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 March rebalance of the KOSPI Size Indices started 1 December and will end 29 February. The changes will be implemented at the close 14 March.</li>
<li>We see 3 migrations from MidCap to LargeCap, 4 new adds to LargeCap, 7 migrations from LargeCap to MidCap, and 11 migrations from SmallCap to MidCap.</li>
<li>On average, stocks migrating from SmallCap to MidCap have the lowest price to book value and have historically outperformed stocks migrating between other categories.</li>
</ul>


The review period for the March rebalance of the KOSPI Size Indices started 1 December and will end 29 February. The changes will be implemented at the close 14 March.
We see 3 migrations from MidCap to LargeCap, 4 new adds to LargeCap, 7 migrations from LargeCap to MidCap, and 11 migrations from SmallCap to MidCap.
On average, stocks migrating from SmallCap to MidCap have the lowest price to book value and have historically outperformed stocks migrating between other categories.


KOSPI Size Indices - Potential Migrations as Focus Is on Price to Book

Index Rebalance

<ul>
<li>
<a href="https://www.smartkarma.com/entities/isc-co-ltd" target="_blank" data-smartkarma-citation="entities:13560:1" rel="noopener">ISC Co Ltd (095340 KS)</a> could replace <a href="https://www.smartkarma.com/entities/wonik-ips-co-ltd-5d7417b7-5438-41d4-a6e4-8016d24d818a" target="_blank" data-smartkarma-citation="entities:26912:1" rel="noopener">Wonik Ips (240810 KS)</a> in the FnGuide Semiconductor Top10 Index at the April rebalance.</li>
<li>
<a href="https://www.smartkarma.com/entities/jusung-engineering-co-ltd" target="_blank" data-smartkarma-citation="entities:12277:1" rel="noopener">Jusung Engineering (036930 KS)</a> is ranked just behind <a href="https://www.smartkarma.com/entities/isc-co-ltd" target="_blank" data-smartkarma-citation="entities:13560:1" rel="noopener">ISC Co Ltd (095340 KS)</a> and could be added to the index instead depending on relative price performance.</li>
<li>Shorts on <a href="https://www.smartkarma.com/entities/isc-co-ltd" target="_blank" data-smartkarma-citation="entities:13560:1" rel="noopener">ISC Co (095340 KS)</a> have been stable over the last few months while there has been big covering on <a href="https://www.smartkarma.com/entities/wonik-ips-co-ltd-5d7417b7-5438-41d4-a6e4-8016d24d818a" target="_blank" data-smartkarma-citation="entities:26912:1" rel="noopener">Wonik Ips (240810 KS)</a> and <a href="https://www.smartkarma.com/entities/jusung-engineering-co-ltd" target="_blank" data-smartkarma-citation="entities:12277:1" rel="noopener">Jusung Engineering (036930 KS)</a>. </li>
</ul>



ISC Co Ltd (095340 KS) could replace Wonik Ips (240810 KS) in the FnGuide Semiconductor Top10 Index at the April rebalance.

Jusung Engineering (036930 KS) is ranked just behind ISC Co Ltd (095340 KS) and could be added to the index instead depending on relative price performance.
Shorts on ISC Co (095340 KS) have been stable over the last few months while there has been big covering on Wonik Ips (240810 KS) and Jusung Engineering (036930 KS). 


FnGuide Semiconductor Top10 Index Rebalance Preview: One Change Likely; Close Among Potential Adds

<ul>
<li>The <a href="https://www.smartkarma.com/entities/samsung-kodex-fn-top10-equal-weight-etf" target="_blank" data-smartkarma-citation="entities:40203:1" rel="noopener">Samsung KODEX Fn Top10 Equal Weight ETF (395170 KS)</a> tracks the FnGuide Top 10 Equal Weight Index and has an AUM of US$241m.</li>
<li>We expect <a href="https://www.smartkarma.com/entities/celltrion-inc" target="_blank" data-smartkarma-citation="entities:991:1" rel="noopener">Celltrion Inc (068270 KS)</a> will replace <a href="https://www.smartkarma.com/entities/samsung-sdi-co-ltd" target="_blank" data-smartkarma-citation="entities:503:1" rel="noopener">Samsung SDI (006400 KS)</a> in the index at the March rebalance.</li>
<li>There will be 0.26x ADV to buy in <a href="https://www.smartkarma.com/entities/celltrion-inc" target="_blank" data-smartkarma-citation="entities:991:1" rel="noopener">Celltrion Inc (068270 KS)</a> while passives will need to sell 0.17x ADV of <a href="https://www.smartkarma.com/entities/samsung-sdi-co-ltd" target="_blank" data-smartkarma-citation="entities:503:1" rel="noopener">Samsung SDI (006400 KS)</a>. </li>
</ul>


The Samsung KODEX Fn Top10 Equal Weight ETF (395170 KS) tracks the FnGuide Top 10 Equal Weight Index and has an AUM of US$241m.
We expect Celltrion Inc (068270 KS) will replace Samsung SDI (006400 KS) in the index at the March rebalance.
There will be 0.26x ADV to buy in Celltrion Inc (068270 KS) while passives will need to sell 0.17x ADV of Samsung SDI (006400 KS). 


FnGuide Top10 Equal Weight Index Rebalance Preview: Celltrion Could Replace Samsung SDI

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.

Korea Stock Exchange Kospi Index / Event-Driven

<ul>
<li>Local sources confirm government's focus on strengthening stock market for April election. Market expects aggressive policies for share cancellations, including corporate defense mechanisms.</li>
<li>Chosun Ilbo, a government-friendly and influential media outlet,  advocates for corporate defense mechanisms to boost share cancellations, shaping a political atmosphere.</li>
<li>This theme is likely to emerge in Korea's market. We must consider political dynamics and screen companies with high treasury shares for potential stock boosts.</li>
</ul>


Local sources confirm government's focus on strengthening stock market for April election. Market expects aggressive policies for share cancellations, including corporate defense mechanisms.
Chosun Ilbo, a government-friendly and influential media outlet,  advocates for corporate defense mechanisms to boost share cancellations, shaping a political atmosphere.
This theme is likely to emerge in Korea's market. We must consider political dynamics and screen companies with high treasury shares for potential stock boosts.


Emerging Korean Investment Theme: Potential Corporate Defense Mechanisms for Share Cancellations

<ul>
<li>Local market information indicates potential collaboration between KRX, FSS, and KSD to create a Korean EquiLend, aiming to centralize the stock lending channel.</li>
<li>Unprecedented globally, President Yoon aims to centralize short selling. The challenge lies in mandating foreign investors to use Korea's platform, necessitating a complex legal framework.</li>
<li>Despite the difficulty, local authorities are compelled to pursue this initiative, raising the likelihood of a Korean EquiLend. Developing strategic plans in response is imperative.</li>
</ul>


Local market information indicates potential collaboration between KRX, FSS, and KSD to create a Korean EquiLend, aiming to centralize the stock lending channel.
Unprecedented globally, President Yoon aims to centralize short selling. The challenge lies in mandating foreign investors to use Korea's platform, necessitating a complex legal framework.
Despite the difficulty, local authorities are compelled to pursue this initiative, raising the likelihood of a Korean EquiLend. Developing strategic plans in response is imperative.


Korea's Short Selling Ban to Stay, Likely Until EquiLend-Korean Version Launch

South Korea

The KOSPI Index is a capitalization-weighted index of all common shares on the Korean Stock Exchanges. The Index was developed with a base value of 100 as of January 4, 1980. Note: The preferred shares are excluded in calculating the KOSPI Index from June 14, 2002. 

Korea Stock Exchange Kospi Index (KOSPI INDEX)

Korea Stock Exchange Kospi Index (KOSPI INDEX)

KOSPI Size Indices - Potential Migrations as Focus Is on Price to Book

We see 35 migrations and 7 new inclusions for the KOSPI Size indices. Stocks migrating higher have outperformed stocks migrating lower. Some stocks...

Brian Freitas

FnGuide Semiconductor Top10 Index Rebalance Preview: One Change Likely; Close Among Potential Adds

ISC could replace Wonik Ips in the FnGuide Semiconductor Top10 Index at the April rebalance. However, Jusung Engg is not far behind ISC and could...

Brian Freitas

FnGuide Top10 Equal Weight Index Rebalance Preview: Celltrion Could Replace Samsung SDI

Celltrion could replace Samsung SDI in the FnGuide Top10 Equal Weight index at the March rebalance. There could be a second change depending on...

Brian Freitas

Korea's Short Selling Ban to Stay, Likely Until EquiLend-Korean Version Launch

Lee Bok-hyun, head of FSS, discussed progress in short selling computerization publicly yesterday on KBS. He confirmed collaboration between the...

Sanghyun Park

KOSPI Size Indices - Potential Migrations as Focus Is on Price to Book

We see 35 migrations and 7 new inclusions for the KOSPI Size indices. Stocks migrating higher have outperformed stocks migrating lower. Some stocks...

Brian Freitas

FnGuide Semiconductor Top10 Index Rebalance Preview: One Change Likely; Close Among Potential Adds

ISC could replace Wonik Ips in the FnGuide Semiconductor Top10 Index at the April rebalance. However, Jusung Engg is not far behind ISC and could...

Brian Freitas

FnGuide Top10 Equal Weight Index Rebalance Preview: Celltrion Could Replace Samsung SDI

Celltrion could replace Samsung SDI in the FnGuide Top10 Equal Weight index at the March rebalance. There could be a second change depending on...

Brian Freitas

Emerging Korean Investment Theme: Potential Corporate Defense Mechanisms for Share Cancellations

This post introduces Korea's new investment trend: targeting stocks with high treasury shares for potential share cancellations with the...

Sanghyun Park

Korea's Short Selling Ban to Stay, Likely Until EquiLend-Korean Version Launch

Lee Bok-hyun, head of FSS, discussed progress in short selling computerization publicly yesterday on KBS. He confirmed collaboration between the...

Sanghyun Park