Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Douglas Research Advisory

Event-Driven

<ul>
<li>In this insight, we discuss the potential alpha generation from new entries in the "KOSDAQ Rising Stars."</li>
<li>For the KOSDAQ Rising Stars New Entries in 2023, there was a massive outperformance. Of course, we want to reiterate that past performance is NOT indicative of future performance.</li>
<li>On 28 August 2024, KRX provided a list of 39 KOSDAQ Rising Stars companies (including 29 existing ones and 10 new companies).</li>
</ul>


In this insight, we discuss the potential alpha generation from new entries in the "KOSDAQ Rising Stars."
For the KOSDAQ Rising Stars New Entries in 2023, there was a massive outperformance. Of course, we want to reiterate that past performance is NOT indicative of future performance.
On 28 August 2024, KRX provided a list of 39 KOSDAQ Rising Stars companies (including 29 existing ones and 10 new companies).


Alpha Generation from the New Entries in the 'KOSDAQ Rising Stars'

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.

Index Rebalance

<ul>
<li>Early position buildup has minimal price impact, and even after the announcement, only a few stocks with a larger passive impact see significant movement.</li>
<li>Since these KRX sector indices include many small to mid-cap stocks, the price impact of constituent changes on ETF rebalancing day was quite noticeable.</li>
<li>Due to potential learning effects, build positions in predictable high-impact stocks before the announcement, then monitor flows and impacts to decide on targeting the ETF rebalancing trading day.</li>
</ul>


Early position buildup has minimal price impact, and even after the announcement, only a few stocks with a larger passive impact see significant movement.
Since these KRX sector indices include many small to mid-cap stocks, the price impact of constituent changes on ETF rebalancing day was quite noticeable.
Due to potential learning effects, build positions in predictable high-impact stocks before the announcement, then monitor flows and impacts to decide on targeting the ETF rebalancing trading day.


KRX Sector Indexes' Rebalancing Event, Often off Traders' Radar but with Significant Price Impacts

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

<ul>
<li>With the start of the review period around the corner, there could be two changes for the FnGuide Semiconductor Top10 Index at the October rebalance.</li>
<li>
<a href="https://www.smartkarma.com/entities/wonik-ips-co-ltd-5d7417b7-5438-41d4-a6e4-8016d24d818a" target="_blank" data-smartkarma-citation="entities:26912:1" rel="noopener">Wonik Ips (240810 KS)</a> and <a href="https://www.smartkarma.com/entities/techwing-inc" target="_blank" data-smartkarma-citation="entities:5735:1" rel="noopener">Techwing Inc (089030 KS)</a> are potential adds while <a href="https://www.smartkarma.com/entities/isc-co-ltd" target="_blank" data-smartkarma-citation="entities:13560:1" rel="noopener">ISC Co Ltd (095340 KS)</a> and <a href="https://www.smartkarma.com/entities/dongjin-semichem-co-ltd" target="_blank" data-smartkarma-citation="entities:19607:1" rel="noopener">Dongjin Semichem (005290 KS)</a> are potential deletes.</li>
<li>Passives will need to trade more than 2x ADV on two potential changes and more than 1x ADV on another potential change.</li>
</ul>


With the start of the review period around the corner, there could be two changes for the FnGuide Semiconductor Top10 Index at the October rebalance.

Wonik Ips (240810 KS) and Techwing Inc (089030 KS) are potential adds while ISC Co Ltd (095340 KS) and Dongjin Semichem (005290 KS) are potential deletes.
Passives will need to trade more than 2x ADV on two potential changes and more than 1x ADV on another potential change.


FnGuide Semiconductor Top10 Index Rebalance Preview: Two Changes Likely in October

Asia Pac IPO & Placement Research, China biotech, Aequitas Research

Ke Yan, CFA, FRM

Asia Pac IPO & Placement Research, China biotech

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Quantitative Analysis

<ul>
<li>We analyzed the changes in foreign holdings of KRX stocks as of Aug 9th which has an aggregated holding worth USD518.5bn.</li>
<li>We estimate that foreign flows to be outflows of USD1,842mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.</li>
<li>We highlight foreign changes in Samsung Electronics (005930 KS), Sk Hynix (000660 KS).</li>
</ul>


We analyzed the changes in foreign holdings of KRX stocks as of Aug 9th which has an aggregated holding worth USD518.5bn.
We estimate that foreign flows to be outflows of USD1,842mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
We highlight foreign changes in Samsung Electronics (005930 KS), Sk Hynix (000660 KS).


KRX Foreign Holding Weekly (Aug 9th): Samsung Electronics, Sk Hynix

<ul>
<li>There are 13 inclusions and 13 exclusions for 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> at the June rebalance to be implemented at the close on 13 June.</li>
<li>For the second consecutive review, <a href="https://www.smartkarma.com/entities/fadu-inc" target="_blank" data-smartkarma-citation="entities:39896:1" rel="noopener">Fadu (440110 KS)</a> and <a href="https://www.smartkarma.com/entities/shinsung-delta-tech-co-ltd" target="_blank" data-smartkarma-citation="entities:4976:1" rel="noopener">Shinsung DeltaTech (065350 KS)</a> have been kept out of the index. Not sure what the index committee's beef with them is.</li>
<li>The adds have outperformed the deletes and the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ150</a> since the start of the review period. This has been helped, in no small, part by the ban on short selling.</li>
</ul>


There are 13 inclusions and 13 exclusions for the KOSDAQ 150 Index (KOSDQ150 INDEX) at the June rebalance to be implemented at the close on 13 June.
For the second consecutive review, Fadu (440110 KS) and Shinsung DeltaTech (065350 KS) have been kept out of the index. Not sure what the index committee's beef with them is.
The adds have outperformed the deletes and the KOSDAQ150 since the start of the review period. This has been helped, in no small, part by the ban on short selling.


KOSDAQ150 Index Rebalance: Short Sell Ban Definitely Helping

South Korea

Techwing Inc., manufactures parts for semiconductor testing equipment. The Company's product includes test handlers, Change of Kit (C.O.K) and test interface boards.  The company's main product, test handlers, is core  semiconductor testing equipment.

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Techwing Inc (089030 KS)

Alpha Generation from the New Entries in the 'KOSDAQ Rising Stars'

In this insight, we discuss the potential alpha generation from new entries in the "KOSDAQ Rising Stars." KRX provided a list of 39 KOSDAQ Rising...

Douglas Kim

KRX Sector Indexes' Rebalancing Event, Often off Traders' Radar but with Significant Price Impacts

This post discusses KRX Sector Index rebalancing trading opportunities, which, due to being off traders' radar for two reasons, paradoxically lead...

Sanghyun Park

FnGuide Semiconductor Top10 Index Rebalance Preview: Two Changes Likely in October

There could be two changes for the FnGuide Semiconductor Top10 Index in October. Some stocks have similar market caps and will need to be...

Brian Freitas

KRX Foreign Holding Weekly (Aug 9th): Samsung Electronics, Sk Hynix

We analyzed KRX foreign holding data for the past week and highlighted foreign holding changes in Samsung Electronics, Sk Hynix.

Ke Yan, CFA, FRM

KOSDAQ150 Index Rebalance: Short Sell Ban Definitely Helping

There are 13 changes a side for the KOSDAQ150 in June. Most of the changes were forecast. Fadu and Shinsung Delta Tech have been ignored again. The...

Brian Freitas

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