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>With the review period complete, there could be up to 5 changes 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.</li>
<li>Hahn&amp;Co now own over 96% of the shares in <a href="https://www.smartkarma.com/entities/ssangyong-cement-industrial-co-ltd" target="_blank" data-smartkarma-citation="entities:9345:1" rel="noopener">Ssangyong Cement Industrial (003410 KS)</a> and there could be another change at or before the June rebalance.</li>
<li>Passive trackers will need to trade between 0.5-15x ADV on the index changes. There are big shorts in <a href="https://www.smartkarma.com/entities/l-f-co-ltd" target="_blank" data-smartkarma-citation="entities:14300:1" rel="noopener">L&amp;F (066970 KS)</a> and <a href="https://www.smartkarma.com/entities/lotte-tour-development-co-ltd" target="_blank" data-smartkarma-citation="entities:5526:1" rel="noopener">Lotte Tour Development Co, Ltd. (032350 KS)</a>. </li>
</ul>


With the review period complete, there could be up to 5 changes for the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) at the June rebalance.
Hahn&amp;Co now own over 96% of the shares in Ssangyong Cement Industrial (003410 KS) and there could be another change at or before the June rebalance.
Passive trackers will need to trade between 0.5-15x ADV on the index changes. There are big shorts in L&amp;F (066970 KS) and Lotte Tour Development Co, Ltd. (032350 KS). 


KOSPI200 Index Rebalance Preview: 5-6 Changes Possible from Now to June

<ul>
<li>Around 85% of the way through the review period, we see four changes 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.</li>
<li>The impact on the potential inclusions ranges from 0.4-8 days of ADV while the impact on the potential deletions varies from 1-13 days of ADV.</li>
<li>
<a href="https://www.smartkarma.com/entities/hanmi-semiconductor-co-ltd" target="_blank" data-smartkarma-citation="entities:15587:1" rel="noopener">Hanmi Semiconductor (042700 KS)</a> is up 72% in the last two months following its appearance on the list of potential <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> inclusions in June.</li>
</ul>


Around 85% of the way through the review period, we see four changes for the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) at the June rebalance.
The impact on the potential inclusions ranges from 0.4-8 days of ADV while the impact on the potential deletions varies from 1-13 days of ADV.

Hanmi Semiconductor (042700 KS) is up 72% in the last two months following its appearance on the list of potential Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) inclusions in June.


KOSPI200 Index Rebalance Preview: Hanmi Semiconductor (042700 KS) Flying High

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 Mar 29th which has an aggregated short interest worth USD7.4bn.</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 estimate short interest decreased by 2.5% WoW and highlight short interest changes in Posco.</li>
</ul>


We analyzed the changes in short interest of KRX Stocks as of Mar 29th which has an aggregated short interest worth USD7.4bn.
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 estimate short interest decreased by 2.5% WoW and highlight short interest changes in Posco.


KRX Short Interest Weekly (Mar 29th): Posco

<ul>
<li>We analyzed the changes in short interest of KRX Stocks as of Mar 8th which has an aggregated short interest worth USD7.7bn.</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 Co Ltd, and Hmm Co Ltd.</li>
</ul>


We analyzed the changes in short interest of KRX Stocks as of Mar 8th which has an aggregated short interest worth USD7.7bn.
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 Co Ltd, and Hmm Co Ltd.


KRX Short Interest Weekly (Mar 8th): Enchem, Hmm

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Event-Driven

<ul>
<li>On 7 March, Paradise Co Ltd (034230 KS) announced that it plans to switch its listing from KOSDAQ to KOSPI. </li>
<li>Paradise will be excluded from KOSDAQ150 when it makes the switch to KOSPI. However, it is not certain if and when the company will be included in KOSPI200.</li>
<li>All in all, we would argue that the valuations are not especially appealing for Paradise, despite the sharp pick-up in business in 2023.</li>
</ul>


On 7 March, Paradise Co Ltd (034230 KS) announced that it plans to switch its listing from KOSDAQ to KOSPI. 
Paradise will be excluded from KOSDAQ150 when it makes the switch to KOSPI. However, it is not certain if and when the company will be included in KOSPI200.
All in all, we would argue that the valuations are not especially appealing for Paradise, despite the sharp pick-up in business in 2023.


Paradise Announces A Switch in Listing from KOSDAQ to KOSPI

South Korea

Grand Korea Leisure Co., Ltd. operates casino business.

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Grand Korea Leisure (114090 KS)

KOSPI200 Index Rebalance Preview: 5-6 Changes Possible from Now to June

There could be 5-6 changes for the KOSPI200 from now to June. Watch for the HD Hyundai Marine listing too. Impact is between 5-15x ADV and there...

Brian Freitas

KOSPI200 Index Rebalance Preview: Hanmi Semiconductor (042700 KS) Flying High

There could be 5 changes for the KOSPI200 Index in June. Hanmi Semiconductor is up 72% over the last 2 months following its potential inclusion in...

Brian Freitas

KRX Short Interest Weekly (Mar 29th): Posco

We analyzed KRX short interest report for the past week. We estimate short interest decreased by 2.5% WoW and highlighted short interest changes in...

Ke Yan, CFA, FRM

KRX Short Interest Weekly (Mar 8th): Enchem, Hmm

We analyzed KRX short interest report for the past week and highlighted short interest changes in Enchem Co Ltd, and Hmm Co Ltd.

Ke Yan, CFA, FRM

Paradise Announces A Switch in Listing from KOSDAQ to KOSPI

On 7 March, Paradise announced that it plans to switch its listing from KOSDAQ to KOSPI. Valuations are not especially appealing for Paradise,...

Douglas Kim

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