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 review period for the September rebalance ends on 31 July, the changes will be announced towards end August and implemented at the close of trading on 7 September.</li>
<li>There are potential changes to some of the indices and then there are close changes that will result in big flows if they eventuate.</li>
<li>The March rebalance saw some funky moves on the stocks that had big flows and we could see more of that at the September rebalance.</li>
</ul>


The review period for the September rebalance ends on 31 July, the changes will be announced towards end August and implemented at the close of trading on 7 September.
There are potential changes to some of the indices and then there are close changes that will result in big flows if they eventuate.
The March rebalance saw some funky moves on the stocks that had big flows and we could see more of that at the September rebalance.


KRX New Deal Index Rebalance Preview: Potential & Close Changes in September

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Equity Bottom-Up

<ul>
<li>On 20 April, Chile's government announced that it will be nationalizing the country's lithium industry. Chile is the second largest producer of lithium in the world. </li>
<li>The nationalization of the lithium industry in Chile will likely have a long-term negative impact on the rechargeable batteries related companies in Korea.</li>
<li>This is mainly due to greater challenges of getting access to lithium at more affordable prices. </li>
</ul>


On 20 April, Chile's government announced that it will be nationalizing the country's lithium industry. Chile is the second largest producer of lithium in the world. 
The nationalization of the lithium industry in Chile will likely have a long-term negative impact on the rechargeable batteries related companies in Korea.
This is mainly due to greater challenges of getting access to lithium at more affordable prices. 


Nationalization of Lithium Industry in Chile - Impact on Korean Rechargeable Batteries Value Chain

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>Samsung SDI and LG Chem are expected to be newly included in the index, while Hana Financial and KT&amp;G Corporation are predicted to be excluded.</li>
<li>The correlation between the price movement and the flow direction on the rebalancing trading day of constituent changes from the past reviews was quite high.</li>
<li>We can set the price impact expectation for the upcoming review even more aggressively, given that the size of the flow x DTV is more significant than in previous cases.</li>
</ul>


Samsung SDI and LG Chem are expected to be newly included in the index, while Hana Financial and KT&amp;G Corporation are predicted to be excluded.
The correlation between the price movement and the flow direction on the rebalancing trading day of constituent changes from the past reviews was quite high.
We can set the price impact expectation for the upcoming review even more aggressively, given that the size of the flow x DTV is more significant than in previous cases.


Price/Flow Impact on Four Constituent Changes in KODEX Top 5 Plus ETF Rebalancing in June

Global X Lithium & Battery Tech ETF / Event-Driven

<ul>
<li>LG Energy Solution and Samsung SDI will remain in the index as top stocks of pack makers, respectively. Ecopro BM will almost certainly replace L&amp;F in the category of Cathode.</li>
<li>SK IE Technology will newly join the index with Separator's top stock. On the other hand, Lotte Energy Materials and SKC are unlikely to be included.</li>
<li>This event can be a critical inflection point in predicting the counter-flow for short positions against Ecopro BM and L&amp;F in advance.</li>
</ul>


LG Energy Solution and Samsung SDI will remain in the index as top stocks of pack makers, respectively. Ecopro BM will almost certainly replace L&amp;F in the category of Cathode.
SK IE Technology will newly join the index with Separator's top stock. On the other hand, Lotte Energy Materials and SKC are unlikely to be included.
This event can be a critical inflection point in predicting the counter-flow for short positions against Ecopro BM and L&amp;F in advance.


Pre-Positioning Targeting Solactive Global Lithium Index's October Rebalancing

Mirae Asset TIGER Secondary Cell ETF / Event-Driven

<ul>
<li>There seems to be no constituent change this time. However, opportunities from cap reversion are likely to lead to noteworthy passive flows.</li>
<li>Ecopro BM and Ecopro Co will experience a weight movement of -4.35% and -3.68%p. On the other hand, SK Innovation will enjoy the most pleasant passive impact.</li>
<li>At KODEX Battery's March rebalancing, the Long SK Innovation Short Ecopro BM position setup provided a return of more than 10% with a similar level of impact x ADTV.</li>
</ul>


There seems to be no constituent change this time. However, opportunities from cap reversion are likely to lead to noteworthy passive flows.
Ecopro BM and Ecopro Co will experience a weight movement of -4.35% and -3.68%p. On the other hand, SK Innovation will enjoy the most pleasant passive impact.
At KODEX Battery's March rebalancing, the Long SK Innovation Short Ecopro BM position setup provided a return of more than 10% with a similar level of impact x ADTV.


Flow Trading Targeting Cap Reversion in TIGER Battery ETF Rebalancing on April 13

South Korea

Samsung SDI Co., Ltd. specializes in developing Lithium Ion Battery (LIB) technology.  The Company also manufactures cathode ray tubes (CRTs) for televisions and computer monitors.  Samsung SDI also produces liquid crystal display (LCD) components and rechargeable batteries for cellular phones , personal digital assistants (PDAs), Energy Storage Systems and solar panels.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Samsung SDI (006400 KS)

KRX New Deal Index Rebalance Preview: Potential & Close Changes in September

There were big moves on stocks that were changes at the March rebalance. We take a look at expected and close changes at the September rebalance....

Brian Freitas

Nationalization of Lithium Industry in Chile - Impact on Korean Rechargeable Batteries Value Chain

The nationalization of the lithium industry in Chile will likely have a long-term negative impact on the rechargeable batteries related companies...

Douglas Kim

Price/Flow Impact on Four Constituent Changes in KODEX Top 5 Plus ETF Rebalancing in June

This post presents a Long Short basket trade idea on the four potential constituent changes in the KODEX Top 5 Plus TR ETF rebalancing in June.

Sanghyun Park

Pre-Positioning Targeting Solactive Global Lithium Index's October Rebalancing

This post investigates several pre-positioning angles for passive flow trading and counter-attack flow against short positions with Solactive...

Sanghyun Park

Flow Trading Targeting Cap Reversion in TIGER Battery ETF Rebalancing on April 13

This post investigates potential flow trading opportunities targeting those subject to a 10% cap reversion in TIGER Battery ETF's upcoming...

Sanghyun Park

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)