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 commencing today, we forecast 2 changes for the FnGuide Semiconductor Top10 Index at the upcoming rebalance.</li>
<li>Based on the passive assets tracking the index, there will be between 0.65-1x ADV to buy in the adds and between 0.5-1.7x ADV to sell in the deletes.</li>
<li>The big rally has taken <a href="https://www.smartkarma.com/entities/gemvax-kael-co-ltd" target="_blank" data-smartkarma-citation="entities:17026:1" rel="noopener">Gemvax &amp; Kael</a> into inclusion zone while underperformance leads to <a href="https://www.smartkarma.com/entities/isc-co-ltd" target="_blank" data-smartkarma-citation="entities:13560:1" rel="noopener">ISC Co</a> and <a href="https://www.smartkarma.com/entities/techwing-inc" target="_blank" data-smartkarma-citation="entities:5735:1" rel="noopener">Techwing</a> dropping out of inclusion zone.</li>
</ul>


With the averaging period for the April rebalance commencing today, we forecast 2 changes for the FnGuide Semiconductor Top10 Index at the upcoming rebalance.
Based on the passive assets tracking the index, there will be between 0.65-1x ADV to buy in the adds and between 0.5-1.7x ADV to sell in the deletes.
The big rally has taken Gemvax &amp; Kael into inclusion zone while underperformance leads to ISC Co and Techwing dropping out of inclusion zone.


FnGuide Semiconductor Top10 Index Rebalance Preview: Big Moves Lead to Changes in Forecast

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 short interest of KRX stocks as of May 2nd which has an aggregated short interest worth USD5.9bn.</li>
<li>We tabulate league table 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 Daewoo Shipbuilding, Hyundai Heavy Industries, Isupetasys.</li>
</ul>


We analyzed the changes in short interest of KRX stocks as of May 2nd which has an aggregated short interest worth USD5.9bn.
We tabulate league table 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 Daewoo Shipbuilding, Hyundai Heavy Industries, Isupetasys.


KRX Short Interest Weekly (May 2nd): Daewoo Shipbuilding, Hyundai Heavy Industries, Isupetasys

Event-Driven

<ul>
<li>Short notional ticked higher on the KOSPI and KOSDAQ markets and is expected to continue increasing over the next few months.</li>
<li>Since the resumption of short selling, foreign holdings of Korean equities have increased from 29.26% to 29.3%.</li>
<li>The <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX)</a> to <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> ratio has stayed stable over the last 3 trading days.</li>
</ul>


Short notional ticked higher on the KOSPI and KOSDAQ markets and is expected to continue increasing over the next few months.
Since the resumption of short selling, foreign holdings of Korean equities have increased from 29.26% to 29.3%.
The Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) to KOSDAQ 150 Index (KOSDQ150 INDEX) ratio has stayed stable over the last 3 trading days.


Korea Short Selling: What Happened on Day 1?

<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

<p>The KRX has announced the list of inclusions and exclusions to 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> today. The rebalance is effective after the close of trading on 10 June.</p><p>There are 16 inclusions into and exclusions from the index at the June review with an estimated one-way turnover of 7.04%.</p><table class="table table-striped">
<colgroup>
<col>
<col>
<col>
<col>
</colgroup>
<tbody>
<tr>
<td colspan="2" style="text-align: center; width: 233pt;"><h3>Inclusions</h3></td>
<td colspan="2" style="text-align: center; width: 242pt;"><h3>Exclusions</h3></td>
</tr>
<tr>
<td><strong>Code</strong></td>
<td><strong>Name</strong></td>
<td><strong>Code</strong></td>
<td><strong>Name</strong></td>
</tr>
<tr>
<td>015750.KQ</td>
<td>Sungwoo Hitech Co Ltd</td>
<td>018290.KQ</td>
<td>VT GMP Co Ltd</td>
</tr>
<tr>
<td>018000.KQ</td>
<td>Unison Co Ltd</td>
<td>034950.KQ</td>
<td>Korea Ratings Corp</td>
</tr>
<tr>
<td>027360.KQ</td>
<td>AJu IB Investment Co Ltd</td>
<td>035810.KQ</td>
<td>Easy Holdings Co Ltd</td>
</tr>
<tr>
<td>036810.KQ</td>
<td>Fine Semitech Corp</td>
<td>052020.KQ</td>
<td>STCube Inc</td>
</tr>
<tr>
<td>041190.KQ</td>
<td>Woori Technology Investment Co Ltd</td>
<td>052260.KQ</td>
<td>Hyundai BioLand Co Ltd</td>
</tr>
<tr>
<td>053030.KQ</td>
<td>Binex Co Ltd</td>
<td>060570.KQ</td>
<td>Dream Us Co</td>
</tr>
<tr>
<td>082270.KQ</td>
<td>GemVax &amp; KAEL Co Ltd</td>
<td>065660.KQ</td>
<td>Anterogen Co Ltd</td>
</tr>
<tr>
<td>100090.KQ</td>
<td>Samkang M&amp;T Co Ltd</td>
<td>082920.KQ</td>
<td>Vitzrocell Co Ltd</td>
</tr>
<tr>
<td>131290.KQ</td>
<td>TSE Co Ltd</td>
<td>092730.KQ</td>
<td>NeoPharm Co Ltd</td>
</tr>
<tr>
<td>131970.KQ</td>
<td>Tesna Inc</td>
<td>143240.KQ</td>
<td>Saramin HR Co Ltd</td>
</tr>
<tr>
<td>140860.KQ</td>
<td>Park Systems Corp</td>
<td>194700.KQ</td>
<td>Novarex Co Ltd</td>
</tr>
<tr>
<td>166090.KQ</td>
<td>Hana Materials Inc</td>
<td>214370.KQ</td>
<td>Caregen Co Ltd</td>
</tr>
<tr>
<td>175250.KQ</td>
<td>Icure Pharmaceutical Inc</td>
<td>215000.KQ</td>
<td>Golfzon Co Ltd</td>
</tr>
<tr>
<td>194480.KQ</td>
<td>Devsisters Corp</td>
<td>237880.KQ</td>
<td>Clio Cosmetics Co Ltd</td>
</tr>
<tr>
<td>222800.KQ</td>
<td>Simmtech Co Ltd</td>
<td>239610.KQ</td>
<td>HL Science Co Ltd</td>
</tr>
<tr>
<td>323990.KQ</td>
<td>Vaxcell Bio Therapeutics</td>
<td>243840.KQ</td>
<td>Shin Heung Energy &amp; Electronics Co Ltd</td>
</tr>
</tbody>
</table><p>There are 12 trading days to implementation of the changes and there are a lot of additions and deletions that have over 2 days of ADV to trade. There will be a lot of action in the next few days on the names with higher ADV to trade.</p><p>With short selling limited to the constituents of 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>, shorting the inclusions will be tough while selling/shorting the deletions is a lot easier since they are current index constituents. The inclusions could outperform the deletions till a couple of days before implementation date, while there could be a high risk/reward reverse trade if the outperformance is significant.</p>

The KRX has announced the list of inclusions and exclusions to the KOSDAQ 150 Index (KOSDQ150 INDEX) today. The rebalance is effective after the close of trading on 10 June.There are 16 inclusions into and exclusions from the index at the June review with an estimated one-way turnover of 7.04%.








Inclusions
Exclusions


Code
Name
Code
Name


015750.KQ
Sungwoo Hitech Co Ltd
018290.KQ
VT GMP Co Ltd


018000.KQ
Unison Co Ltd
034950.KQ
Korea Ratings Corp


027360.KQ
AJu IB Investment Co Ltd
035810.KQ
Easy Holdings Co Ltd


036810.KQ
Fine Semitech Corp
052020.KQ
STCube Inc


041190.KQ
Woori Technology Investment Co Ltd
052260.KQ
Hyundai BioLand Co Ltd


053030.KQ
Binex Co Ltd
060570.KQ
Dream Us Co


082270.KQ
GemVax &amp; KAEL Co Ltd
065660.KQ
Anterogen Co Ltd


100090.KQ
Samkang M&amp;T Co Ltd
082920.KQ
Vitzrocell Co Ltd


131290.KQ
TSE Co Ltd
092730.KQ
NeoPharm Co Ltd


131970.KQ
Tesna Inc
143240.KQ
Saramin HR Co Ltd


140860.KQ
Park Systems Corp
194700.KQ
Novarex Co Ltd


166090.KQ
Hana Materials Inc
214370.KQ
Caregen Co Ltd


175250.KQ
Icure Pharmaceutical Inc
215000.KQ
Golfzon Co Ltd


194480.KQ
Devsisters Corp
237880.KQ
Clio Cosmetics Co Ltd


222800.KQ
Simmtech Co Ltd
239610.KQ
HL Science Co Ltd


323990.KQ
Vaxcell Bio Therapeutics
243840.KQ
Shin Heung Energy &amp; Electronics Co Ltd


There are 12 trading days to implementation of the changes and there are a lot of additions and deletions that have over 2 days of ADV to trade. There will be a lot of action in the next few days on the names with higher ADV to trade.With short selling limited to the constituents of the KOSDAQ 150 Index (KOSDQ150 INDEX), shorting the inclusions will be tough while selling/shorting the deletions is a lot easier since they are current index constituents. The inclusions could outperform the deletions till a couple of days before implementation date, while there could be a high risk/reward reverse trade if the outperformance is significant.

KOSDAQ150 Index Rebalance: 16 Changes & Large Turnover

South Korea

Gemvax & Kael Co., Ltd. manufactures chemical air filters used in semiconductor manufacturing process as well as equipments for general air purification system. The Company also produces Gas Srubber Resin, Coating Resin, and filters. Gemvax & Kael operates Environment System Field which includes media used for masks.

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Gemvax & Kael (082270 KS)

FnGuide Semiconductor Top10 Index Rebalance Preview: Big Moves Lead to Changes in Forecast

Recent price movements reduce the number of potential changes from 3 to 2. Gemvax & Kael has soared over the last week and that makes it an add...

Brian Freitas

KRX Short Interest Weekly (May 2nd): Daewoo Shipbuilding, Hyundai Heavy Industries, Isupetasys

We analyzed KRX short interest report for the past week and highlighted short interest changes in Daewoo Shipbuilding, Hyundai Heavy Industries,...

Ke Yan, CFA, FRM

Korea Short Selling: What Happened on Day 1?

Short notional has increased as has foreign ownership of Korean equities. Stock selection will become increasingly important. The forecast index...

Brian Freitas

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

KOSDAQ150 Index Rebalance: 16 Changes & Large Turnover

There are 16 changes to the KOSDAQ150 index resulting in a one-way turnover of 7.04%. The impact on the exclusions is a lot higher than on the...

Brian Freitas

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