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.

Index Rebalance

<ul>
<li>After the March avg daily market cap screen, Wonik IPS is swapped for Jusung Engineering. Big passive impact expected—Jusung gets 1x ADTV buy flow, Wonik faces 2.6x ADTV sell.</li>
<li>Watch for passive flow timing—last rebalance (Oct 11), ISC Co Ltd got kicked, Wonik IPS called up. TIGER split Wonik’s rebalance over two trading days to minimize price impact.</li>
<li>The long/short yield was 2.89% on Oct 11, 3.96% over two days. With bigger passive flow impact, TIGER may split the rebalance—enter near Thursday close, exit by Monday afternoon.</li>
</ul>


After the March avg daily market cap screen, Wonik IPS is swapped for Jusung Engineering. Big passive impact expected—Jusung gets 1x ADTV buy flow, Wonik faces 2.6x ADTV sell.
Watch for passive flow timing—last rebalance (Oct 11), ISC Co Ltd got kicked, Wonik IPS called up. TIGER split Wonik’s rebalance over two trading days to minimize price impact.
The long/short yield was 2.89% on Oct 11, 3.96% over two days. With bigger passive flow impact, TIGER may split the rebalance—enter near Thursday close, exit by Monday afternoon.


Watch This Friday's TIGER Top 10 Semicon Rebalance

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

<ul>
<li>Today is the last trading day in the review period for the October rebalance of the FnGuide Semiconductor Top10 Index.</li>
<li>
<a href="https://www.smartkarma.com/entities/wonik-ips-co-ltd-5d7417b7-5438-41d4-a6e4-8016d24d818a" target="_blank" data-smartkarma-citation="entities:26912:1" rel="noopener">Wonik Ips (240810 KS)</a> is a high probability add and <a href="https://www.smartkarma.com/entities/isc-co-ltd" target="_blank" data-smartkarma-citation="entities:13560:1" rel="noopener">ISC Co Ltd (095340 KS)</a> is a high probability delete. This will reverse the changes from the April rebalance.</li>
<li>Passive trackers will need to buy over 3.5x ADV in <a href="https://www.smartkarma.com/entities/wonik-ips-co-ltd-5d7417b7-5438-41d4-a6e4-8016d24d818a" target="_blank" data-smartkarma-citation="entities:26912:1" rel="noopener">Wonik Ips (240810 KS)</a> and sell nearly 2x ADV in <a href="https://www.smartkarma.com/entities/isc-co-ltd" target="_blank" data-smartkarma-citation="entities:13560:1" rel="noopener">ISC Co Ltd (095340 KS)</a>. </li>
</ul>


Today is the last trading day in the review period for the October rebalance of the FnGuide Semiconductor Top10 Index.

Wonik Ips (240810 KS) is a high probability add and ISC Co Ltd (095340 KS) is a high probability delete. This will reverse the changes from the April rebalance.
Passive trackers will need to buy over 3.5x ADV in Wonik Ips (240810 KS) and sell nearly 2x ADV in ISC Co Ltd (095340 KS). 


FnGuide Semiconductor Top10 Index Rebalance Preview: Wonik IPS to Replace ISC

<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

<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

<ul>
<li>Early in the review period, we forecast 3 changes for the FnGuide Semiconductor Top10 Index at the April rebalance.</li>
<li>Based on the passive assets tracking the index, there will be between 0.6-1.6x ADV to buy in the adds and between 2-4.7x ADV to sell in the deletes.</li>
<li>The forecast adds have outperformed the forecast deletes by a wide margin over the short-term and the medium-term. There could be more prior to the end of the review period.</li>
</ul>


Early in the review period, we forecast 3 changes for the FnGuide Semiconductor Top10 Index at the April rebalance.
Based on the passive assets tracking the index, there will be between 0.6-1.6x ADV to buy in the adds and between 2-4.7x ADV to sell in the deletes.
The forecast adds have outperformed the forecast deletes by a wide margin over the short-term and the medium-term. There could be more prior to the end of the review period.


FnGuide Semiconductor Top10 Index Rebalance Preview: Three Changes as Adds Rally Bigly

South Korea

Wonik IPS Co., Ltd. manufactures and sells semiconductor processing equipments.  The Company's main businesses include Semiconductor, Display and Solar industries.

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Wonik Ips (240810 KS)

Watch This Friday's TIGER Top 10 Semicon Rebalance

We should keep an eye on this Friday's local passive flow event: the TIGER Top 10 Semicon rebalance, which will bring some serious buy/sell action.

Sanghyun Park

FnGuide Semiconductor Top10 Index Rebalance Preview: Wonik IPS to Replace ISC

Wonik IPS is a high probability add and ISC is a high probability delete in October. Once implemented, this will reverse changes from April....

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

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

FnGuide Semiconductor Top10 Index Rebalance Preview: Three Changes as Adds Rally Bigly

There could be 3 changes for the FnGuide Semiconductor Top10 Index at the April rebalance. Passives need to trade 0.6-4.7x ADV in the changes. The...

Brian Freitas

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