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>With the averaging period for the April rebalance almost complete, we forecast 1 change for the FnGuide Semiconductor Top10 Index at the upcoming rebalance.</li>
<li>
<a href="https://www.smartkarma.com/entities/mirae-asset-tiger-fn-semiconductor-top-10-etf" target="_blank" data-smartkarma-citation="entities:36845:1" rel="noopener">Mirae Asset TIGER Fn Semiconductor Top 10 (396500 KS)</a>'s AUM has topped US$5.5bn and the ETF will need to trade a VERY significant portion of float for the add/delete.</li>
<li>The forecast add has outperformed the forecast delete by 50% over the last month but positioning does not appear to be stretched in the stocks.</li>
</ul>


With the averaging period for the April rebalance almost complete, we forecast 1 change for the FnGuide Semiconductor Top10 Index at the upcoming rebalance.

Mirae Asset TIGER Fn Semiconductor Top 10 (396500 KS)'s AUM has topped US$5.5bn and the ETF will need to trade a VERY significant portion of float for the add/delete.
The forecast add has outperformed the forecast delete by 50% over the last month but positioning does not appear to be stretched in the stocks.


FnGuide Semiconductor Top10 Index Rebalance Preview: VERY Significant Impact for the Changes

<ul>
<li>With the averaging period for the April rebalance starting in one week, we forecast 1 change for the FnGuide Semiconductor Top10 Index at the upcoming rebalance.</li>
<li>
<a href="https://www.smartkarma.com/entities/mirae-asset-tiger-fn-semiconductor-top-10-etf" target="_blank" data-smartkarma-citation="entities:36845:1" rel="noopener">Mirae Asset TIGER Fn Semiconductor Top 10 ETF (396500 KS)</a>'s AUM has soared over the last few months to top US$4bn and that increases the flow and impact. </li>
<li>Based on the passive assets tracking the index, there will be between 3.4-4x ADV to trade in the forecast changes. Plus, a big impact due to the funding trade.</li>
</ul>


With the averaging period for the April rebalance starting in one week, we forecast 1 change for the FnGuide Semiconductor Top10 Index at the upcoming rebalance.

Mirae Asset TIGER Fn Semiconductor Top 10 ETF (396500 KS)'s AUM has soared over the last few months to top US$4bn and that increases the flow and impact. 
Based on the passive assets tracking the index, there will be between 3.4-4x ADV to trade in the forecast changes. Plus, a big impact due to the funding trade.


FnGuide Semiconductor Top10 Index Rebalance Preview: Soaring AUM Increases Flow & Impact

Asia Pac ECM and Index Rebal, Shenton Research

Ke Yan, CFA, FRM

Asia Pac ECM and Index Rebal

Asia Pac IPO & Placement Research, China Biotech

DZT Research

DZT Research is an independent Asia Pacific equity specialist. Our quantitative research covers index rebalancing flows, alongside exchange data analytics accross Asia Pacific. On the equity capital markets side, we focus on Asia Pacific ECM, especially biotech and TMT. Our lead analyst is frequently cited by international media.

Quantitative Analysis

<ul>
<li>We analyzed the changes in short interest of KRX stocks as of Dec 26th. The aggregated short interest was USD11.8bn.</li>
<li>We tabulate league tables for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.</li>
<li>We highlight short interest changes in NAVER, Samsung H.I., Hanwha Ocean, Doosan Enerbility, HDKSOE.</li>
</ul>


We analyzed the changes in short interest of KRX stocks as of Dec 26th. The aggregated short interest was USD11.8bn.
We tabulate league tables for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.
We highlight short interest changes in NAVER, Samsung H.I., Hanwha Ocean, Doosan Enerbility, HDKSOE.


KRX Short Interest Weekly (Dec 26th): NAVER, Samsung H.I., Hanwha Ocean, Doosan Enerbility, HDKSOE

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Douglas Research Advisory

Equity Bottom-Up

<ul>
<li>Genic is a turnaround story. Genic is one of the largest ODM companies that make beauty face masks in Korea. </li>
<li>Genic is one of the biggest suppliers of hydrogel based face masks of the Biodance brand which has been experiencing an excellent demand in global markets, including the United States. </li>
<li>Despite surging growth in sales and profits, valuation multiples remain reasonable. It is trading at EV/EBITDA of 12.7x and P/E of 14.2x, based on recent prices and LTM financials. </li>
</ul>


Genic is a turnaround story. Genic is one of the largest ODM companies that make beauty face masks in Korea. 
Genic is one of the biggest suppliers of hydrogel based face masks of the Biodance brand which has been experiencing an excellent demand in global markets, including the United States. 
Despite surging growth in sales and profits, valuation multiples remain reasonable. It is trading at EV/EBITDA of 12.7x and P/E of 14.2x, based on recent prices and LTM financials. 


<ul>
<li>With the averaging period for the April rebalance now complete, we forecast just 1 change for the FnGuide Semiconductor Top10 Index at the upcoming rebalance.</li>
<li>Based on the passive assets tracking the index, there will be between 0.8-2.2x ADV to trade in the forecast changes.</li>
<li>The resumption of short selling makes it easier to position for these events. That could also result in the shorts moving a lot ahead of implementation.</li>
</ul>


With the averaging period for the April rebalance now complete, we forecast just 1 change for the FnGuide Semiconductor Top10 Index at the upcoming rebalance.
Based on the passive assets tracking the index, there will be between 0.8-2.2x ADV to trade in the forecast changes.
The resumption of short selling makes it easier to position for these events. That could also result in the shorts moving a lot ahead of implementation.


FnGuide Semiconductor Top10 Index Rebalance Preview: Just One Change Likely

South Korea

Soulbrain Co., Ltd. manufactures and distributes chemicals. The Company produces functional organic materials, fine chemical materials, chemical deposition materials, etchant materials, and other related products. Soulbrain also produces secondary battery materials, semiconductor materials, and display products.

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Soulbrain (357780 KS)

FnGuide Semiconductor Top10 Index Rebalance Preview: VERY Significant Impact for the Changes

ISC could replace Dongjin Semi in the FnGuide Semi Top10 Index. AUM exceeds US$5.6bn and the ETF will need to trade a VERY significant % of float...

Brian Freitas

FnGuide Semiconductor Top10 Index Rebalance Preview: Soaring AUM Increases Flow & Impact

ETF AUM has crossed US$4bn and that increases flow and impact for the one set of forecast changes in April. Capping outflows for Hynix and Sammy...

Brian Freitas

KRX Short Interest Weekly (Dec 26th): NAVER, Samsung H.I., Hanwha Ocean, Doosan Enerbility, HDKSOE

We analyzed KRX short interest report for the past week and highlighted short interest changes in NAVER, Samsung H.I., Hanwha Ocean, Doosan...

Ke Yan, CFA, FRM

Korea Small Cap Gem #45: Genic

Genic is a turnaround story. Genic is one of the largest ODM companies that make beauty face masks in Korea. Genic is one of the biggest suppliers...

Douglas Kim

FnGuide Semiconductor Top10 Index Rebalance Preview: Just One Change Likely

Jusung Engineering could replace Wonik IPS in the index next week. Passives need to trade between 0.8-2.2x ADV in the stocks. The resumption of...

Brian Freitas

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