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

Samsung Electronics Pref Shares / Event-Driven

<ul>
<li>Over the last year, the discount of <a href="https://www.smartkarma.com/entities/samsung-electronics-pref-shares" target="_blank" data-smartkarma-citation="entities:23591:1" rel="noopener">Samsung Electronics Pref Shares (005935 KS)</a> to <a href="https://www.smartkarma.com/entities/samsung-electronics-co-ltd" target="_blank" data-smartkarma-citation="entities:191:1" rel="noopener">Samsung Electronics (005930 KS)</a> has increased from 5% to 17%.</li>
<li>The preferred shares have adequate liquidity, a large issue market cap, and now trade at a much higher dividend yield. A special dividend will further increase the dividend yield differential.</li>
<li>Breaking from history, the preferred shares discount has continued to increase as the stock has moved higher. With the preferred shares trading near its widest discount, that could change.</li>
</ul>


Over the last year, the discount of Samsung Electronics Pref Shares (005935 KS) to Samsung Electronics (005930 KS) has increased from 5% to 17%.
The preferred shares have adequate liquidity, a large issue market cap, and now trade at a much higher dividend yield. A special dividend will further increase the dividend yield differential.
Breaking from history, the preferred shares discount has continued to increase as the stock has moved higher. With the preferred shares trading near its widest discount, that could change.


Samsung Electronics: Prefs Need to Catch Up

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Korea Stock Exchange KOSPI 200 / Event-Driven

<ul>
<li>Banning short-selling for stocks will provide some propulsion to 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 INDEX</a> but inevitably there will be pullbacks when strong resistance areas are reached.</li>
<li>The index is joining a wide global equities bounce, it is not recommended to go SHORT soon. There is a chance it may pullback briefly this week (buy the dip?)</li>
<li>Our models say the index can rise from 2 to 4 weeks, before reversing: resistance will be met at 320, 328 and (hard to reach) 349.</li>
</ul>


Banning short-selling for stocks will provide some propulsion to the KOSPI 200 INDEX but inevitably there will be pullbacks when strong resistance areas are reached.
The index is joining a wide global equities bounce, it is not recommended to go SHORT soon. There is a chance it may pullback briefly this week (buy the dip?)
Our models say the index can rise from 2 to 4 weeks, before reversing: resistance will be met at 320, 328 and (hard to reach) 349.


EQD | KOSPI 200 SHORT-SELLING BAN: Upward Push and Pullbacks

Korea / Special Sits, Pairs, Index Rebalancing, Clepsydra Capital

Sanghyun Park

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

<ul>
<li>We should consider the complete prohibition of short selling for the next six months as practically finalized.</li>
<li>Following the individual stock short selling ban, both position hedging and short demand will inevitably shift to the futures market, consequently inducing unavoidable immediate backwardation.</li>
<li>We should design a setup that not only actively seizes sell arbitrage opportunities but also effectively capitalizes on the downward price pressure stemming from spot selling.</li>
</ul>


We should consider the complete prohibition of short selling for the next six months as practically finalized.
Following the individual stock short selling ban, both position hedging and short demand will inevitably shift to the futures market, consequently inducing unavoidable immediate backwardation.
We should design a setup that not only actively seizes sell arbitrage opportunities but also effectively capitalizes on the downward price pressure stemming from spot selling.


Trading Opportunities from Korea's Sudden Short Selling Ban & Resulting Futures Backwardation

<ul>
<li>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 INDEX</a> closed down last week (CC=-1) and is going towards the Q2/median support at 314. The index is also OVERSOLD MONTHLY (CC=-3)</li>
<li>One possible scenario is to see the index downtrending into early/mid-November, find a bottom, and then begin a counter-rally from there.</li>
<li>The index could go down more this week, but a LONG trade could begin at 314 support, and if that does not hold, the next support area is at 306.</li>
</ul>


The KOSPI 200 INDEX closed down last week (CC=-1) and is going towards the Q2/median support at 314. The index is also OVERSOLD MONTHLY (CC=-3)
One possible scenario is to see the index downtrending into early/mid-November, find a bottom, and then begin a counter-rally from there.
The index could go down more this week, but a LONG trade could begin at 314 support, and if that does not hold, the next support area is at 306.


<ul>
<li>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> Index is currently rising for the 3rd week in a row and approaching the Q2 WEEKLY resistance level, but it's a very weak rally.</li>
<li>Between 329 and 331 there id a good area to go SHORT, the index could fall for 2-3 weeks from here, into early November.</li>
<li>A negative close in October would be =3 months down in a row (CC=-3), November in that case would have good odds for a rebound and close up.</li>
</ul>


The KOSPI 200 Index is currently rising for the 3rd week in a row and approaching the Q2 WEEKLY resistance level, but it's a very weak rally.
Between 329 and 331 there id a good area to go SHORT, the index could fall for 2-3 weeks from here, into early November.
A negative close in October would be =3 months down in a row (CC=-3), November in that case would have good odds for a rebound and close up.


EQD | KOSPI 200 Frail WEEKLY Rally Is Ending

South Korea

The KOSPI 200 Index is a capitalization-weighted index of 200 Korean stocks which make up 93% of the total market value of the Korea Stock Exchange. The index was developed with a base value of 100 as of January 3, 1990.

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

Samsung Electronics: Prefs Need to Catch Up

Samsung Electronics preferred shares have a large market cap, are liquid, and offer a higher div yield compared to the ordinary shares. With the...

Brian Freitas

EQD | KOSPI 200 SHORT-SELLING BAN: Upward Push and Pullbacks

Banning short-selling may boost the KOSPI 200 INDEX, but strong resistance levels will always trigger pullbacks. Overall rise expected for 2-4...

Nico Rosti

Trading Opportunities from Korea's Sudden Short Selling Ban & Resulting Futures Backwardation

This post examines potential trading prospects stemming from Korea's impromptu decision to completely ban short selling, leading to short-term...

Sanghyun Park

EQD | KOSPI 200 Falling, LONG Support

The KOSPI 200 closed down last week, heading towards Q2 support at 314. OVERSOLD MONTHLY, possible downtrend into November before a potential...

Nico Rosti

EQD | KOSPI 200 Frail WEEKLY Rally Is Ending

The KOSPI 200 Index is rising for the 3rd week but it's a weak rally. Go SHORT between 329 and 331, hold 2-3 weeks. A negative close in October...

Nico Rosti

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Samsung Electronics: Prefs Need to Catch Up

Samsung Electronics preferred shares have a large market cap, are liquid, and offer a higher div yield compared to the ordinary shares. With the...

Brian Freitas

EQD | KOSPI 200 SHORT-SELLING BAN: Upward Push and Pullbacks

​Banning short-selling may boost the KOSPI 200 INDEX, but strong resistance levels will always trigger pullbacks. Overall rise expected for 2-4...

Nico Rosti

Trading Opportunities from Korea's Sudden Short Selling Ban & Resulting Futures Backwardation

This post examines potential trading prospects stemming from Korea's impromptu decision to completely ban short selling, leading to short-term...

Sanghyun Park

EQD | KOSPI 200 Falling, LONG Support

​The KOSPI 200 closed down last week, heading towards Q2 support at 314. OVERSOLD MONTHLY, possible downtrend into November before a potential...

Nico Rosti

EQD | KOSPI 200 Frail WEEKLY Rally Is Ending

​The KOSPI 200 Index is rising for the 3rd week but it's a weak rally. Go SHORT between 329 and 331, hold 2-3 weeks. A negative close in October...

Nico Rosti

Banning short-selling may boost the KOSPI 200 INDEX, but strong resistance levels will always trigger pullbacks. Overall rise expected for 2-4...

The KOSPI 200 closed down last week, heading towards Q2 support at 314. OVERSOLD MONTHLY, possible downtrend into November before a potential...

The KOSPI 200 Index is rising for the 3rd week but it's a weak rally. Go SHORT between 329 and 331, hold 2-3 weeks. A negative close in October...