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

<ul>
<li>There are a few stocks in Korea that have outperformed/ underperformed their peers and could be added to or deleted from global passive portfolios next month.</li>
<li>There could be buying in <a href="https://www.smartkarma.com/entities/hyundai-rotem-company" target="_blank" data-smartkarma-citation="entities:1554:1" rel="noopener">Hyundai Rotem</a>, while there could be selling in <a href="https://www.smartkarma.com/entities/kt-corp" target="_blank" data-smartkarma-citation="entities:1112:1" rel="noopener">KT Corp</a>, <a href="https://www.smartkarma.com/entities/celltrion-pharm-inc" target="_blank" data-smartkarma-citation="entities:992:1" rel="noopener">Celltrion Pharm</a>, <a href="https://www.smartkarma.com/entities/kum-yang-co-ltd" target="_blank" data-smartkarma-citation="entities:10364:1" rel="noopener">Kum Yang</a>, <a href="https://www.smartkarma.com/entities/hyundai-engineering-construction" target="_blank" data-smartkarma-citation="entities:4292:1" rel="noopener">Hyundai Engineering &amp; Construction</a>, <a href="https://www.smartkarma.com/entities/hyundai-steel-company" target="_blank" data-smartkarma-citation="entities:963:1" rel="noopener">Hyundai Steel</a>, <a href="https://www.smartkarma.com/entities/cosmoam-t-co-ltd" target="_blank" data-smartkarma-citation="entities:10360:1" rel="noopener">CosmoAM&amp;T</a> and <a href="https://www.smartkarma.com/entities/l-f-co-ltd" target="_blank" data-smartkarma-citation="entities:14300:1" rel="noopener">L&amp;F</a>.</li>
<li>Based on our estimate of passive assets, trackers will need to trade between US$57m to US$230m of the stocks. Impact will vary between 3x-14.5x of ADV to trade.</li>
</ul>


There are a few stocks in Korea that have outperformed/ underperformed their peers and could be added to or deleted from global passive portfolios next month.
There could be buying in Hyundai Rotem, while there could be selling in KT Corp, Celltrion Pharm, Kum Yang, Hyundai Engineering &amp; Construction, Hyundai Steel, CosmoAM&amp;T and L&amp;F.
Based on our estimate of passive assets, trackers will need to trade between US$57m to US$230m of the stocks. Impact will vary between 3x-14.5x of ADV to trade.


Korea: Stocks with Potential Passive Flows in November

Korea / Special Sits, Pairs, Index Rebalancing, Clepsydra Capital

Sanghyun Park

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

<ul>
<li>The cutoff market cap is around ₩3.6T, and Hyundai Rotem is the only stock that screens into the inclusion zone.</li>
<li>Hyundai Rotem might see a repeat of LS Electric’s pattern: heavy chasing towards screening and a big dive at the decision. Watch for aggressive momentum trades starting late September.</li>
<li>The stock with the lowest full market cap, Kum Yang, is at risk, but Celltrion Pharm is close behind. KT Corp’s exclusion might save Kum Yang or Celltrion Pharm.</li>
</ul>


The cutoff market cap is around ₩3.6T, and Hyundai Rotem is the only stock that screens into the inclusion zone.
Hyundai Rotem might see a repeat of LS Electric’s pattern: heavy chasing towards screening and a big dive at the decision. Watch for aggressive momentum trades starting late September.
The stock with the lowest full market cap, Kum Yang, is at risk, but Celltrion Pharm is close behind. KT Corp’s exclusion might save Kum Yang or Celltrion Pharm.


Global Index Korea: Hyundai Rotem Is the Only One Screened. Watch for a Possible LS Electric Repeat

<ul>
<li>Hyundai Rotem is right on the edge for Small Cap→Standard, so it is the only one having a real chance of being included in the November review.</li>
<li>Doosan Robotics’ float rate will rise to 40% after issuing 20,219,376 new shares, making it a top candidate for inclusion among Outside IMI and comfortably surpassing the cutoff.</li>
<li>With high trading volume volatility, it’s early to predict passive impact. Watch for momentum buildup like LS Electric and monitor the trading volume of Hyundai Rotem and Robotics closely.</li>
</ul>


Hyundai Rotem is right on the edge for Small Cap→Standard, so it is the only one having a real chance of being included in the November review.
Doosan Robotics’ float rate will rise to 40% after issuing 20,219,376 new shares, making it a top candidate for inclusion among Outside IMI and comfortably surpassing the cutoff.
With high trading volume volatility, it’s early to predict passive impact. Watch for momentum buildup like LS Electric and monitor the trading volume of Hyundai Rotem and Robotics closely.


Notable Developments in the November Review of the Global Index Korea Standard

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Equity Bottom-Up

<ul>
<li>On 21 February, it was announced that the long awaited amendment to the Export-Import Bank Act was passed by the Korean National Assembly. </li>
<li>As a result of this passage, the capital limit of the Export-Import Bank of Korea will be raised from the current 10 trillion won to 25 trillion won. </li>
<li>The revision of this law is expected to benefit major defense companies in Korea including Hyundai Rotem, Hanwha Aerospace, LIG Nex1, and Korea Aerospace Industries.</li>
</ul>


On 21 February, it was announced that the long awaited amendment to the Export-Import Bank Act was passed by the Korean National Assembly. 
As a result of this passage, the capital limit of the Export-Import Bank of Korea will be raised from the current 10 trillion won to 25 trillion won. 
The revision of this law is expected to benefit major defense companies in Korea including Hyundai Rotem, Hanwha Aerospace, LIG Nex1, and Korea Aerospace Industries.


Hyundai Rotem: Passage of Export-Import Bank Act To Support Korean Defense Companies

<ul>
<li>Local hedge funds, mainly prop traders and PEs, drove the price action in LS Electric and Hyundai Rotem, and are now leading net buying in Samyang Foods and Hyundai Mipo.</li>
<li>Given the setup, it's likely Samyang Foods and HD Hyundai Mipo will follow a similar move until mid-January when screening starts, so we should stay aware of this backdrop.</li>
<li>This gives us a chance to capture upside. Plus, since Samyang Foods and Hyundai Mipo may pull back 30-40% post-screening, there’s also a solid opportunity during that dip.</li>
</ul>


Local hedge funds, mainly prop traders and PEs, drove the price action in LS Electric and Hyundai Rotem, and are now leading net buying in Samyang Foods and Hyundai Mipo.
Given the setup, it's likely Samyang Foods and HD Hyundai Mipo will follow a similar move until mid-January when screening starts, so we should stay aware of this backdrop.
This gives us a chance to capture upside. Plus, since Samyang Foods and Hyundai Mipo may pull back 30-40% post-screening, there’s also a solid opportunity during that dip.


LS Electric, Then Hyundai Rotem, Now Samyang Foods and Hyundai Mipo: Same Proactive Flow?

South Korea

Hyundai Rotem Company Ltd. manufactures railroad equipment and defense vehicles. The Company produces high-speed trains, light rail vehicles, locomotives, and passenger coaches, main battle tanks, armored recovery vehicles, and related defense equipment. Hyundai Rotem operates worldwide.

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Hyundai Rotem Company (064350 KS)

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Sanghyun Park

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