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 third of the way through the review period, we see three potential changes. There are a few stocks that are close to inclusion and could lead to more changes.</li>
<li>There should be a couple of index changes prior to the June review due to the merger of <a href="https://www.smartkarma.com/entities/meritz-financial-group-inc" target="_blank" data-smartkarma-citation="entities:11776:1" rel="noopener">Meritz Financial Group</a>, <a href="https://www.smartkarma.com/entities/meritz-securities-co-ltd" target="_blank" data-smartkarma-citation="entities:19692:1" rel="noopener">Meritz Securities</a> and <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</a>.</li>
<li>Passive trackers need to trade between KRW 5-23bn on the stocks and short interest is quite low on the potential inclusions and exclusions.</li>
</ul>


A third of the way through the review period, we see three potential changes. There are a few stocks that are close to inclusion and could lead to more changes.
There should be a couple of index changes prior to the June review due to the merger of Meritz Financial Group, Meritz Securities and Meritz Fire &amp; Marine Insurance.
Passive trackers need to trade between KRW 5-23bn on the stocks and short interest is quite low on the potential inclusions and exclusions.


KOSPI200 Index Rebalance Preview (June): Changes from Now to June

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Event-Driven

<ul>
<li>Celltrion Inc, Celltrion Healthcare, and Celltrion Pharm all announced much higher dividend payments for this year as compared to last year. </li>
<li>Based on the new dividend payments, the dividend yields are as follows: (Celltrion Inc - 4.2%, Celltrion Healthcare - 4.2%, and Celltrion Pharm - 5%). </li>
<li>Merger of three companies is likely to have long-term positive impact on the their share prices. Although exact timing is uncertain, 2023 could be the year of this merger. </li>
</ul>


Celltrion Inc, Celltrion Healthcare, and Celltrion Pharm all announced much higher dividend payments for this year as compared to last year. 
Based on the new dividend payments, the dividend yields are as follows: (Celltrion Inc - 4.2%, Celltrion Healthcare - 4.2%, and Celltrion Pharm - 5%). 
Merger of three companies is likely to have long-term positive impact on the their share prices. Although exact timing is uncertain, 2023 could be the year of this merger. 


Celltrion Group Companies - Sharp Increase in Dividends

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>The swap arb spread has been consistently within the 3% to 5% band since November 23, when arb trading should have actually started.</li>
<li>Meritz Financial's buyback seems to be making it difficult to build positions on expectations that the price gap relative to Fire and Securities will converge quickly with the swap ratio.</li>
<li>As the actual risk of repaying financial borrows is small, we should start building up positions two weeks before the end of January, aiming to exit in early or mid-February.</li>
</ul>


The swap arb spread has been consistently within the 3% to 5% band since November 23, when arb trading should have actually started.
Meritz Financial's buyback seems to be making it difficult to build positions on expectations that the price gap relative to Fire and Securities will converge quickly with the swap ratio.
As the actual risk of repaying financial borrows is small, we should start building up positions two weeks before the end of January, aiming to exit in early or mid-February.


Discussing Why Meritz Swap Spread Not Being Narrowed & When to Enter

Equity Bottom-Up

<ul>
<li>There are four major reasons why we like JB Financial Group.</li>
<li>They include highest ROE among peers, highest dividend yield among peers, potential inclusion in KOSPI200 in 2023, and continued pressure by Align Partners to improve corporate governance.</li>
<li>One of the key risk factors of the company is that it is not a nationwide banking group but most of its operations are in the southwestern portion of Korea.</li>
</ul>


There are four major reasons why we like JB Financial Group.
They include highest ROE among peers, highest dividend yield among peers, potential inclusion in KOSPI200 in 2023, and continued pressure by Align Partners to improve corporate governance.
One of the key risk factors of the company is that it is not a nationwide banking group but most of its operations are in the southwestern portion of Korea.


JB Financial Group: Four Key Investment Merits

<ul>
<li>Meritz Financial Group's decision to delist Meritz Fire &amp; Marine Insurance and Meritz Securities in 1H 2023 will result in at least two new additions to KOSPI 200.</li>
<li>We highlight five companies which could be potential additions to KOSPI 200 in 1H 2023.</li>
<li>Five potential additions to KOSPI 200 in 1H 2023 include Jb Financial Group, Hyundai Construction Equipment, Dentium, Samyang Foods, and Lotte Rental. </li>
</ul>


Meritz Financial Group's decision to delist Meritz Fire &amp; Marine Insurance and Meritz Securities in 1H 2023 will result in at least two new additions to KOSPI 200.
We highlight five companies which could be potential additions to KOSPI 200 in 1H 2023.
Five potential additions to KOSPI 200 in 1H 2023 include Jb Financial Group, Hyundai Construction Equipment, Dentium, Samyang Foods, and Lotte Rental. 


KOSPI 200 Rebalance in 1H 2023 - Five Potential Additions Post Deletions of Meritz Affiliates

South Korea

Meritz Securities Co., Ltd. provides brokerage, underwriting, and securities dealing services in South Korea.  The Company also offers mutual funds, bonds, certificate of deposits (CD), corporate finance, online trading, and related services.

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Meritz Securities (008560 KS)

KOSPI200 Index Rebalance Preview (June): Changes from Now to June

There could be two changes in Jan & April and then another 3 changes in June. Impact on the stocks is not excessive and short interest is minimal....

Brian Freitas

Celltrion Group Companies - Sharp Increase in Dividends

Celltrion Inc, Celltrion Healthcare, and Celltrion Pharm all announced much higher dividend payments for this year as compared to last year.

Douglas Kim

Discussing Why Meritz Swap Spread Not Being Narrowed & When to Enter

This post discusses why the Meritz swap arb yield is not being narrowed and when would be the ideal entry point to build up our positions.

Sanghyun Park

JB Financial Group: Four Key Investment Merits

The key investment merits of JB Financial Group include highest ROE and dividend yield among peers as well as potential inclusion in KOSPI200 in 2023.

Douglas Kim

KOSPI 200 Rebalance in 1H 2023 - Five Potential Additions Post Deletions of Meritz Affiliates

In this insight, we discuss potential additions to KOSPI 200 post likely deletions of Meritz F&M Insurance and Meritz Securities from KOSPI 200 in...

Douglas Kim

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