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>With the averaging period for the October rebalance starting in two weeks, we forecast 2 changes for the FnGuide Semiconductor Top10 Index at the upcoming rebalance.</li>
<li>Based on the passive assets tracking the index, there will be between 1.5-4.7x ADV to trade in the forecast changes.</li>
<li>On average, the forecast adds have outperformed the forecast deletes by a wide margin over the last 3 months and could reverse some of the changes from the April rebalance.</li>
</ul>


With the averaging period for the October rebalance starting in two weeks, we forecast 2 changes for the FnGuide Semiconductor Top10 Index at the upcoming rebalance.
Based on the passive assets tracking the index, there will be between 1.5-4.7x ADV to trade in the forecast changes.
On average, the forecast adds have outperformed the forecast deletes by a wide margin over the last 3 months and could reverse some of the changes from the April rebalance.


FnGuide Semiconductor Top10 Index Rebalance Preview: Two Changes Likely in September

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 KRX stocks as of Jun 27th. The aggregated short interest was USD8.7bn.</li>
<li>We tabulate league tables 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 Amorepacific, Doosan Enerbility, Mirae Asset Sec, Woori Financial, Kakaobank, Ls Electric, Hyundai Rotem, Hybe.</li>
</ul>


We analyzed the changes in short interest of KRX stocks as of Jun 27th. The aggregated short interest was USD8.7bn.
We tabulate league tables 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 Amorepacific, Doosan Enerbility, Mirae Asset Sec, Woori Financial, Kakaobank, Ls Electric, Hyundai Rotem, Hybe.


KRX Short Interest Weekly (Jun 27th): Amorepacific, Doosan Enerbility, Mirae Asset Sec

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>67 semi names screen into TMI Large-Mid; with stable churn, they’re a solid base for the Sept rebalance. Filter by ADTV and mkt cap to get likely basket.</li>
<li>Last year’s Sept rebalance saw wild moves, especially in the week prior, driven by low visibility from the non-public BMI universe, which amped up uncertainty and volatility.</li>
<li>This year’s TMI-based rebalance may see more front-loading and smoother flows, but with low market awareness and no playbook yet, chunky moves are still on the table.</li>
</ul>


67 semi names screen into TMI Large-Mid; with stable churn, they’re a solid base for the Sept rebalance. Filter by ADTV and mkt cap to get likely basket.
Last year’s Sept rebalance saw wild moves, especially in the week prior, driven by low visibility from the non-public BMI universe, which amped up uncertainty and volatility.
This year’s TMI-based rebalance may see more front-loading and smoother flows, but with low market awareness and no playbook yet, chunky moves are still on the table.


KRX Semicon Index Sep Rebalance — Watch Closely

<ul>
<li>We analyzed the changes in short interest of KRX stocks as of May 16th. The aggregated short interest was USD6.5bn.</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 Hanmi Semicon, Celltrion, Alteogen, Hanjinkal, Lg Energy Solution, SK Hynix, Posco Future M, Samsung Electronics, Hanwha Vision.</li>
</ul>


We analyzed the changes in short interest of KRX stocks as of May 16th. The aggregated short interest was USD6.5bn.
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 Hanmi Semicon, Celltrion, Alteogen, Hanjinkal, Lg Energy Solution, SK Hynix, Posco Future M, Samsung Electronics, Hanwha Vision.


KRX Short Interest Weekly (May 16th): Hanmi Semicon, Celltrion, Alteogen, Hanjinkal

<ul>
<li>We analyzed the changes in short interest of KRX stocks as of May 9th which has an aggregated short interest worth USD6.4bn.</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 SK Hynix, Kakao, Samsung Electronics, Hybe, Hanwha Ind Sol, Lig Nex1.</li>
</ul>


We analyzed the changes in short interest of KRX stocks as of May 9th which has an aggregated short interest worth USD6.4bn.
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 SK Hynix, Kakao, Samsung Electronics, Hybe, Hanwha Ind Sol, Lig Nex1.


KRX Short Interest Weekly (May 9th): SK Hynix, Kakao, Samsung Electronics, Hybe, Hanwha Ind Sol

South Korea

Gemvax & Kael Co., Ltd. manufactures chemical air filters used in semiconductor manufacturing process as well as equipments for general air purification system. The Company also produces Gas Srubber Resin, Coating Resin, and filters. Gemvax & Kael operates Environment System Field which includes media used for masks.

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Gemvax & Kael (082270 KS)

FnGuide Semiconductor Top10 Index Rebalance Preview: Two Changes Likely in September

There could be 2 changes in Oct. The forecast adds have outperformed the forecast deletes by a wide margin over the last 3 months and could reverse...

Brian Freitas

KRX Short Interest Weekly (Jun 27th): Amorepacific, Doosan Enerbility, Mirae Asset Sec

We analyzed KRX short interest report for the past week and highlighted short interest changes in Amorepacific (090430 KS), Doosan Enerbility...

Ke Yan, CFA, FRM

KRX Semicon Index Sep Rebalance — Watch Closely

We should closely monitor the KRX Semicon Index rebalance this September, as it represents a significant event with substantial flow implications.

Sanghyun Park

KRX Short Interest Weekly (May 16th): Hanmi Semicon, Celltrion, Alteogen, Hanjinkal

We analyzed KRX short interest report for the past week and highlighted short interest changes in Hanmi Semicon (042700 KS), Celltrion (068270 KS),...

Ke Yan, CFA, FRM

KRX Short Interest Weekly (May 9th): SK Hynix, Kakao, Samsung Electronics, Hybe, Hanwha Ind Sol

We analyzed KRX short interest report for the past week and highlighted short interest changes in SK Hynix, Kakao, Samsung Electronics, Hybe,...

Ke Yan, CFA, FRM

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