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 will run from 1 June to 31 August.</li>
<li>We see 6 migrations from MidCap to LargeCap, 1 new addition to LargeCap, 6 stocks moving from SmallCap to MidCap and 3 new additions to MidCap.</li>
<li>Stocks migrating upward have outperformed stocks migrating lower. But there are still stocks trading at a Price to Book of less than 1.</li>
</ul>


The review period for the September rebalance of the KOSPI Size Indices will run from 1 June to 31 August.
We see 6 migrations from MidCap to LargeCap, 1 new addition to LargeCap, 6 stocks moving from SmallCap to MidCap and 3 new additions to MidCap.
Stocks migrating upward have outperformed stocks migrating lower. But there are still stocks trading at a Price to Book of less than 1.


KOSPI Size Indices: Potential Migrations in September Are Moving

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Equity Capital Markets

<ul>
<li>Next Chip (396270 KS) is getting ready for an IPO in Korea in June. The IPO price range is from 9,900 won to 11,600 won.</li>
<li>Next Chip is a Korean system semiconductor company for automobiles and autonomous vehicles. Next Chip was split from NC&amp; Co Ltd (092600 KS) in January 2019.</li>
<li>The bankers used four companies including Abov Semiconductor (102120 KS), MCNEX Co Ltd (097520 KS), Chips &amp; Media, and Telechips as comps for Next Chip Co.</li>
</ul>


Next Chip (396270 KS) is getting ready for an IPO in Korea in June. The IPO price range is from 9,900 won to 11,600 won.
Next Chip is a Korean system semiconductor company for automobiles and autonomous vehicles. Next Chip was split from NC&amp; Co Ltd (092600 KS) in January 2019.
The bankers used four companies including Abov Semiconductor (102120 KS), MCNEX Co Ltd (097520 KS), Chips &amp; Media, and Telechips as comps for Next Chip Co.


Equity Bottom-Up

<ul>
<li>Lg Innotek (011070 KS), a leading global producer of optical electronic parts, has one of the most attractive fundamentals in Korea. </li>
<li>LG Innotek has become one of the critical suppliers for Apple's smartphones. For example, LG Innotek accounted for more than 70% of the camera modules used for Apple's iPhone 13.</li>
<li>In the intermediate term, LG Innotek is expected to benefit from higher demand for metaverse related cameras, 3D sensing modules, and autonomous vehicle cameras. </li>
</ul>


Lg Innotek (011070 KS), a leading global producer of optical electronic parts, has one of the most attractive fundamentals in Korea. 
LG Innotek has become one of the critical suppliers for Apple's smartphones. For example, LG Innotek accounted for more than 70% of the camera modules used for Apple's iPhone 13.
In the intermediate term, LG Innotek is expected to benefit from higher demand for metaverse related cameras, 3D sensing modules, and autonomous vehicle cameras. 


LG Innotek: One of the Most Attractive Fundamentals in the Korean Stock Market

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.

<p>PI Advanced Materials, a company specializing in polyimide, which has the largest market share globally, received final approval from KRX for a transfer listing from KOSDAQ to KOSPI. Since April of this year, PI Advanced Materials has been pursuing a transfer listing to KOSPI.</p><div class="content-highlight"><p><strong>Therefore, PI Advanced Materials will be delisted on the KOSDAQ and newly listed on the KOSPI at the same time on August 9th.</strong></p></div><section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/221/644/original/1.png?1627885803" class="editor-image img-responsive" data-smartkarma-image-id="221644"></figure><p></p></section><h2>KOSDAQ 150 exclusion</h2><p>PI Advanced Materials is currently a constituent of the KOSDAQ 150. Based on yesterday's closing price, the index weight is 0.61%. When the company is newly listed on the KOSPI on August 9th, it will be delisted from the KOSDAQ. So, it will be excluded from the KOSDAQ 150 on that day.</p><div class="content-highlight"><p><strong>This means that rebalancing trading should be done by index funds and ETFs that track the KOSDAQ 150 at the closing price of the previous trading day, August 6th.</strong></p></div><hr><p><em>In the case of KOSPI 200 inclusion, KRX considers transfer listings to be new listings. Therefore, the same rules as the fast entry rules applied to new listings apply, and if the conditions are not met, we have to wait until regular rebalancing.</em></p><p><em>The current market cap of PI Advanced Materials is far from conceivable for Fast Entry. So, we should aim for inclusion in the regular rebalancing this December, but the current situation is a bit tight to beat the buffer rule.</em></p>

PI Advanced Materials, a company specializing in polyimide, which has the largest market share globally, received final approval from KRX for a transfer listing from KOSDAQ to KOSPI. Since April of this year, PI Advanced Materials has been pursuing a transfer listing to KOSPI.Therefore, PI Advanced Materials will be delisted on the KOSDAQ and newly listed on the KOSPI at the same time on August 9th.KOSDAQ 150 exclusionPI Advanced Materials is currently a constituent of the KOSDAQ 150. Based on yesterday's closing price, the index weight is 0.61%. When the company is newly listed on the KOSPI on August 9th, it will be delisted from the KOSDAQ. So, it will be excluded from the KOSDAQ 150 on that day.This means that rebalancing trading should be done by index funds and ETFs that track the KOSDAQ 150 at the closing price of the previous trading day, August 6th.In the case of KOSPI 200 inclusion, KRX considers transfer listings to be new listings. Therefore, the same rules as the fast entry rules applied to new listings apply, and if the conditions are not met, we have to wait until regular rebalancing.The current market cap of PI Advanced Materials is far from conceivable for Fast Entry. So, we should aim for inclusion in the regular rebalancing this December, but the current situation is a bit tight to beat the buffer rule.

PI Advanced Materials KOSDAQ→KOSPI Relisting on August 9: Passive Flow Tracking

Index Rebalance

<p>Post market close on 2 July, the KRX announced that <a href="https://www.smartkarma.com/entities/mcnex-co-ltd" target="_blank" data-smartkarma-citation="entities:18108:1" rel="noopener">Mcnex Co Ltd (097520 KS)</a> would 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 (KOSDQ150 INDEX)</a> following the move of the stock from the KOSDAQ market to the KOSPI market.</p><p>PSK (319660 KS) will be added to the index as a replacement to take the number of constituents back to 150.</p><p>The changes will be effective after the close of trading on Monday, 5 July.</p><p>The change will make <a href="https://www.smartkarma.com/entities/mcnex-co-ltd" target="_blank" data-smartkarma-citation="entities:18108:1" rel="noopener">Mcnex Co Ltd (097520 KS)</a> ineligible for short selling while PSK will become eligible for short selling.</p><p>Given its small market cap compared to its peers from the Information Technology sector, <a href="https://www.smartkarma.com/entities/mcnex-co-ltd" target="_blank" data-smartkarma-citation="entities:18108:1" rel="noopener">Mcnex Co Ltd (097520 KS)</a> will not get inclusion to the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200-index" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX)</a>.</p><p>Passive funds will need to sell nearly 4 days of ADV on <a href="https://www.smartkarma.com/entities/mcnex-co-ltd" target="_blank" data-smartkarma-citation="entities:18108:1" rel="noopener">Mcnex Co Ltd (097520 KS)</a> and buy over 2 days of ADV on PSK.</p>

Post market close on 2 July, the KRX announced that Mcnex Co Ltd (097520 KS) would be deleted from the KOSDAQ 150 Index (KOSDQ150 INDEX) following the move of the stock from the KOSDAQ market to the KOSPI market.PSK (319660 KS) will be added to the index as a replacement to take the number of constituents back to 150.The changes will be effective after the close of trading on Monday, 5 July.The change will make Mcnex Co Ltd (097520 KS) ineligible for short selling while PSK will become eligible for short selling.Given its small market cap compared to its peers from the Information Technology sector, Mcnex Co Ltd (097520 KS) will not get inclusion to the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX).Passive funds will need to sell nearly 4 days of ADV on Mcnex Co Ltd (097520 KS) and buy over 2 days of ADV on PSK.

KOSDAQ150 Index Rebalance: MCNEX Transfers to KOSPI; PSK (319660) Included

South Korea

Mcnex Co., Ltd. manufactures and develops camera module for mobile phones and automobiles.

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MCNEX Co Ltd (097520 KS)

KOSPI Size Indices: Potential Migrations in September Are Moving

There are many changes expected for the KOSPI size indices in September. The potential upward migrations have outperformed the potential downward...

Brian Freitas

Next Chip IPO Preview

Next Chip (396270 KS) is getting ready for an IPO in Korea in June. Next Chip is a Korean system semiconductor company for automobiles and...

Douglas Kim

LG Innotek: One of the Most Attractive Fundamentals in the Korean Stock Market

Lg Innotek has a combination of relatively reasonable valuation multiples and excellent sales and profit growth rates. LG Innotek has become one of...

Douglas Kim

PI Advanced Materials KOSDAQ→KOSPI Relisting on August 9: Passive Flow Tracking

PI Advanced Materials will be delisted on KOSDAQ and newly listed on KOSPI at the same time on August 9, meaning that rebalancing trading will be...

Sanghyun Park

KOSDAQ150 Index Rebalance: MCNEX Transfers to KOSPI; PSK (319660) Included

PSK (319660) will replace MCNEX (097520) in the KQ150 at the close on 5 July following MCNEX's transfer to the KOSPI market. Passive buying of 2+...

Brian Freitas

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