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 were a couple of ad hoc rebalances in Korea last week for 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 EQUITY)</a> and <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 EQUITY)</a>. </li>
<li>Coming Friday will mark the end of the review period for the next rebalance of the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">HSTECH</a>, HSCI, LQ45, <a href="https://www.smartkarma.com/entities/philippines-stock-exchange-psei-index" target="_blank" data-smartkarma-citation="entities:22912:1" rel="noopener">PCOMP</a> as well as the <a href="https://www.smartkarma.com/entities/stock-exchange-of-thailand-set-50-index" target="_blank" data-smartkarma-citation="entities:31493:1" rel="noopener">SET50</a> June implementation.</li>
<li>With Japan indices moving higher, the largest inflows went into ETFs tracking the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> and other local/global indices.</li>
</ul>


There were a couple of ad hoc rebalances in Korea last week for the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY) and KOSDAQ 150 Index (KOSDQ150 INDEX EQUITY). 
Coming Friday will mark the end of the review period for the next rebalance of the HSI, HSCEI, HSTECH, HSCI, LQ45, PCOMP as well as the SET50 June implementation.
With Japan indices moving higher, the largest inflows went into ETFs tracking the Nikkei 225 (NKY INDEX) and other local/global indices.


Index Rebalance & ETF Flow Recap: NKY, KOSPI2, New Deal, SET50, MOG Digitech, Syngenta IPO

<ul>
<li>Just over a quarter of the way through the review period, we see six changes for the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200-index" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX)</a> at the December rebalance.</li>
<li>There are a few stocks that are close adds at the current time and a move higher can take them into inclusion zone leading to more deletions.</li>
<li>While there is little to no short interest on the potential inclusions, short interest on the potential deletions ranges from 4.3-12.2 days of ADV and 0.5-3.5% of free float.</li>
</ul>


Just over a quarter of the way through the review period, we see six changes for the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) at the December rebalance.
There are a few stocks that are close adds at the current time and a move higher can take them into inclusion zone leading to more deletions.
While there is little to no short interest on the potential inclusions, short interest on the potential deletions ranges from 4.3-12.2 days of ADV and 0.5-3.5% of free float.


KOSPI200 Index Rebalance Preview: A Busy December Rebalance

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

<ul>
<li>We discuss the end of the mandatory lock-up periods for 45 stocks in Korea in June 2023, among which 6 are in KOSPI and 39 are in KOSDAQ.</li>
<li>These 45 stocks on average could be subject to further selling pressures in June and could underperform relative to the market. </li>
<li>Among these 45 stocks, the top five market cap stocks include Won Tech, Voronoi, Zinus, Bionote, and NanoTIM.</li>
</ul>


We discuss the end of the mandatory lock-up periods for 45 stocks in Korea in June 2023, among which 6 are in KOSPI and 39 are in KOSDAQ.
These 45 stocks on average could be subject to further selling pressures in June and could underperform relative to the market. 
Among these 45 stocks, the top five market cap stocks include Won Tech, Voronoi, Zinus, Bionote, and NanoTIM.


End of Mandatory Lock-Up Periods for 45 Companies in Korea in June 2023

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>Based on the average daily full market cap up until the last close, the following additions have been identified as high-probability candidates: Sam A Aluminum, Dentium, and Dongwon Industries.</li>
<li>Three constituents will likely leave as they rank at the bottom in descending order of full market cap among those failing the screening: Cuckoo Homesys, Zinus, and Hyundai Home Shopping.</li>
<li>Dongwon Industries seems to be the most attractive, but given the uncertainty surrounding its inclusion, it may be more appropriate to target Dentium.</li>
</ul>


Based on the average daily full market cap up until the last close, the following additions have been identified as high-probability candidates: Sam A Aluminum, Dentium, and Dongwon Industries.
Three constituents will likely leave as they rank at the bottom in descending order of full market cap among those failing the screening: Cuckoo Homesys, Zinus, and Hyundai Home Shopping.
Dongwon Industries seems to be the most attractive, but given the uncertainty surrounding its inclusion, it may be more appropriate to target Dentium.


Early Targetable Names in KOSPI 200 December Rebalancing

<ul>
<li>In this insight, we discuss the potential inclusions and exclusions that the locals are highlighting for the KOSPI 200 and KOSDAQ 150 rebalance in May 2023. </li>
<li>The top five best performing stocks YTD that are expected to be included in either KOSPI200 and KOSDAQ150 include Rainbow Robotics, Kumyang, Cosmo Chemical, Yunsung F&amp;C, and Posco M Tech.</li>
<li>In the coming weeks, there is a higher probability these five stocks underperform the market on average as many investors sell the news on them getting included in these indices. </li>
</ul>


In this insight, we discuss the potential inclusions and exclusions that the locals are highlighting for the KOSPI 200 and KOSDAQ 150 rebalance in May 2023. 
The top five best performing stocks YTD that are expected to be included in either KOSPI200 and KOSDAQ150 include Rainbow Robotics, Kumyang, Cosmo Chemical, Yunsung F&amp;C, and Posco M Tech.
In the coming weeks, there is a higher probability these five stocks underperform the market on average as many investors sell the news on them getting included in these indices. 


Potential Inclusions & Exclusions for KOSPI 200 and KOSDAQ 150 in May 2023 Highlighted by Locals

South Korea

Ace Bed Co., Ltd. manufactures and markets bed mattresses, bed frames, and other wooden furniture.  The Company exports some of its products to Indonesia and China.

Paseco Co., Ltd. manufactures and markets household appliances, such as oil stoves, electric heaters, dishwashers, dish dryers, and refrigerators.

Hyundai Livart Co Ltd designs and manufactures furniture.  The Company produces a variety of furniture, such as bed, chair, desk, and closet used in bedroom, living room, and office.

Topfield Co., Ltd. manufactures digital set top boxes.  The Company's products include free to air receivers, personal video recorders, and common interface receivers.  Topfield provides its products mainly to overseas market.

Iriver Ltd. develops, designs, manufactures, and markets audio equipment, such as MP3 players.  The Company's products include CD type, flash memory type, and hard disk type MP3 players.  In addition, Iriver produces and sells accessories for mobile communication devices.

Thinkware Systems Corp. designs, manufactures, and markets navigational devices. The Company' products include portable navigation devices, hand-held navigation, and navigation software.  Thinkware Systems also provides location based services (LBS) through mobile networks which enables users to identify location of other users and obtain live traffic information, etc.

Anam Electronics Co., Ltd. specializes in manufacturing audio and video products, such as wide screen televisions, video cassette recorders, and DVD players.  The Company also produces digital set-top boxes that receive satellite broadcasting programs.

Shinil Industrial Co., Ltd. manufactures electric fans, ovens, rice pots, small refrigerators, pagers, electric heaters, and other household appliances.

Winix Inc. develops, manufactures, and markets heat exchangers, evaporators, condensers, and air conditioner parts.  The Company also produces water heaters, coolers, purifiers, and dehumidifiers.  Winix supplies its products mainly to appliance manufacturers.

Zaigle Co., Ltd. manufactures household cooking appliance.  The Company's products include oven range, frying pan, and grill.

Sern Kou Resources Berhad is an investment holding company. The Company, through its subsidiaries, manufactures wooden and metal furniture and trades kiln-dried rubber wood.

TOA CORPORATION manufactures and sells sound and information & communication equipment.  The Company's products include loudspeakers, microphones, amplifiers, signal processors, digital mixing systems, and conference systems.

Fuji Corporation Ltd. sells single-family houses and condominiums, primarily in Osaka and Wakayama prefectures. The Company offers real estate management plans for building owners and landholders. Additionally, Fuji operates real estate brokerage and leasing businesses.

Guangdong Anjubao Digital Technology Company Limited researches, designs, produces, sells and provide services on building intercom systems, intelligent home systems and burglar alarm systems.

EG Industries Berhad is an investment holding company. Through its subsidiaries, the Company manufactures and sells individual speaker drivers, speaker systems, and parquet flooring. EG Industries also operates as a subcontractor for the manufacture of speaker systems received on consignment basis.

Anhui Deli Household Glass Co Ltd. manufactures glassware products. The Company supplies various products, mainly with machine blown-molded cups, machine press-molded cups, gift cups with  advertisement, kettles, vases, ashtray, sealed jar, glass bowl, candleholder and plates etc.

Action Electronics Co., Ltd. manufactures and markets high resolution color televisions (TVs) , liquid crystal display (LCD) TVs, video compact disks (VCDs), and mini televisions.  The Company markets its products under the ACTION brand  name.  Action Electronics exports its products to Europe, America, and Asia.

Zeng Hsing Industrial Co., Limited manufactures sewing machines and floor care products.

NACCO Industries, Inc. is an operating holding company. The Company's subsidiaries operate in coal mining and marketing, small electric household appliances, commercial products for restaurants, bars and hotels, and specialty retail of kitchenware and gourmet foods.

Flexsteel Industries, Inc. manufactures and sells wooden and upholstered furniture for the retail, contract, and recreational vehicle (RV) furniture markets. The Company's products are sold to furniture dealers, department stores, and RV manufacturers throughout the United States. Flexsteel also sells its products to several national chains that sell on a private label basis.

Zinus Inc. wholesales and distributes household furniture. The Company wholesales and distributes bed frames, sofas, platform beds, mattresses, and other related products. Zinus markets its products worldwide.

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Zinus (013890 KS)

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