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>There will be 6 additions and 6 deletions 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)</a> at the June rebalance that will be implemented on 13 June.</li>
<li>The index committee has used a boatload of discretion in the inclusion of <a href="https://www.smartkarma.com/entities/cosmoam-t-co-ltd" target="_blank" data-smartkarma-citation="entities:10360:1" rel="noopener">CosmoAM&amp;T (005070 KS)</a> and the deletion of some of the stocks.</li>
<li>The adds and deletes from the Information Technology sector will also have passive flow from the sector ETF and will increase the impact of the changes.</li>
</ul>


There will be 6 additions and 6 deletions for the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) at the June rebalance that will be implemented on 13 June.
The index committee has used a boatload of discretion in the inclusion of CosmoAM&amp;T (005070 KS) and the deletion of some of the stocks.
The adds and deletes from the Information Technology sector will also have passive flow from the sector ETF and will increase the impact of the changes.


KOSPI200 Index Rebalance: Index Committee Knows Best; Cosmo AM&T the Winner

Asia Pac ECM and Index Rebal, Shenton Research

Ke Yan, CFA, FRM

Asia Pac ECM and Index Rebal

Asia Pac IPO & Placement Research, China Biotech

DZT Research

DZT Research is an independent Asia Pacific equity specialist. Our quantitative research covers index rebalancing flows, alongside exchange data analytics accross Asia Pacific. On the equity capital markets side, we focus on Asia Pacific ECM, especially biotech and TMT. Our lead analyst is frequently cited by international media.

Quantitative Analysis

<ul>
<li>We analyzed the changes in short interest of KRX Stocks as of May 31st which has an aggregated short interest worth USD5.9bn.</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 Enchem, Sk Hynix, Samsung Electronics, Doosan Enerbility, Samsung SDI.</li>
</ul>


We analyzed the changes in short interest of KRX Stocks as of May 31st which has an aggregated short interest worth USD5.9bn.
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 Enchem, Sk Hynix, Samsung Electronics, Doosan Enerbility, Samsung SDI.


KRX Short Interest Weekly (May 31st): Enchem, Sk Hynix, Samsung Electronics, Doosan Enerbility

Quantitative Equity Analyst, DMA

Charlotte van Tiddens, CFA

Quantitative Equity Analyst

Technology-First Company

DMA is a technology-first company that provides an end-to-end SaaS solution to institutional investors. DMA enables regulated entities like asset managers, wealth managers, investment managers and financial advisors to connect their front and back office, break silos and reduce headcount.

<ul>
<li>The KRX have announced the index changes for the KOSPI200 June review.</li>
<li>The index will be rebalanced in the closing auction on Thursday the 13th of June.</li>
<li>There will be 6 additions to the index and 6 deletions.</li>
</ul>


The KRX have announced the index changes for the KOSPI200 June review.
The index will be rebalanced in the closing auction on Thursday the 13th of June.
There will be 6 additions to the index and 6 deletions.


KOSPI200 June '24 Rebalance: Index Changes Released, 6 Additions & 6 Deletions

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.

<ul>
<li>Unexpectedly, KRX included Cosmo AM&amp;T (005070 KS) despite not meeting the market cap cutoff and excluded DB Hitek (000990 KS) and Lotte Energy Materials (020150 KS).</li>
<li>Cosmo AM&amp;T's unexpected inclusion triggers a significant one-day passive flow event through the KOSPI 200 IT, the sector index with the largest AUM.</li>
<li>Sector index rebalancing, a single-day event managed by one ETF operator, more significantly correlates flow direction with price impact. We should consider a long-short setup for these on June 13th.</li>
</ul>


Unexpectedly, KRX included Cosmo AM&amp;T (005070 KS) despite not meeting the market cap cutoff and excluded DB Hitek (000990 KS) and Lotte Energy Materials (020150 KS).
Cosmo AM&amp;T's unexpected inclusion triggers a significant one-day passive flow event through the KOSPI 200 IT, the sector index with the largest AUM.
Sector index rebalancing, a single-day event managed by one ETF operator, more significantly correlates flow direction with price impact. We should consider a long-short setup for these on June 13th.


Unexpected Inclusion of Cosmo AM&T in KOSPI 200 Sparks Notable One-Day Flow Via KOSPI 200 IT

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Equity Bottom-Up

HDC Hyundai Development Co-Engineering & Construction / Equity Bottom-Up

HDC Hyundai Development Co-Engineering & Construction (294870 KS)

HDC Hyundai Development Co-Engineering & Construction

<ul>
<li>In this insight, we highlight the recent pricing gap divergences of the major Korean holdcos and opcos which could provide trading opportunities in 2Q 2024.</li>
<li>Of the 38 pair trades, 26 of them involved holdcos outperforming opcos in the past six months, suggesting increased capital allocation to Korean holdcos relative to their opcos.  </li>
<li>These pairs could generate trading opportunities in terms of their pricing gaps closing reversal. [CJ Corp vs CJ Cheiljedang &amp; Hanjin KAL Corp vs Korean Air Lines].</li>
</ul>


In this insight, we highlight the recent pricing gap divergences of the major Korean holdcos and opcos which could provide trading opportunities in 2Q 2024.
Of the 38 pair trades, 26 of them involved holdcos outperforming opcos in the past six months, suggesting increased capital allocation to Korean holdcos relative to their opcos.  
These pairs could generate trading opportunities in terms of their pricing gaps closing reversal. [CJ Corp vs CJ Cheiljedang &amp; Hanjin KAL Corp vs Korean Air Lines].


Korean Holdcos Vs Opcos Gap Trading Opportunities in 2Q 2024

South Korea

DB Hitek Co., Ltd. manufactures system semiconductor and provides foundry services. The Company's products inculde fabricated wafer and integrated circuits for mobile handsets and flat panel LCDs.

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DB Hitek Co., Ltd. (000990 KS)

KOSPI200 Index Rebalance: Index Committee Knows Best; Cosmo AM&T the Winner

The KOSPI200 rebalance takes place at the close tomorrow. Cosmo AM&T is up ~25% since the surprise inclusion and there could be a reversal in the...

Brian Freitas

KRX Short Interest Weekly (May 31st): Enchem, Sk Hynix, Samsung Electronics, Doosan Enerbility

We analyzed KRX short interest report for the past week and highlighted short interest changes in Enchem, Sk Hynix, Samsung Electronics, Doosan...

Ke Yan, CFA, FRM

KOSPI200 June '24 Rebalance: Index Changes Released, 6 Additions & 6 Deletions

The KRX have released the index changes for the KOSPI200 June review. The index will be rebalanced in the closing auction on Thursday the 13th of...

DMA

Unexpected Inclusion of Cosmo AM&T in KOSPI 200 Sparks Notable One-Day Flow Via KOSPI 200 IT

This post explores the one-day flow trading event in the KOSPI 200 IT Sector Index, stemming from Cosmo AM&T's unexpected inclusion in the KOSPI...

Sanghyun Park

Korean Holdcos Vs Opcos Gap Trading Opportunities in 2Q 2024

In this insight, we highlight the recent pricing gap divergences of the major Korean holdcos and opcos which could provide trading opportunities in...

Douglas Kim

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