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>There are a few stocks in Korea that have outperformed/ underperformed their peers and could be added to or deleted from global passive portfolios next month.</li>
<li>There could be buying in <a href="https://www.smartkarma.com/entities/ecopro-materials" target="_blank" data-smartkarma-citation="entities:36806:1" rel="noopener">EcoPro Materials</a> and <a href="https://www.smartkarma.com/entities/hanjin-kal-corp" target="_blank" data-smartkarma-citation="entities:19086:1" rel="noopener">Hanjin KAL</a> while <a href="https://www.smartkarma.com/entities/hotel-shilla-co-ltd" target="_blank" data-smartkarma-citation="entities:107:1" rel="noopener">Hotel Shilla</a>, <a href="https://www.smartkarma.com/entities/pearl-abyss-corp" target="_blank" data-smartkarma-citation="entities:24391:1" rel="noopener">Pearl Abyss</a>, <a href="https://www.smartkarma.com/entities/f-f-co-ltd-new" target="_blank" data-smartkarma-citation="entities:33479:1" rel="noopener">F&amp;F</a>, <a href="https://www.smartkarma.com/entities/hyundai-mipo-dockyard" target="_blank" data-smartkarma-citation="entities:2755:1" rel="noopener">Hyundai Mipo Dockyard</a>, <a href="https://www.smartkarma.com/entities/hanon-systems" target="_blank" data-smartkarma-citation="entities:11506:1" rel="noopener">Hanon Systems</a> and <a href="https://www.smartkarma.com/entities/jyp-entertainment-corp" target="_blank" data-smartkarma-citation="entities:17598:1" rel="noopener">Jyp Entertainment</a> could be sold.</li>
<li>There will be a lot of flow on the stocks and passive trackers will need to trade over 7 days of ADV in most stocks.</li>
</ul>


There are a few stocks in Korea that have outperformed/ underperformed their peers and could be added to or deleted from global passive portfolios next month.
There could be buying in EcoPro Materials and Hanjin KAL while Hotel Shilla, Pearl Abyss, F&amp;F, Hyundai Mipo Dockyard, Hanon Systems and Jyp Entertainment could be sold.
There will be a lot of flow on the stocks and passive trackers will need to trade over 7 days of ADV in most stocks.


Korea: Stocks with Near-Term Potential Passive Flows

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Equity Bottom-Up

<ul>
<li>In the past several days, there have been numerous new flow that the Chinese government is likely to allow group tours to South Korea and Japan in the coming days. </li>
<li>The group tours from China to South Korea which has been banned since March 2017, are expected to resume after six years, according to the Korean Embassy in China.</li>
<li>Nikkei Asia also reported on 9 August that the Chinese government is ready to allow group tours to Japan as early as this week.</li>
</ul>


In the past several days, there have been numerous new flow that the Chinese government is likely to allow group tours to South Korea and Japan in the coming days. 
The group tours from China to South Korea which has been banned since March 2017, are expected to resume after six years, according to the Korean Embassy in China.
Nikkei Asia also reported on 9 August that the Chinese government is ready to allow group tours to Japan as early as this week.


China to Finally Allow Group Tours to Korea and Japan?

<ul>
<li>Hotel Shilla, one of the largest operators of duty free shops in Korea, will be a major beneficiary of the return of the group tours from China to Korea.</li>
<li>We expect the consensus to raise the company's sales estimates in 2024 to 2025 by about 3-7% and net profit estimates by 20-25%+ in this period. </li>
<li>Currently, Hotel Shilla Pref/Common stock price ratio is 0.61 which is 22% below the five year average of 0.78. </li>
</ul>


Hotel Shilla, one of the largest operators of duty free shops in Korea, will be a major beneficiary of the return of the group tours from China to Korea.
We expect the consensus to raise the company's sales estimates in 2024 to 2025 by about 3-7% and net profit estimates by 20-25%+ in this period. 
Currently, Hotel Shilla Pref/Common stock price ratio is 0.61 which is 22% below the five year average of 0.78. 


Hotel Shilla Pref: Discount Vs Common to Narrow and Boost from Chinese Group Tours to Korea

<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?

Korea Stock Exchange KOSPI 200 / Event-Driven

<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

South Korea

Hotel Shilla Co.,Ltd operates and manages hotels in Seoul and Jeju. The Company also operates duty free shops, bakeries, restaurants, and catering and laundry service businesses.

Hotel Shilla (008770 KS)

Korea: Stocks with Near-Term Potential Passive Flows

There are 8 Korean stocks that could see trading activity from global passive trackers in the next few weeks. EcoPro Materials and Hanjin Kal could...

Brian Freitas

China to Finally Allow Group Tours to Korea and Japan?

The group tours from China to South Korea which has been banned since March 2017, are expected to resume after six years, according to the Korean...

Douglas Kim

Hotel Shilla Pref: Discount Vs Common to Narrow and Boost from Chinese Group Tours to Korea

Currently, Hotel Shilla Pref/Common stock price ratio is 0.61 which is 22% below the five year average of 0.78. Hotel Shilla is one of the biggest...

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