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 70% of the review period complete, there could be 14 constituent changes 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> in June.</li>
<li>There has been huge interest in the KOSDAQ market lately and that has led to big ETF creations in the last few months. That leads to increased flow and impact.</li>
<li>The forecast adds have MASSIVELY outperformed the forecast deletes over the last few months and in the last week. While the flow/impact are huge, watch out for short-term reversal.</li>
</ul>


With 70% of the review period complete, there could be 14 constituent changes for the KOSDAQ 150 Index (KOSDQ150 INDEX) in June.
There has been huge interest in the KOSDAQ market lately and that has led to big ETF creations in the last few months. That leads to increased flow and impact.
The forecast adds have MASSIVELY outperformed the forecast deletes over the last few months and in the last week. While the flow/impact are huge, watch out for short-term reversal.


KOSDAQ150 Index Rebalance Preview: Soaring AUM and Increased 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 foreign holdings of KRX stocks as of Jul 17th. The aggregated holding was USD1,555.1bn.</li>
<li>We estimate that foreign flows to be inflows of USD23,200mln. 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 changes of foreign holdings in SK Hynix, Samsung Electronics, SKSQUARE, Samsung Elec (PREF), LG Innotek.</li>
</ul>


We analyzed the changes in foreign holdings of KRX stocks as of Jul 17th. The aggregated holding was USD1,555.1bn.
We estimate that foreign flows to be inflows of USD23,200mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
We highlight changes of foreign holdings in SK Hynix, Samsung Electronics, SKSQUARE, Samsung Elec (PREF), LG Innotek.


KRX Foreign Holding Weekly (Jul 17th): SK Hynix, Samsung Electronics, SKSQUARE, Samsung Elec (PREF)

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>Last September rebalance, Taesung, HD Hyundai Energy, and Gemvax saw strong announcement day gains, then mixed and partially reversed prints on the actual rebalance flow date.</li>
<li>Setup centers on the announcement window Friday Sept 4 ahead of Sept 10 rebalance, with May to July screening driving pre positioning into likely inclusions.</li>
<li>TES (095610), TSE (131290), VM (089970) are core inclusion locks. KRW 8.2tn AUM drives higher positioning and two track trade into announcement and pre positioning.</li>
</ul>


Last September rebalance, Taesung, HD Hyundai Energy, and Gemvax saw strong announcement day gains, then mixed and partially reversed prints on the actual rebalance flow date.
Setup centers on the announcement window Friday Sept 4 ahead of Sept 10 rebalance, with May to July screening driving pre positioning into likely inclusions.
TES (095610), TSE (131290), VM (089970) are core inclusion locks. KRW 8.2tn AUM drives higher positioning and two track trade into announcement and pre positioning.


KRX Semis Set for Heavy Passive Flow Attention in September

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Equity Capital Markets

<ul>
<li>HPSP is getting ready for an IPO in Korea in July. This semiconductor equipment Korean company is an IPO with the best fundamentals for a so far in 2022.</li>
<li>The IPO base deal size is from $55 million to $60 million. Crescendo Equity Partners (backed by Peter Thiel) is the controlling shareholder of HPSP.</li>
<li>HPSP had revenue of 91.8 billion won (up 50% YoY) and operating profit of 45.2 billion won (up 82.3% YoY) in 2021. Its sales and profits surged higher in 1Q22.</li>
</ul>


HPSP is getting ready for an IPO in Korea in July. This semiconductor equipment Korean company is an IPO with the best fundamentals for a so far in 2022.
The IPO base deal size is from $55 million to $60 million. Crescendo Equity Partners (backed by Peter Thiel) is the controlling shareholder of HPSP.
HPSP had revenue of 91.8 billion won (up 50% YoY) and operating profit of 45.2 billion won (up 82.3% YoY) in 2021. Its sales and profits surged higher in 1Q22.


HPSP Preview: A Korean IPO With Best Fundamentals So Far in 2022

<ul>
<li>Our base case valuation of HPSP is implied market cap of 810 billion won or target price of 38,228 won per share.</li>
<li>This is 53% higher than the high end of the IPO price range of 25,000 won.  Given the solid upside, we have a POSITIVE view of the HPSP IPO.</li>
<li>Our base case valuation uses our estimated net profit of 79.8 billion won in 2022 and P/E of 10.2x which is the median valuation multiple of its peers. </li>
</ul>


Our base case valuation of HPSP is implied market cap of 810 billion won or target price of 38,228 won per share.
This is 53% higher than the high end of the IPO price range of 25,000 won.  Given the solid upside, we have a POSITIVE view of the HPSP IPO.
Our base case valuation uses our estimated net profit of 79.8 billion won in 2022 and P/E of 10.2x which is the median valuation multiple of its peers. 


South Korea

VM Inc. manufactures and distributes semiconductor processing equipment. The Company produces dry etch and light emitting diode etcher equipment, plasma etching systems, and other products. VM markets its products throughout South Korea.

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VM (089970 KS)

KOSDAQ150 Index Rebalance Preview: Soaring AUM and Increased Flow/Impact

There could be 14 constituent changes for the KOSDAQ150 in June. AUM linked to the index has soared over the last couple of months. The forecast...

Brian Freitas

KRX Foreign Holding Weekly (Jul 17th): SK Hynix, Samsung Electronics, SKSQUARE, Samsung Elec (PREF)

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

Ke Yan, CFA, FRM

KRX Semis Set for Heavy Passive Flow Attention in September

KRX Semis in September is shaping up as a pretty notable passive flow event with strong market attention and elevated positioning focus.

Sanghyun Park

HPSP Preview: A Korean IPO With Best Fundamentals So Far in 2022

The local media mentioned today that Crescendo Equity Partners is planning to sell its 39.59% controlling stake in HPSP (403870 KS), whose market...

Douglas Kim

HPSP IPO Valuation Analysis

Our base case valuation of HPSP is implied market cap of 810 billion won or target price of 38,228 won per share, which represents 53% higher than...

Douglas Kim

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