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>The <a href="https://www.smartkarma.com/entities/mirae-asset-tiger-top-10-etf" target="_blank" data-smartkarma-citation="entities:36042:1" rel="noopener">Mirae Asset Tiger Top 10 ETF (292150 KS)</a> tracks the FnGuide Top 10 Index and has an AUM of over US$1bn.</li>
<li>We currently forecast one potential change at the next rebalance in December. There is another set of changes that could also take place.</li>
<li>There has been a big increase in short interest on a couple of stocks while the rise has been more gradual on the other stocks.</li>
</ul>


The Mirae Asset Tiger Top 10 ETF (292150 KS) tracks the FnGuide Top 10 Index and has an AUM of over US$1bn.
We currently forecast one potential change at the next rebalance in December. There is another set of changes that could also take place.
There has been a big increase in short interest on a couple of stocks while the rise has been more gradual on the other stocks.


FnGuide Top10 Index Rebalance Preview: Good Historical Performance; One Potential Change in December

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Thematic (Sector/Industry)

<ul>
<li>One of the biggest stories in the Korean economy in the past two days have been the quasi bank run at MG Community Credit Cooperative (MGCCC) (새마을금고).</li>
<li>The negative news about this has contributed to KOSPI falling two consecutive days (down 2% from July 5th to 7th). </li>
<li>MGCCC's delinquency rate jumped from 1.93% at the end of 2021 to 3.59% at the end of 2022 and 6.18% as of June 29th 2023.</li>
</ul>


One of the biggest stories in the Korean economy in the past two days have been the quasi bank run at MG Community Credit Cooperative (MGCCC) (새마을금고).
The negative news about this has contributed to KOSPI falling two consecutive days (down 2% from July 5th to 7th). 
MGCCC's delinquency rate jumped from 1.93% at the end of 2021 to 3.59% at the end of 2022 and 6.18% as of June 29th 2023.


A Quasi Bank Run at MG Community Credit Cooperative - What's Next?

<ul>
<li>We believe that the nine Korean banks (on average) are likely to continue to underperform KOSPI in the next 6-12 months due to the continued rising delinquencies.</li>
<li>The major reasons for higher loans and cards delinquency ratios include higher interest rate burdens, higher inflation rates, inverted yield curve, weakening economy, and pressures on disposable income.</li>
<li>The delinquency ratios of the largest nine banks in Korea all worsened in 1Q 2023 (for both banks and credit cards).</li>
</ul>


We believe that the nine Korean banks (on average) are likely to continue to underperform KOSPI in the next 6-12 months due to the continued rising delinquencies.
The major reasons for higher loans and cards delinquency ratios include higher interest rate burdens, higher inflation rates, inverted yield curve, weakening economy, and pressures on disposable income.
The delinquency ratios of the largest nine banks in Korea all worsened in 1Q 2023 (for both banks and credit cards).


Korean Banks: Sharp Rise in Delinquency Ratios in 1Q 2023 & Inverted Yield Curve

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.

Event-Driven

<ul>
<li>Samsung SDI and LG Chem are expected to be newly included in the index, while Hana Financial and KT&amp;G Corporation are predicted to be excluded.</li>
<li>The correlation between the price movement and the flow direction on the rebalancing trading day of constituent changes from the past reviews was quite high.</li>
<li>We can set the price impact expectation for the upcoming review even more aggressively, given that the size of the flow x DTV is more significant than in previous cases.</li>
</ul>


Samsung SDI and LG Chem are expected to be newly included in the index, while Hana Financial and KT&amp;G Corporation are predicted to be excluded.
The correlation between the price movement and the flow direction on the rebalancing trading day of constituent changes from the past reviews was quite high.
We can set the price impact expectation for the upcoming review even more aggressively, given that the size of the flow x DTV is more significant than in previous cases.


Price/Flow Impact on Four Constituent Changes in KODEX Top 5 Plus ETF Rebalancing in June

<ul>
<li>Svb Financial has collapsed and Credit Suisse is on the verge of collapse. We discuss a trading strategy on Korean banks amid the ongoing turbulence on the global banking system.</li>
<li>Our trading strategy is to go long on a basket of three largest banks in Korea (KB, Shinhan, Hana) and go short on a basket of five smaller banks. </li>
<li>Post collapse of SVB Financial, one clear signal appears to be increasing global capital allocation to the "too big to fail banks" and reduced capital allocation to regional banks.</li>
</ul>


Svb Financial has collapsed and Credit Suisse is on the verge of collapse. We discuss a trading strategy on Korean banks amid the ongoing turbulence on the global banking system.
Our trading strategy is to go long on a basket of three largest banks in Korea (KB, Shinhan, Hana) and go short on a basket of five smaller banks. 
Post collapse of SVB Financial, one clear signal appears to be increasing global capital allocation to the "too big to fail banks" and reduced capital allocation to regional banks.


Investors' Capital Allocation Shift Among Korean Banks Post Collapse of SVB Financial

South Korea

KB Financial Group Inc. (the "Company"), in accordance with Financial Holding Companies Act, was established on September 29, 2008, through stock transfer with the former shareholders of its subsidiaries including Kookmin Bank in order to provide management services and financing to associated companies. The headquarters are located at Seoul, Korea

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KB Financial ADR (KB US)

FnGuide Top10 Index Rebalance Preview: Good Historical Performance; One Potential Change in December

A long add/short delete trade has performed well historically. Currently, there is one add/delete pair in Dec; that could increase to two. Short...

Brian Freitas

A Quasi Bank Run at MG Community Credit Cooperative - What's Next?

One of the biggest stories in the Korean economy in the past two days have been the quasi bank run at MG Community Credit Cooperative (MGCCC) (새마을금고).

Douglas Kim

Korean Banks: Sharp Rise in Delinquency Ratios in 1Q 2023 & Inverted Yield Curve

We believe that the nine Korean banks (on average) are likely to continue to underperform KOSPI in the next 6-12 months due to the continued rising...

Douglas Kim

Price/Flow Impact on Four Constituent Changes in KODEX Top 5 Plus ETF Rebalancing in June

This post presents a Long Short basket trade idea on the four potential constituent changes in the KODEX Top 5 Plus TR ETF rebalancing in June.

Sanghyun Park

Investors' Capital Allocation Shift Among Korean Banks Post Collapse of SVB Financial

Svb Financial has collapsed and Credit Suisse is on the verge of collapse. We discuss a trading strategy on Korean banks amid the ongoing...

Douglas Kim

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)