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 Index / Event-Driven

Korea Stock Exchange Kospi Index (KOSPI INDEX)

<ul>
<li>Media reports indicate that the National Pension Service (NPS) could invest up to KRW 11tn (US$8.2bn) in a new index tracking stocks with low Price to Book ratios.</li>
<li>Filtering stocks with market cap higher than US$500m, ADTV of atleast US$1m, div yield of atleast 1.5% and Price to Book less than 1 throws up 94 potential index candidates.</li>
<li>Choosing an index of 50 stocks will require managers to buy between 1.7-3.4% of the float on the stocks. Increasing the number of constituents will reduce the impact.</li>
</ul>


Media reports indicate that the National Pension Service (NPS) could invest up to KRW 11tn (US$8.2bn) in a new index tracking stocks with low Price to Book ratios.
Filtering stocks with market cap higher than US$500m, ADTV of atleast US$1m, div yield of atleast 1.5% and Price to Book less than 1 throws up 94 potential index candidates.
Choosing an index of 50 stocks will require managers to buy between 1.7-3.4% of the float on the stocks. Increasing the number of constituents will reduce the impact.


Korea Value-Up Index: Probable Constituents & Impact of NPS' US$8.2bn Allocation

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.

<ul>
<li>KRX's lack of a standardized English translation platform may lead to non-standardized terminology and varying translation quality. KRX stresses cross-checking Korean and English disclosures due to potential errors. </li>
<li>The 3-day lag between Korean and English disclosures poses timeliness challenges, requiring consistent cross-checking. Overall, the process for foreign investors using Korean market disclosure sites remains largely unchanged.</li>
<li>The common procedure should still be to first check disclosures using English titles, then convert to Korean for reading. If English disclosures exist, utilize them for cross-checking.</li>
</ul>


KRX's lack of a standardized English translation platform may lead to non-standardized terminology and varying translation quality. KRX stresses cross-checking Korean and English disclosures due to potential errors. 
The 3-day lag between Korean and English disclosures poses timeliness challenges, requiring consistent cross-checking. Overall, the process for foreign investors using Korean market disclosure sites remains largely unchanged.
The common procedure should still be to first check disclosures using English titles, then convert to Korean for reading. If English disclosures exist, utilize them for cross-checking.


KRX's Mandatory English Disclosure Debut: A Detailed Guide on Utilizing This Without Confusion

Korea Stock Exchange KOSPI 200 / Event-Driven

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

<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

<ul>
<li>The Korean government signaled this morning it will fast-track the “anti share-price suppression” law, moving even faster than expected, with multiple local channels confirming the aggressive push.</li>
<li>Local desks are aggressively trading this narrative. Many names moved, but with the bill not yet cleared, we should track laggards and under-owned stocks for potential follow-through.</li>
<li>Local desks are targeting liquid stocks (PBR ≤0.8, treasury ≥10%), with buybacks as a direct re-rating tool. Top names are ranked by PBR undervaluation and treasury holdings.</li>
</ul>


The Korean government signaled this morning it will fast-track the “anti share-price suppression” law, moving even faster than expected, with multiple local channels confirming the aggressive push.
Local desks are aggressively trading this narrative. Many names moved, but with the bill not yet cleared, we should track laggards and under-owned stocks for potential follow-through.
Local desks are targeting liquid stocks (PBR ≤0.8, treasury ≥10%), with buybacks as a direct re-rating tool. Top names are ranked by PBR undervaluation and treasury holdings.


Korean Gov’t Signals Aggressive Push on Anti–Share-Price Suppression Law Today: Trading Setup Check

<ul>
<li>Starting June, KRX adds a 7–8 a.m. pre-market and 4–8 p.m. after-market, aiming for a 24-hour, near-continuous KOSPI by 2027.</li>
<li>Key focus: Can KRX’s extended hours absorb overnight volatility, letting desks manage delta early, while quants face a routing arms race across KRX (7 a.m.) and Nextrade (8 a.m.)?</li>
<li>KRX targets June for rollout, no exact date yet. Brokers are upgrading systems, and early glitches like order inversion are likely, so close monitoring is needed.</li>
</ul>


Starting June, KRX adds a 7–8 a.m. pre-market and 4–8 p.m. after-market, aiming for a 24-hour, near-continuous KOSPI by 2027.
Key focus: Can KRX’s extended hours absorb overnight volatility, letting desks manage delta early, while quants face a routing arms race across KRX (7 a.m.) and Nextrade (8 a.m.)?
KRX targets June for rollout, no exact date yet. Brokers are upgrading systems, and early glitches like order inversion are likely, so close monitoring is needed.


KRX Pre- (7–8 AM) & After- (4–8 PM) Market Rollout in June: Key Trading Angles

South Korea

The KOSPI Index is a capitalization-weighted index of all common shares on the Korean Stock Exchanges. The Index was developed with a base value of 100 as of January 4, 1980. Note: The preferred shares are excluded in calculating the KOSPI Index from June 14, 2002. 

Korea Stock Exchange Kospi Index (KOSPI INDEX)

Korea Value-Up Index: Probable Constituents & Impact of NPS' US$8.2bn Allocation

The NPS and KRW as said to be discussing the creation of the Korea Value-Up Index and the NPS could benchmark KRW 11tn to the index. We look at...

Brian Freitas

KRX's Mandatory English Disclosure Debut: A Detailed Guide on Utilizing This Without Confusion

This post is a comprehensive guide on utilizing KRX's inaugural mandatory English disclosures without confusion, which began today.

Sanghyun Park

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

KRX Pre- (7–8 AM) & After- (4–8 PM) Market Rollout in June: Key Trading Angles

KRX is rolling out pre- and after-market sessions starting June. Here’s the key angles traders need to keep on their radar.

Sanghyun Park

Korea Value-Up Index: Probable Constituents & Impact of NPS' US$8.2bn Allocation

The NPS and KRW as said to be discussing the creation of the Korea Value-Up Index and the NPS could benchmark KRW 11tn to the index. We look at...

Brian Freitas

KRX's Mandatory English Disclosure Debut: A Detailed Guide on Utilizing This Without Confusion

This post is a comprehensive guide on utilizing KRX's inaugural mandatory English disclosures without confusion, which began today.

Sanghyun Park

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

Korean Gov’t Signals Aggressive Push on Anti–Share-Price Suppression Law Today: Trading Setup Check

This post looks into Korean government's signal to aggressively push on anti–share-price suppression law today: trading setup check.

Sanghyun Park

KRX Pre- (7–8 AM) & After- (4–8 PM) Market Rollout in June: Key Trading Angles

KRX is rolling out pre- and after-market sessions starting June. Here’s the key angles traders need to keep on their radar.

Sanghyun Park