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

Korea Stock Exchange KOSPI 200 / Event-Driven

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

<ul>
<li>Since short selling was banned in November 2023, short interest has plunged in Korea as shorts were covered. Markets have not done much over the last 16 months though. </li>
<li>Foreign investor holdings have dropped from 32.05% in July to 28.57%. The top 25 stocks bought by foreign investors outperformed the top 25 stocks sold by 128% in 16 months.</li>
<li>There will be trade opportunities across indices, pref/ords, index migrations and deletions, potential market upgrades and overvalued stocks being sold.</li>
</ul>


Since short selling was banned in November 2023, short interest has plunged in Korea as shorts were covered. Markets have not done much over the last 16 months though. 
Foreign investor holdings have dropped from 32.05% in July to 28.57%. The top 25 stocks bought by foreign investors outperformed the top 25 stocks sold by 128% in 16 months.
There will be trade opportunities across indices, pref/ords, index migrations and deletions, potential market upgrades and overvalued stocks being sold.


Korea: Short Selling Is Back in March; Trade Ideas

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Douglas Research Advisory

Cross Asset Strategy

<ul>
<li>The KOSDAQ index rose by 7.1% today to 1,064.4 today which was one of the largest single day returns for KOSDAQ in the past three decades.</li>
<li>Will this 7% upside move be a fake reversal or the start of a strong, sustainable momentum trade driven by a potential 17 trillion won inflow into the KOSDAQ companies?</li>
<li>The Korean government is trying to encourage the injection of nearly 17 trillion won into KOSDAQ listed companies through venture capital (raised through integrated market assets (IMAs) and commercial papers).</li>
</ul>


The KOSDAQ index rose by 7.1% today to 1,064.4 today which was one of the largest single day returns for KOSDAQ in the past three decades.
Will this 7% upside move be a fake reversal or the start of a strong, sustainable momentum trade driven by a potential 17 trillion won inflow into the KOSDAQ companies?
The Korean government is trying to encourage the injection of nearly 17 trillion won into KOSDAQ listed companies through venture capital (raised through integrated market assets (IMAs) and commercial papers).


KOSDAQ's 7% Rise Today - A Fake Reversal or Sustainable by a Potential 17 Trillion Won Inflow?

<ul>
<li>Following the short sell ban announced on the weekend, 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</a> and <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150</a> opened higher on Monday and rallied through the day.</li>
<li>A lot of the intraday gains on Monday have been given up over the next two trading days. Surprisingly, KRX data indicates that not a lot of shorts have covered.</li>
<li>Foreigners have been net cash buyers since Monday (could indicate covering of offshore borrow) while retail were big sellers on Monday.</li>
</ul>


Following the short sell ban announced on the weekend, the KOSPI 200 and KOSDAQ 150 opened higher on Monday and rallied through the day.
A lot of the intraday gains on Monday have been given up over the next two trading days. Surprisingly, KRX data indicates that not a lot of shorts have covered.
Foreigners have been net cash buyers since Monday (could indicate covering of offshore borrow) while retail were big sellers on Monday.


Korea Short Sell Ban: Not a Lot Covered on Monday; Shorts Holding On?

<ul>
<li>Korea banned all short selling in March 2020 and resumed short selling only on <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a> and <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150</a> index constituents in May 2021.</li>
<li>News reports indicate that there could be another short sell ban as soon as the coming week. Indications are that the ban could last 6 months.</li>
<li>There are many implications of a total short sell ban including futures backwardation, market manipulation, and no emerging to developed market promotion.</li>
</ul>


Korea banned all short selling in March 2020 and resumed short selling only on KOSPI 200 and KOSDAQ 150 index constituents in May 2021.
News reports indicate that there could be another short sell ban as soon as the coming week. Indications are that the ban could last 6 months.
There are many implications of a total short sell ban including futures backwardation, market manipulation, and no emerging to developed market promotion.


Korea Short Sell Ban: Background, Manipulation, Holdings, Flows, Short Interest, Implications

Equity Capital Markets

<ul>
<li><em><strong>On 30 June, Ecopro BM (247540 KS) announced that it will conduct a rights offering capital raise worth 1.2 trillion won. </strong></em></li>
<li>The planned issue price for the rights offering is 121,200 won, and the final issue price will be determined on October 12.</li>
<li>Despite its expected better sales and profits in 2027, the company's valuation multiples are unattractive. It is trading at P/E of 143.6x in 2027 and 75.6x in 2028. </li>
</ul>


On 30 June, Ecopro BM (247540 KS) announced that it will conduct a rights offering capital raise worth 1.2 trillion won. 
The planned issue price for the rights offering is 121,200 won, and the final issue price will be determined on October 12.
Despite its expected better sales and profits in 2027, the company's valuation multiples are unattractive. It is trading at P/E of 143.6x in 2027 and 75.6x in 2028. 


Ecopro BM: Rights Offering of 1.2 Trillion Won

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)

Korea: Short Selling Is Back in March; Trade Ideas

Short selling in Korea commences from Monday. There will be a lot of interest in shorting stocks/sectors depending on how they have performed since...

Brian Freitas

KOSDAQ's 7% Rise Today - A Fake Reversal or Sustainable by a Potential 17 Trillion Won Inflow?

The KOSDAQ index rose by 7.1% today to 1,064.4 today which was one of the largest single day returns for KOSDAQ in the past three decades.

Douglas Kim

Korea Short Sell Ban: Not a Lot Covered on Monday; Shorts Holding On?

Not a lot of shorts were covered on Monday. There could be more covering in the near term as the market drifts lower. KOSPI200 underperformed...

Brian Freitas

Korea Short Sell Ban: Background, Manipulation, Holdings, Flows, Short Interest, Implications

Media reports indicate that there could be a temporary short sell ban in Korea. This could lead to futures backwardation, market manipulation and a...

Brian Freitas

Ecopro BM: Rights Offering of 1.2 Trillion Won

On 30 June, Ecopro BM (247540 KS) announced that it will conduct a rights offering capital raise worth 1.2 trillion won.

Douglas Kim

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52-week Range

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