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>The <a href="https://www.smartkarma.com/entities/samsung-kodex-top5plus-total-return-etf" target="_blank" data-smartkarma-citation="entities:36723:1" rel="noopener">Samsung KODEX Top5Plus Total Return ETF (315930 KS)</a> tracks the FnGuide Top 5 Plus Index and has an AUM of KRW 1,357bn (~US$1bn).</li>
<li>We currently see a high probability of <a href="https://www.smartkarma.com/entities/celltrion-inc" target="_blank" data-smartkarma-citation="entities:991:1" rel="noopener">Celltrion Inc (068270 KS)</a> replacing <a href="https://www.smartkarma.com/entities/kt-g-corp" target="_blank" data-smartkarma-citation="entities:9320:1" rel="noopener">KT&amp;G Corporation (033780 KS)</a> in the index at the June rebalance.</li>
<li>There is between 1-2 days of ADV to trade on the potential add and delete and smaller flows on the other index members due to capping and funding changes.</li>
</ul>


The Samsung KODEX Top5Plus Total Return ETF (315930 KS) tracks the FnGuide Top 5 Plus Index and has an AUM of KRW 1,357bn (~US$1bn).
We currently see a high probability of Celltrion Inc (068270 KS) replacing KT&amp;G Corporation (033780 KS) in the index at the June rebalance.
There is between 1-2 days of ADV to trade on the potential add and delete and smaller flows on the other index members due to capping and funding changes.


FnGuide Top 5 Plus Index Rebalance Preview: Celltrion Could Replace KT&G

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>Despite time until screening, predictions likely hold due to market cap gaps; all candidates are banks, benefiting from recent momentum.</li>
<li>Historical patterns show profit-taking selling affecting price impact, particularly on additions with significant pre-inclusion price rises. Monitor banks' pre-June 14th price appreciation to anticipate impact distortions.</li>
<li>Shorting LG Chem and LG Energy Solution based on high price cointegration, consider basket-trading them before the rebalancing, using the battery sector as a long hedge.</li>
</ul>


Despite time until screening, predictions likely hold due to market cap gaps; all candidates are banks, benefiting from recent momentum.
Historical patterns show profit-taking selling affecting price impact, particularly on additions with significant pre-inclusion price rises. Monitor banks' pre-June 14th price appreciation to anticipate impact distortions.
Shorting LG Chem and LG Energy Solution based on high price cointegration, consider basket-trading them before the rebalancing, using the battery sector as a long hedge.


Underexposed Flow Trading Opportunity: LONG Banks & SHORT LG Chem/Energy on June 14

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 3rd which has an aggregated short interest worth USD6.4bn.</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 Samsung Electronics, Sk Hynix, Hyundai Motor, Kb Financial.</li>
</ul>


We analyzed the changes in short interest of KRX Stocks as of May 3rd which has an aggregated short interest worth USD6.4bn.
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 Samsung Electronics, Sk Hynix, Hyundai Motor, Kb Financial.


KRX Short Interest Weekly (May 3rd): Samsung Electronics, Sk Hynix, Hyundai Motor, Kb Financial

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

<ul>
<li>In a recent discussion with a client, one of the questions that was raised was regarding the impact the local investors are having on the corporate governance reforms in Korea.</li>
<li>The number of local investors in the Korean stock market has jumped in the past few years from 5.3 million in 2017 to 14.4 million in 2022.</li>
<li>All in all, I think Korea is about 3-5 years behind Japan in various corporate governance reforms. So it has a lot of catching up to do.</li>
</ul>


In a recent discussion with a client, one of the questions that was raised was regarding the impact the local investors are having on the corporate governance reforms in Korea.
The number of local investors in the Korean stock market has jumped in the past few years from 5.3 million in 2017 to 14.4 million in 2022.
All in all, I think Korea is about 3-5 years behind Japan in various corporate governance reforms. So it has a lot of catching up to do.


Locals Driving Corporate Reforms and 10 Korean Companies Recently Announcing Share Cancellations

<ul>
<li>We discuss the surging share cancellations in Korea in 2024. As of 8 February 2024, Korean companies have announced 3.3 trillion won worth of shares to be completed this year. </li>
<li>At current blistering pace, it is likely that the share cancellations in Korea could jump at least 100% YoY to jump more than 10 trillion won in 2024. </li>
<li>Some of the leading Korean companies including Samsung C&amp;T and KT&amp;G that have announced share cancellations this year continue to outperform the market on average. </li>
</ul>


We discuss the surging share cancellations in Korea in 2024. As of 8 February 2024, Korean companies have announced 3.3 trillion won worth of shares to be completed this year. 
At current blistering pace, it is likely that the share cancellations in Korea could jump at least 100% YoY to jump more than 10 trillion won in 2024. 
Some of the leading Korean companies including Samsung C&amp;T and KT&amp;G that have announced share cancellations this year continue to outperform the market on average. 


Korea: Surging Share Cancellations in 2024

South Korea

KT&G Corporation processes, produces, and sells cigarettes and other tobacco products.  The Company, through its subsidiaries, manufactures ginseng products such as red ginseng tea and herbal medicines.  KT&G is also involved in real estate development of its former factory sites.

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KT&G Corporation (033780 KS)

FnGuide Top 5 Plus Index Rebalance Preview: Celltrion Could Replace KT&G

Celltrion could replace KT&G in the FnGuide Top5 Plus Index in June. Passives will need to buy 1x ADV in Celltrion and sell 2x ADV in KT&G. There...

Brian Freitas

Underexposed Flow Trading Opportunity: LONG Banks & SHORT LG Chem/Energy on June 14

This post highlights an upcoming flow trading event on June 14th, stemming from the annual rebalancing of Korea's two largest sector ETFs.

Sanghyun Park

KRX Short Interest Weekly (May 3rd): Samsung Electronics, Sk Hynix, Hyundai Motor, Kb Financial

We analyzed KRX short interest report for the past week and highlighted short interest changes in Samsung Electronics, Sk Hynix, Hyundai Motor, Kb...

Ke Yan, CFA, FRM

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

FnGuide Top 5 Plus Index Rebalance Preview: Celltrion Could Replace KT&G

Celltrion could replace KT&G in the FnGuide Top5 Plus Index in June. Passives will need to buy 1x ADV in Celltrion and sell 2x ADV in KT&G. There...

Brian Freitas

Underexposed Flow Trading Opportunity: LONG Banks & SHORT LG Chem/Energy on June 14

This post highlights an upcoming flow trading event on June 14th, stemming from the annual rebalancing of Korea's two largest sector ETFs.

Sanghyun Park

KRX Short Interest Weekly (May 3rd): Samsung Electronics, Sk Hynix, Hyundai Motor, Kb Financial

We analyzed KRX short interest report for the past week and highlighted short interest changes in Samsung Electronics, Sk Hynix, Hyundai Motor, Kb...

Ke Yan, CFA, FRM

Locals Driving Corporate Reforms and 10 Korean Companies Recently Announcing Share Cancellations

On 17 April, Celltrion Inc announced that it will buyback shares worth 75 billion won. Including 75 billion won of share repurchase last month,...

Douglas Kim

Korea: Surging Share Cancellations in 2024

We discuss the surging share cancellations in Korea in 2024. As of 8 February 2024, Korean companies have announced 3.3 trillion won worth of...

Douglas Kim