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

Event-Driven

Korea Stock Exchange KOSPI 200 / Event-Driven

<ul>
<li>Since short selling was banned in November 2023, short interest has plunged in Korea as shorts were covered. Markets have not done much over the last 16 months though. </li>
<li>Foreign investor holdings have dropped from 32.05% in July to 28.57%. The top 25 stocks bought by foreign investors outperformed the top 25 stocks sold by 128% in 16 months.</li>
<li>There will be trade opportunities across indices, pref/ords, index migrations and deletions, potential market upgrades and overvalued stocks being sold.</li>
</ul>


Since short selling was banned in November 2023, short interest has plunged in Korea as shorts were covered. Markets have not done much over the last 16 months though. 
Foreign investor holdings have dropped from 32.05% in July to 28.57%. The top 25 stocks bought by foreign investors outperformed the top 25 stocks sold by 128% in 16 months.
There will be trade opportunities across indices, pref/ords, index migrations and deletions, potential market upgrades and overvalued stocks being sold.


Korea: Short Selling Is Back in March; Trade Ideas

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Equity Bottom-Up

<ul>
<li>On 10 November, it was announced that Ki-Sun Chung was promoted to Vice Chairman which could signal more positive news flow on HD Hyundai in the coming months.</li>
<li>The consensus expects DPS of 4,200 won for HD Hyundai in 2023, which suggests a dividend yield of 7.1%. HD Hyundai has one of the highest dividend yields in KOSPI200.</li>
<li>According to our NAV analysis, it suggests a base case valuation of 71,970 won per share for HD Hyundai, representing a 22% upside from current levels.</li>
</ul>


On 10 November, it was announced that Ki-Sun Chung was promoted to Vice Chairman which could signal more positive news flow on HD Hyundai in the coming months.
The consensus expects DPS of 4,200 won for HD Hyundai in 2023, which suggests a dividend yield of 7.1%. HD Hyundai has one of the highest dividend yields in KOSPI200.
According to our NAV analysis, it suggests a base case valuation of 71,970 won per share for HD Hyundai, representing a 22% upside from current levels.


Douglas Research Advisory

Thematic (Sector/Industry)

<ul>
<li>There are signs that the South Korean REIT market may have bottomed in the past 3-6 months after significant market underperformance from 2021 to 4Q 2023.</li>
<li>The 16 major Korean REIT stocks are up on average 5% YTD, outperforming KOSPI which is up 1.4% in the same period.</li>
<li>Differential in REIT dividend yield/Korean bond yield, meaningful discount to NAV, and increased capital allocation from Corporate Value Up program have been driving outperformance of Korean REIT stocks this year.</li>
</ul>


There are signs that the South Korean REIT market may have bottomed in the past 3-6 months after significant market underperformance from 2021 to 4Q 2023.
The 16 major Korean REIT stocks are up on average 5% YTD, outperforming KOSPI which is up 1.4% in the same period.
Differential in REIT dividend yield/Korean bond yield, meaningful discount to NAV, and increased capital allocation from Corporate Value Up program have been driving outperformance of Korean REIT stocks this year.


<ul>
<li>The resumption of short selling in Korea will start again on 31 March. There has been a ban on short selling in Korea since November 2023.</li>
<li>We provide some short selling candidates in Korea. Their sharply increasing share prices in the past five years have resulted in much more burdensome valuations.</li>
<li>Despite their burdensome valuations and sharply higher share prices, the remains high risk of some of these stocks that could overshoot to the upside.</li>
</ul>


The resumption of short selling in Korea will start again on 31 March. There has been a ban on short selling in Korea since November 2023.
We provide some short selling candidates in Korea. Their sharply increasing share prices in the past five years have resulted in much more burdensome valuations.
Despite their burdensome valuations and sharply higher share prices, the remains high risk of some of these stocks that could overshoot to the upside.


Resumption of Short Selling in Korea on 31 March and Potential Short Selling Candidates

Asset Allocation & Fund Positioning, Copley Fund Research

Steven Holden

Asset Allocation & Fund Positioning

Copley Fund Research

Copley Fund Research provide research and data on asset allocation among Global and Emerging Market equity funds.  The analysis details absolute and relative positioning across countries, sectors and industries together with highly granular data on single stock and single fund allocations.  The data is updated monthly with time series going back to January 2011.

Global Research - Analysis of 165 prominent Global equity funds, combined AUM $335bn
GEM Research - Analysis of 127 prominent global EM equity funds, combined AUM $250bn

Asset Allocation - Global and GEM Equity

Cross Asset Strategy

<ul>
<li>Small cap Emerging Market funds have outperformed their large-cap peers over the past 10 years.</li>
<li>Yet small and midcap exposure decreased to near record levels last year, in spite of managers maintaining an overweight position versus the benchmark.</li>
<li>We screen for well owned and small/midcap stocks that are showing strong momentum among managers.</li>
</ul>


Small cap Emerging Market funds have outperformed their large-cap peers over the past 10 years.
Yet small and midcap exposure decreased to near record levels last year, in spite of managers maintaining an overweight position versus the benchmark.
We screen for well owned and small/midcap stocks that are showing strong momentum among managers.


South Korea

Hyundai Electric & Energy Systems (HE&E), which makes various electric equipment including transformers, switchgear, motors, low & medium voltage circuit breakers, power electronics, and power electronics & control systems.

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Hyundai Electric & Energy (267260 KS)

Korea: Short Selling Is Back in March; Trade Ideas

Since the Insight was published, the KOSPI200 is +0.95% while the KOSDAQ150 is -5.13%. Among the high forward PE stocks, Taesung (323280) is ...

Brian Freitas

Asian Dividend Gems: HD Hyundai

FTC decided to conditionally approve the acquisition of STX Heavy Industries by HD Korea Shipbuilding & Marine Engineering. With this business...

Douglas Kim

South Korean REITs May Have Bottomed

There are signs that the South Korean REIT market may have bottomed in the past 3-6 months after significant market underperformance from 2021 to...

Douglas Kim

Resumption of Short Selling in Korea on 31 March and Potential Short Selling Candidates

The resumption of short selling in Korea will start again on 31 March. There has been a ban on short selling in Korea since November 2023. We...

Douglas Kim

Active GEM Funds: The Small Cap Effect

Small cap Emerging Market funds have outperformed their large-cap peers over the past 10 years, Yet small and midcap exposure decreased to near...

Steven Holden

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