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

<ul>
<li>The review period for the September rebalance of the KOSPI Size Indices commenced on 1 June and will end on 31 August. Only 4 trading days to go.</li>
<li>We see 7 migrations from MidCap to LargeCap, 1 new addition to LargeCap, 12 stocks moving from SmallCap to MidCap and 3 new additions to MidCap.</li>
<li>The upward migrations have underperformed the downward migrations over the last month as a few stocks have sold off hard. Some despite being included in global indices.</li>
</ul>


The review period for the September rebalance of the KOSPI Size Indices commenced on 1 June and will end on 31 August. Only 4 trading days to go.
We see 7 migrations from MidCap to LargeCap, 1 new addition to LargeCap, 12 stocks moving from SmallCap to MidCap and 3 new additions to MidCap.
The upward migrations have underperformed the downward migrations over the last month as a few stocks have sold off hard. Some despite being included in global indices.


KOSPI Size Indices: Momentum Stalls; (Some) Upward Migrations Sell-Off

Pan-Asia Catalysts/Events, Quiddity Advisors

David Blennerhassett

Pan-Asia Catalysts/Events

Quiddity Advisors

<ul>
<li>The Aussie Tax-Loss Selling Baskets worked very well on the sell side from 30 April through end-June 2024. What now?  Unwind.</li>
<li>
<a href="https://www.smartkarma.com/entities/ck-infrastructure-holdings-l" target="_blank" data-smartkarma-citation="entities:163:1" rel="noopener">CK Infrastructure Holdings (1038 HK)</a> has now submitted an application for a secondary listing, not a dual-primary listing, on the London stock exchange. Admission expected on the 19th August. </li>
<li>The right trade is to buy <a href="https://www.smartkarma.com/entities/jtower-inc" target="_blank" data-smartkarma-citation="entities:31042:1" rel="noopener">JTower (4485 JP)</a> below terms. The really right trade is to already be an owner. IF you're an arbitrageur, you know what to do.</li>
</ul>


The Aussie Tax-Loss Selling Baskets worked very well on the sell side from 30 April through end-June 2024. What now?  Unwind.

CK Infrastructure Holdings (1038 HK) has now submitted an application for a secondary listing, not a dual-primary listing, on the London stock exchange. Admission expected on the 19th August. 
The right trade is to buy JTower (4485 JP) below terms. The really right trade is to already be an owner. IF you're an arbitrageur, you know what to do.


Last Week in Event SPACE: Aussie Tax Loss Basket, CK Infra, JTower, Porsche

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Douglas Research Advisory

<ul>
<li>There are increasing signs that Hankook Tire &amp; Technology's M&amp;A of Hanon Systems could be falling apart. </li>
<li>The deadline for signing the main M&amp;A contract to purchase a 25% stake in Hanon Systems has been postponed indefinitely.
</li>
<li>
New contingent liabilities at Hanon Systems have been uncovered during the 10 week due diligence process of Hanon Systems by Hankook T&amp;T.</li>
</ul>


There are increasing signs that Hankook Tire &amp; Technology's M&amp;A of Hanon Systems could be falling apart. 
The deadline for signing the main M&amp;A contract to purchase a 25% stake in Hanon Systems has been postponed indefinitely.


New contingent liabilities at Hanon Systems have been uncovered during the 10 week due diligence process of Hanon Systems by Hankook T&amp;T.


Hankook Tire & Technology: M&A of Hanon System Falling Apart?

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.

Index Rebalance

<ul>
<li>The September KOSPI Size Index rebalancing could bring back the typical price impacts seen over the past decade, unlike the March rebalancing.</li>
<li>The previous rebalancing had anomalies due to newly listed stocks in LARGE and a stronger downward trend in LARGE-to-MID transitions, disrupting the expected price impact.</li>
<li>For September's rebalancing, fewer distortions are expected compared to March. The NPS Mid to Small Cap fund, a key influence, shows no significant changes in benchmark or AUM.</li>
</ul>


The September KOSPI Size Index rebalancing could bring back the typical price impacts seen over the past decade, unlike the March rebalancing.
The previous rebalancing had anomalies due to newly listed stocks in LARGE and a stronger downward trend in LARGE-to-MID transitions, disrupting the expected price impact.
For September's rebalancing, fewer distortions are expected compared to March. The NPS Mid to Small Cap fund, a key influence, shows no significant changes in benchmark or AUM.


Examining the September Reshuffle of the KOSPI Size Index Series

<ul>
<li>Today's news indicates Hankook Tire found contingent liabilities in Hanon Systems' finances, meeting conditions to break the May agreement and putting the deal on indefinite hold.</li>
<li>Hankook Tire plans to adjust the new share price first, then the existing share price, while Hahn &amp; Co, unable to delay its exit, will likely accept it.</li>
<li>With Hahn &amp; Co likely to accept Hankook Tire’s price adjustment request, consider a long-short setup: Hankook Tire may benefit from positive momentum, while Hanon Systems faces negative dilution.</li>
</ul>


Today's news indicates Hankook Tire found contingent liabilities in Hanon Systems' finances, meeting conditions to break the May agreement and putting the deal on indefinite hold.
Hankook Tire plans to adjust the new share price first, then the existing share price, while Hahn &amp; Co, unable to delay its exit, will likely accept it.
With Hahn &amp; Co likely to accept Hankook Tire’s price adjustment request, consider a long-short setup: Hankook Tire may benefit from positive momentum, while Hanon Systems faces negative dilution.


Latest Update on Hanon Systems Stake Sale: Consider Long Short Setup on Hankook Tire & Hanon

South Korea

Hanon Systems manufactures a variety of automotive air control equipment.  The Company's products include air conditioners, heaters, cooling modules, compressors, radiators, fans, evaporators, and condensers. Hanon Systems distributes its products on an original equipment manufacturing (OEM) basis.

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Hanon Systems (018880 KS)

KOSPI Size Indices: Momentum Stalls; (Some) Upward Migrations Sell-Off

There could be 41 changes to the KOSPI Size Indices in September. The upward migrations have underperformed the downward migrations over the last...

Brian Freitas

Last Week in Event SPACE: Aussie Tax Loss Basket, CK Infra, JTower, Porsche

The weekend is here! Pour yourself a coffee, grab a comfortable seat, and sift through a brief summary of insights on various events discussed...

David Blennerhassett

Hankook Tire & Technology: M&A of Hanon System Falling Apart?

There are increasing signs that Hankook Tire & Technology's M&A of Hanon Systems could be falling apart. New contingent liabilities at Hanon...

Douglas Kim

Examining the September Reshuffle of the KOSPI Size Index Series

This post examines the potential for flow trading setups targeting the September rebalancing of the KOSPI Size Index Series.

Sanghyun Park

Latest Update on Hanon Systems Stake Sale: Consider Long Short Setup on Hankook Tire & Hanon

This post offers the latest update on the Hanon Systems share sale agreement between Hankook Tire and Hahn & Co and discusses trading setups to...

Sanghyun Park

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