Brian Freitas

Pan-Asia Index Rebalances/Events/Delta One

Periscope Analytics

Event-Driven

<ul>
<li>Following <a href="https://www.smartkarma.com/entities/kuk-il-paper-mfg-co-ltd" target="_blank" data-smartkarma-citation="entities:12706:1" rel="noopener">Kuk Il Paper Mfg (078130 KS)</a>'s designation as an Administrative Issue, the stock will be deleted 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</a> and replaced with Lake Materials (281740 KS).</li>
<li>The timing of the index change is currently uncertain but will be implemented latest by the close of trading on 6 April.</li>
<li>Lake Materials (281740 KS) was up today and is nearing its highs. There could be another leg higher on the inclusion but we'd be wary of chasing the stock higher.</li>
</ul>

<ul>
<li>There were a bunch of rebalances on Friday across Asia resulting in big flows across multiple stocks and countries.</li>
<li>The coming week is quieter with no scheduled rebalances - though the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index</a> rebalance could take place dependent on <a href="https://www.smartkarma.com/entities/kuk-il-paper-mfg-co-ltd" target="_blank" data-smartkarma-citation="entities:12706:1" rel="noopener">Kuk Il Paper Mfg (078130 KS)</a>'s trading resumption. </li>
<li>Inflows to China and Taiwan ETFs while Korean ETFs had outflows. Market volatility resulted in redemptions from <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets" target="_blank" data-smartkarma-citation="entities:438:1" rel="noopener">iShares MSCI Emerging Markets (EEM)</a> and <a href="https://www.smartkarma.com/entities/ishares-edge-msci-min-vol-emerging-markets-etf" target="_blank" data-smartkarma-citation="entities:725:1" rel="noopener">IShares MSCI Min Vol Emerging Markets (EEMV)</a>.</li>
</ul>

<ul>
<li>Some KOSPI indices rebalanced at the close on Thursday while the Hang Seng family of indices and the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">SSE STAR50 (STAR50 INDEX)</a> rebalanced at the close on Friday.</li>
<li>The S&amp;P/ASX family, MVIS family and a bunch of other indices will rebalance at the close on coming Friday.</li>
<li>After seeing big inflows over the last couple of years, outflows from <a href="https://www.smartkarma.com/entities/samsung-kodex-secondary-battery-industry-etf" target="_blank" data-smartkarma-citation="entities:35540:1" rel="noopener">Samsung KODEX Secondary Battery ETF (305720)</a> and <a href="https://www.smartkarma.com/entities/mirae-asset-tiger-secondary-cell-etf" target="_blank" data-smartkarma-citation="entities:35541:1" rel="noopener">Mirae Asset TIGER Secondary Cell ETF (305540)</a> have started to pick up.</li>
</ul>

<ul>
<li>Two thirds of the way through the review period for the June rebalance, we see 9 potential changes to 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>. </li>
<li>One-Way turnover is estimated at 3.5%. Impact on the expected deletions is a lot higher than the impact on the expected inclusions and shorts are building up on the deletes.</li>
<li>Since the start of the review period, the potential inclusions have outperformed the potential deletions by nearly 50% and 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> by over 20%.</li>
</ul>

Douglas Kim

Korea/Asia, New Economy, IPOs, Events

Cross Asset Strategy

<ul>
<li>KRX is expected to announce the KOSDAQ150 rebalance in the next couple of weeks. </li>
<li>An alpha generating trading strategy would be to focus on companies with higher probability of getting deleted in the next round of KOSDAQ rebalance in December.  </li>
<li>These 15 companies are those among the bottom 30 market cap in KOSDAQ150 that are ranked number 16 to 30 in terms of combined market cap and trading value range. </li>
</ul>

South Korea

Kuk-il Paper Manufacturing Co Ltd manufactures and sells a variety of paper products, including kraft paper, food wrapping paper, cigarette plug paper, and aluminum laminating paper.  The Company supplies its products to the domestic and overseas markets.

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Kuk Il Paper Mfg - 078130 KS

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