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>Short selling in Korea resumes in a couple of hours. Expect heightened volatility for a few days before things settle down.</li>
<li>Foreign investors have increased their holdings over the last five weeks and there could be further buying in select stocks on stock price drops.</li>
<li>The <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200 INDEX</a> has outperformed the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index</a>, and the forecast index deletes have underperformed the indices indicating that there will be positioning for the short-sell resumption.</li>
</ul>


Short selling in Korea resumes in a couple of hours. Expect heightened volatility for a few days before things settle down.
Foreign investors have increased their holdings over the last five weeks and there could be further buying in select stocks on stock price drops.
The KOSPI 200 INDEX has outperformed the KOSDAQ 150 Index, and the forecast index deletes have underperformed the indices indicating that there will be positioning for the short-sell resumption.


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 foreign holdings of KRX stocks as of Mar 21st which has an aggregated holding worth USD500.4bn.</li>
<li>We estimate that foreign flows to be inflows of USD1,889mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.</li>
<li>We highlight changes of foreign holdings in Samsung Electronics, SK Hynix, Hanwha Aerospace.</li>
</ul>


We analyzed the changes in foreign holdings of KRX stocks as of Mar 21st which has an aggregated holding worth USD500.4bn.
We estimate that foreign flows to be inflows of USD1,889mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
We highlight changes of foreign holdings in Samsung Electronics, SK Hynix, Hanwha Aerospace.


KRX Foreign Holding Weekly (Mar 21st): Samsung Electronics, SK Hynix, Hanwha Aerospace

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.

Index Rebalance

<ul>
<li>March 5 price action overshot passive impact. Theme-trade momentum, one-way institutional flows, and ETF rebalancing (~10% turnover) juiced the move—Hanwha Ocean -5.41%, Samsung Heavy +5.34%, HD KSOE +6.58%.</li>
<li>June’s rebalance gets spicier—another ETF, ARIRANG K-Defense ETF (449450 KS), also runs the same 20% reversion on June 13, doubling the flow impact and setting up amplified price action.</li>
<li>Key 20% reversion hits: Hanwha Ocean (SOL Shipbuilding) &amp; Hanwha Aerospace (PLUS K-Defense). ~5%p passive outflows (~0.1x DTV) expected, with Hanwha Ocean facing double impact from both ETFs.</li>
</ul>


March 5 price action overshot passive impact. Theme-trade momentum, one-way institutional flows, and ETF rebalancing (~10% turnover) juiced the move—Hanwha Ocean -5.41%, Samsung Heavy +5.34%, HD KSOE +6.58%.
June’s rebalance gets spicier—another ETF, ARIRANG K-Defense ETF (449450 KS), also runs the same 20% reversion on June 13, doubling the flow impact and setting up amplified price action.
Key 20% reversion hits: Hanwha Ocean (SOL Shipbuilding) &amp; Hanwha Aerospace (PLUS K-Defense). ~5%p passive outflows (~0.1x DTV) expected, with Hanwha Ocean facing double impact from both ETFs.


Hunting for Outsized Moves in Off-The-Radar Korean Sector ETFs: SOL Shipbuilding & PLUS K-Defense

<ul>
<li>We analyzed the changes in foreign holdings of KRX stocks as of Mar 14th which has an aggregated holding worth USD483.5bn.</li>
<li>We estimate that foreign flows to be outflows of USD1,135mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.</li>
<li>We highlight changes of foreign holdings in Hanwha Aerospace, Hanwha Ocean, Samsung Electronics.</li>
</ul>


We analyzed the changes in foreign holdings of KRX stocks as of Mar 14th which has an aggregated holding worth USD483.5bn.
We estimate that foreign flows to be outflows of USD1,135mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
We highlight changes of foreign holdings in Hanwha Aerospace, Hanwha Ocean, Samsung Electronics.


KRX Foreign Holding Weekly (Mar 14th): Hanwha Aerospace, Hanwha Ocean, Samsung Electronics

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Douglas Research Advisory

Equity Bottom-Up

Posco International Corporation / Equity Bottom-Up

<ul>
<li>Posco International Corporation (047050 KS) and SeAH Steel Holdings (003030 KS) are two key beneficiaries of the Trump administration's efforts to significantly increase the Alaskan gas fields.</li>
<li>The initial estimated cost of this massive project is about $44 billion for the pipeline and related infrastructure.</li>
<li>Despite recent rallies, the valuations of POSCO International and Seah Steel Holdings remain attractive. </li>
</ul>


Posco International Corporation (047050 KS) and SeAH Steel Holdings (003030 KS) are two key beneficiaries of the Trump administration's efforts to significantly increase the Alaskan gas fields.
The initial estimated cost of this massive project is about $44 billion for the pipeline and related infrastructure.
Despite recent rallies, the valuations of POSCO International and Seah Steel Holdings remain attractive. 


POSCO Int & Seah Steel Holdings: Key Beneficiaries of Trump's Plan to Develop Alaskan Gas Fields

South Korea

Samsung Heavy Industries Co., Ltd. manufactures crude oil tankers, container vessels, bulk carriers, cruisers, and passenger ferries.  The Company also produces steel and bridge structures, and material handling equipment.  In addition, Samsung Heavy Industries provides civil engineering, architectural, and plant construction services.

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Samsung Heavy Industries (010140 KS)

Korea Short Selling: Off to the Races

Data indicates positioning in different types of trades ranging from index pairs to forecast index deletions and stocks with high forward PEs. Some...

Brian Freitas

KRX Foreign Holding Weekly (Mar 21st): Samsung Electronics, SK Hynix, Hanwha Aerospace

We analyzed KRX foreign holding data for the past week and highlighted foreign holding changes in Samsung Electronics, SK Hynix, Hanwha Aerospace.

Ke Yan, CFA, FRM

Hunting for Outsized Moves in Off-The-Radar Korean Sector ETFs: SOL Shipbuilding & PLUS K-Defense

This post dives into hunting for outsized moves in off-the-radar Korean sector ETFs: SOL Shipbuilding and PLUS K-Defense.

Sanghyun Park

KRX Foreign Holding Weekly (Mar 14th): Hanwha Aerospace, Hanwha Ocean, Samsung Electronics

We analyzed KRX foreign holding data for the past week and highlighted foreign holding changes in Hanwha Aerospace, Hanwha Ocean, Samsung Electronics.

Ke Yan, CFA, FRM

POSCO Int & Seah Steel Holdings: Key Beneficiaries of Trump's Plan to Develop Alaskan Gas Fields

Posco International Corporation (047050 KS) and SeAH Steel Holdings (003030 KS) are two key beneficiaries of the Trump administration's efforts to...

Douglas Kim

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