious Surge in Internal Sales

This post investigates two controversial aspects found in SK Shieldus' revised IPO prospectus as the bookbuilding is currently in progress.

Sanghyun Park

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