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

Index Rebalance

<ul>
<li>The review period for the March rebalance ends on 31 January, the changes will be announced early March and implemented at the close of trading on 14 March.</li>
<li>There is one change currently for each of the Secondary Battery, Bio, Internet and Game indices. There are two changes for the BBIG Index.</li>
<li>There will be big flow on <a href="https://www.smartkarma.com/entities/ecopro-bm-co-ltd" target="_blank" data-smartkarma-citation="entities:27873:1" rel="noopener">Ecopro BM (247540 KS)</a> and <a href="https://www.smartkarma.com/entities/posco-future-m-co-ltd" target="_blank" data-smartkarma-citation="entities:12421:1" rel="noopener">Posco Future M (003670 KS)</a> and big impact on <a href="https://www.smartkarma.com/entities/douzone-bizon-co-ltd" target="_blank" data-smartkarma-citation="entities:20161:1" rel="noopener">Douzone Bizon (012510 KS)</a> and <a href="https://www.smartkarma.com/entities/dearu-co-ltd" target="_blank" data-smartkarma-citation="entities:34381:1" rel="noopener">DearU (376300 KS)</a>. </li>
</ul>


The review period for the March rebalance ends on 31 January, the changes will be announced early March and implemented at the close of trading on 14 March.
There is one change currently for each of the Secondary Battery, Bio, Internet and Game indices. There are two changes for the BBIG Index.
There will be big flow on Ecopro BM (247540 KS) and Posco Future M (003670 KS) and big impact on Douzone Bizon (012510 KS) and DearU (376300 KS). 


KRX New Deal Index Rebalance Preview: Changes with Flow & Impact

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 Jan 12th which has an aggregated short interest worth USD9.1bn.</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 have highlighted KRX short interest weekly changes in Celltrion.</li>
</ul>


We analyzed the changes in short interest of KRX Stocks as of Jan 12th which has an aggregated short interest worth USD9.1bn.
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 have highlighted KRX short interest weekly changes in Celltrion.


KRX Short Interest Weekly (Jan 12th): Celltrion

<ul>
<li>We analyzed the changes in short interest of KRX Stocks as of Jan 5th which has an aggregated short interest worth USD9.6bn.</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 Sk Hynix, Samsung Electron, Naver, Kia.</li>
</ul>


We analyzed the changes in short interest of KRX Stocks as of Jan 5th which has an aggregated short interest worth USD9.6bn.
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 Sk Hynix, Samsung Electron, Naver, Kia.


KRX Short Interest Weekly (Jan 5th): Sk Hynix, Samsung Electron, Naver, Kia

Korea / Special Situations, Clepsydra Capital

Sanghyun Park

Korea / Special Situations

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

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

Event-Driven

<ul>
<li>In the past year, four KOSPI transfer listings showed similar patterns, with pre-listing price increases and substantial corrections in the first five trading days post-listing.</li>
<li>ChatGPTAmid a sideways market and a 54.2% YoY growth in the local ETF market last year, the impact of passive flow imbalances may have been more significant than before.</li>
<li>A key factor is the short-selling ban. Posco DX's SSFs showed significant backwardation pre-KOSPI listing, concentrating proactive short positions, requiring caution in adjusting pre-listing short position costs.</li>
</ul>


In the past year, four KOSPI transfer listings showed similar patterns, with pre-listing price increases and substantial corrections in the first five trading days post-listing.
ChatGPTAmid a sideways market and a 54.2% YoY growth in the local ETF market last year, the impact of passive flow imbalances may have been more significant than before.
A key factor is the short-selling ban. Posco DX's SSFs showed significant backwardation pre-KOSPI listing, concentrating proactive short positions, requiring caution in adjusting pre-listing short position costs.


Event Trading on KOSPI Transfer Listings: Notable Post-Listing Price Patterns

<ul>
<li>
<a href="https://www.smartkarma.com/entities/posco-dx-co-ltd" target="_blank" data-smartkarma-citation="entities:5198:1" rel="noopener">Posco DX (022100 KS)</a> continues to drop following its section transfer from the KOSDAQ market to the KOSPI market. Short interest in the stock nearly halved in December.</li>
<li>There were big net inflows to China ETFs with creations in <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> ETFs and redemptions in ETFs tracking the CSI 500 Index and CSI 1000 Index.</li>
<li>Creations continued in the <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets-223f5da3-7054-4e4f-bc55-b7f0852c2581" target="_blank" data-smartkarma-citation="entities:31998:1" rel="noopener">iShares Emerging Markets ex China (EMXC US)</a> ETF with units outstanding reaching a new high.</li>
</ul>



Posco DX (022100 KS) continues to drop following its section transfer from the KOSDAQ market to the KOSPI market. Short interest in the stock nearly halved in December.
There were big net inflows to China ETFs with creations in CSI 300 Index ETFs and redemptions in ETFs tracking the CSI 500 Index and CSI 1000 Index.
Creations continued in the iShares Emerging Markets ex China (EMXC US) ETF with units outstanding reaching a new high.


Index Rebalance & ETF Flow Recap: HSCEI, HSCI, KRX New Deal, NIFTY50, NEXT50, CNXBANK

South Korea

Ecopro BM Co.,Ltd develops and manufactures advanced materials. The Company produces and sells high-nickel cathode materials and other products. Ecopro BM markets its products throughout Korea.

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Ecopro BM (247540 KS)

KRX New Deal Index Rebalance Preview: Changes with Flow & Impact

With just over a week to go in the review period, the potential changes to the index are moving. Douzone Bizon is up 39% in two weeks and appears...

Brian Freitas

KRX Short Interest Weekly (Jan 12th): Celltrion

We analyzed KRX short interest report for the past week and we highlighted KRX short interest weekly changes in Celltrion.

Ke Yan, CFA, FRM

KRX Short Interest Weekly (Jan 5th): Sk Hynix, Samsung Electron, Naver, Kia

We analyzed KRX short interest report for the past week and highlighted short interest changes in Sk Hynix, Samsung Electron, Naver, Kia.

Ke Yan, CFA, FRM

Event Trading on KOSPI Transfer Listings: Notable Post-Listing Price Patterns

This post delves into significant post-listing price patterns observed in KOSPI transfer listings, aiming to provide insights for event-driven...

Sanghyun Park

Index Rebalance & ETF Flow Recap: HSCEI, HSCI, KRX New Deal, NIFTY50, NEXT50, CNXBANK

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

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