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>
<a href="https://www.smartkarma.com/entities/jb-financial-group-co-ltd" target="_blank" data-smartkarma-citation="entities:16104:1" rel="noopener">Jb Financial Group (175330 KS)</a> will replace <a href="https://www.smartkarma.com/entities/meritz-fire-marine-insurance-co-ltd" target="_blank" data-smartkarma-citation="entities:20468:1" rel="noopener">Meritz Fire &amp; Marine Insurance (000060 KS)</a> in 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> at the close on 27 January.</li>
<li>We estimate passive <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200-index" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI2 INDEX</a> trackers will need to buy 3.494m shares (KRW 36.34bn; 4.04 days of ADV) of <a href="https://www.smartkarma.com/entities/jb-financial-group-co-ltd" target="_blank" data-smartkarma-citation="entities:16104:1" rel="noopener">Jb Financial Group (175330 KS)</a> at the close on 27 January.</li>
<li>
<a href="https://www.smartkarma.com/entities/dgb-financial-group-inc" target="_blank" data-smartkarma-citation="entities:6138:1" rel="noopener">DGB Financial Group (139130 KS)</a> could be added 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">KOSPI2 INDEX</a> in April, replacing <a href="https://www.smartkarma.com/entities/meritz-securities-co-ltd" target="_blank" data-smartkarma-citation="entities:19692:1" rel="noopener">Meritz Securities (008560 KS)</a> following its merger with <a href="https://www.smartkarma.com/entities/meritz-financial-group-inc" target="_blank" data-smartkarma-citation="entities:11776:1" rel="noopener">Meritz Financial Group (138040 KS)</a>. </li>
</ul>



Jb Financial Group (175330 KS) will replace Meritz Fire &amp; Marine Insurance (000060 KS) in the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) at the close on 27 January.
We estimate passive KOSPI2 INDEX trackers will need to buy 3.494m shares (KRW 36.34bn; 4.04 days of ADV) of Jb Financial Group (175330 KS) at the close on 27 January.

DGB Financial Group (139130 KS) could be added to the KOSPI2 INDEX in April, replacing Meritz Securities (008560 KS) following its merger with Meritz Financial Group (138040 KS). 


KOSPI200 Index Rebalance: JB Financial (175330 KS) To Replace Meritz F&M (000060 KS)

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Event-Driven

<ul>
<li>On 18 January, the KRX announced rebalance to KOSPI 200 index. The new addition to KOSPI 200 is JB Financial Group and the deletion is Meritz Fire &amp; Marine Insurance.</li>
<li>We expect JB Financial to continue to outperform the market in the first half of this year.</li>
<li>However, we do not expect the sharp appreciation of JB Financial versus the other leading Korean banking stocks post JB Financial's inclusion in KOSPI 200 on 30 January. </li>
</ul>


On 18 January, the KRX announced rebalance to KOSPI 200 index. The new addition to KOSPI 200 is JB Financial Group and the deletion is Meritz Fire &amp; Marine Insurance.
We expect JB Financial to continue to outperform the market in the first half of this year.
However, we do not expect the sharp appreciation of JB Financial versus the other leading Korean banking stocks post JB Financial's inclusion in KOSPI 200 on 30 January. 


KOSPI 200 Rebalance: JB Financial In & Meritz F&M Insurance Out

Meritz Fire & Marine Insurance / Event-Driven

Meritz Fire & Marine Insurance (000060 KS)

<ul>
<li>After the market close today, Meritz Fire &amp; Marine Insurance announced that it will cancel 6.57 million treasury shares, representing 5.9% of its outstanding shares. </li>
<li>This treasury shares cancellation by Meritz F&amp;M Insurance should have a continued positive impact on its share price. </li>
<li>Share cancellation by Meritz F&amp;M Insurance and the need to adjust to higher merger ratio are likely to lead to Meritz F&amp;M Insurance outperforming MFG in the next few days.</li>
</ul>


After the market close today, Meritz Fire &amp; Marine Insurance announced that it will cancel 6.57 million treasury shares, representing 5.9% of its outstanding shares. 
This treasury shares cancellation by Meritz F&amp;M Insurance should have a continued positive impact on its share price. 
Share cancellation by Meritz F&amp;M Insurance and the need to adjust to higher merger ratio are likely to lead to Meritz F&amp;M Insurance outperforming MFG in the next few days.


Meritz Fire & Marine Insurance: Treasury Shares Cancellation of 5.9% of Outstanding Shares

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>KOSPI 200 ETFs will have to sell Meritz FIRE and buy Meritz FINANCIAL at the close on January 27. JB Financial, the top reserved issue, will replace FIRE.</li>
<li>We should consider a Long Short for two Meritz companies just before the 27th. As a follow-up setup, we should aim for a potential widening of the swap arb spread.</li>
<li>As for the Long JB Financial, I would set the entry timing one week towards the implementation at the latest and look into Kodex Banks ETF (091170) for a hedge.</li>
</ul>


KOSPI 200 ETFs will have to sell Meritz FIRE and buy Meritz FINANCIAL at the close on January 27. JB Financial, the top reserved issue, will replace FIRE.
We should consider a Long Short for two Meritz companies just before the 27th. As a follow-up setup, we should aim for a potential widening of the swap arb spread.
As for the Long JB Financial, I would set the entry timing one week towards the implementation at the latest and look into Kodex Banks ETF (091170) for a hedge.


K200 ETFs' Swap Trading on Meritz & Fresh Buy-In JB Financial on Jan 27

<ul>
<li>End December was the end of the review cutoff for a lot of indices that will rebalance within the next couple of months.</li>
<li>
<a href="https://www.smartkarma.com/entities/pexa-group-ltd" target="_blank" data-smartkarma-citation="entities:34716:1" rel="noopener">PEXA Group (PXA AU)</a> replaces <a href="https://www.smartkarma.com/entities/pendal-group-ltd" target="_blank" data-smartkarma-citation="entities:15795:1" rel="noopener">Pendal Group (PDL AU)</a> in the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> at the close on 12 January.</li>
<li>There were big outflows from Hong Kong and China focused ETFs led by <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index-etf" target="_blank" data-smartkarma-citation="entities:25:1" rel="noopener">Hang Seng H Share Index ETF (2828 HK)</a> and <a href="https://www.smartkarma.com/entities/tracker-fund-of-hong-kong-ltd" target="_blank" data-smartkarma-citation="entities:29257:1" rel="noopener">Tracker Fund of Hong Kong Ltd (2800 HK)</a>.</li>
</ul>


End December was the end of the review cutoff for a lot of indices that will rebalance within the next couple of months.

PEXA Group (PXA AU) replaces Pendal Group (PDL AU) in the S&amp;P/ASX 200 (AS51 INDEX) at the close on 12 January.
There were big outflows from Hong Kong and China focused ETFs led by Hang Seng H Share Index ETF (2828 HK) and Tracker Fund of Hong Kong Ltd (2800 HK).


Index Rebalance & ETF Flow Recap: HSCEI, HSTECH, HSI, HSCI, KS200, KQ150, CSI300, SENSEX, LQ45, PSEi

South Korea

Meritz Financial Group Inc is a holding company of Meritz Securities, Meritz Asset Management, Meritz Financial Information Service and et cetera. The Company manages and controls its financial subsidiaries.

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Meritz Financial Group (138040 KS)

KOSPI200 Index Rebalance: JB Financial (175330 KS) To Replace Meritz F&M (000060 KS)

JB Financial will replace Meritz F&M Insurance in the KOSPI200 at the close on 27 Jan. JB is +32% in the last 13 trading days & trades at a higher...

Brian Freitas

KOSPI 200 Rebalance: JB Financial In & Meritz F&M Insurance Out

On 18 January, the KRX announced rebalance to KOSPI 200 index. The new addition to KOSPI 200 is JB Financial Group and the deletion is Meritz Fire...

Douglas Kim

Meritz Fire & Marine Insurance: Treasury Shares Cancellation of 5.9% of Outstanding Shares

Share cancellation by Meritz F&M Insurance (5.9% of outstanding shares) and the need to adjust to higher merger ratio are likely to lead to Meritz...

Douglas Kim

K200 ETFs' Swap Trading on Meritz & Fresh Buy-In JB Financial on Jan 27

This post details the KOSPI 200 corporate actions on the Meritz merger on January 27 and discusses trading setups to consider for two Meritz...

Sanghyun Park

Index Rebalance & ETF Flow Recap: HSCEI, HSTECH, HSI, HSCI, KS200, KQ150, CSI300, SENSEX, LQ45, PSEi

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

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