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>Short notional ticked higher on the KOSPI and KOSDAQ markets and is expected to continue increasing over the next few months.</li>
<li>Since the resumption of short selling, foreign holdings of Korean equities have increased from 29.26% to 29.3%.</li>
<li>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> to <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index (KOSDQ150 INDEX)</a> ratio has stayed stable over the last 3 trading days.</li>
</ul>


Short notional ticked higher on the KOSPI and KOSDAQ markets and is expected to continue increasing over the next few months.
Since the resumption of short selling, foreign holdings of Korean equities have increased from 29.26% to 29.3%.
The Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) to KOSDAQ 150 Index (KOSDQ150 INDEX) ratio has stayed stable over the last 3 trading days.


Korea Short Selling: What Happened on Day 1?

Pan-Asia Tactical Market Calls (Quant-Driven), MRM Research

Nico Rosti

Pan-Asia Tactical Market Calls (Quant-Driven)

MRM Research

Quantitative Research

Equity Derivatives

Korea Stock Exchange KOSPI 200 / Equity Derivatives

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

<ul>
<li>
Short selling in all stocks in South Korea will resume from 31 March 2025. 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 (KOSPI2 INDEX EQUITY)</a> is approaching the overboughtarea according to our models.</li>
<li>If 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> can rise for another week, it would be perfectly ripe for a large, high probability SHORT trade.</li>
<li>The probability of WEEKLY reversal in the range between the last Close (355) and the 363 resistance limit is between 50% and 75%, pretty high.</li>
</ul>



Short selling in all stocks in South Korea will resume from 31 March 2025. The KOSPI 200 (KOSPI2 INDEX EQUITY) is approaching the overboughtarea according to our models.
If the KOSPI 200 can rise for another week, it would be perfectly ripe for a large, high probability SHORT trade.
The probability of WEEKLY reversal in the range between the last Close (355) and the 363 resistance limit is between 50% and 75%, pretty high.


Short Selling Resumes in Korea Just as the KOSPI 200 Braces for Pullback (Perfect Timing!)

<ul>
<li>Short selling in Korea resumes in a couple of hours. Expect heightened volatility for a few days before things settle down.</li>
<li>Foreign investors have increased their holdings over the last five weeks and there could be further buying in select stocks on stock price drops.</li>
<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> has outperformed the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index</a>, and the forecast index deletes have underperformed the indices indicating that there will be positioning for the short-sell resumption.</li>
</ul>


Short selling in Korea resumes in a couple of hours. Expect heightened volatility for a few days before things settle down.
Foreign investors have increased their holdings over the last five weeks and there could be further buying in select stocks on stock price drops.
The KOSPI 200 INDEX has outperformed the KOSDAQ 150 Index, and the forecast index deletes have underperformed the indices indicating that there will be positioning for the short-sell resumption.


Index Rebalance

<ul>
<li>
<a href="https://www.smartkarma.com/entities/hlb-life-science-co-ltd" target="_blank" data-smartkarma-citation="entities:9830:1" rel="noopener">HLB Life Science (067630 KS)</a> was added to the Investment Attention Issue list on 21 March and traded limit down. Then came the announcement of the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index</a> deletion.</li>
<li>As the highest ranked non-constituent from the Healthcare sector at the December rebalance, <a href="https://www.smartkarma.com/entities/binex-co-ltd" target="_blank" data-smartkarma-citation="entities:1949:1" rel="noopener">Binex (053030 KS)</a> will be added to the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index</a> at the close on 25 March.</li>
<li>Historically, intra-review inclusions have moved higher between announcement and implementation and there has been reversion post the index inclusion.</li>
</ul>



HLB Life Science (067630 KS) was added to the Investment Attention Issue list on 21 March and traded limit down. Then came the announcement of the KOSDAQ 150 Index deletion.
As the highest ranked non-constituent from the Healthcare sector at the December rebalance, Binex (053030 KS) will be added to the KOSDAQ 150 Index at the close on 25 March.
Historically, intra-review inclusions have moved higher between announcement and implementation and there has been reversion post the index inclusion.


KOSDAQ150 Index Adhoc Rebalance: Binex (053030 KS) To Replace HLB Life Science (067630 KS)

<ul>
<li>We look at the performance of the index rebalance strategy over the year using weekly forecasts. In short, it has been a mixed bag for Asia.</li>
<li>India and China have been among the worst performing markets in the region while Australia and Korea have been among the better performers.</li>
<li>A lot of the outperformance appears to be front loaded, so getting the forecasts right early in the review period is of paramount importance.</li>
</ul>


We look at the performance of the index rebalance strategy over the year using weekly forecasts. In short, it has been a mixed bag for Asia.
India and China have been among the worst performing markets in the region while Australia and Korea have been among the better performers.
A lot of the outperformance appears to be front loaded, so getting the forecasts right early in the review period is of paramount importance.


Index Rebalance Strategy YTD Performance: Not Many Places to Hide in Asia

South Korea

KOSDAQ 150 Index is a base index for futures trading to hedge risks in KOSDAQ market. Base period and base index : Jan 4, 2010, 1,000p

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KOSDAQ 150 Index (KOSDQ150 INDEX EQUITY)

Korea Short Selling: What Happened on Day 1?

Short notional has increased as has foreign ownership of Korean equities. Stock selection will become increasingly important. The forecast index...

Brian Freitas

Short Selling Resumes in Korea Just as the KOSPI 200 Braces for Pullback (Perfect Timing!)

The week after this insight was published, the KOSPI 200 started to fall (that was one of the possible scenarios analyzed). This Monday, as short...

Nico Rosti

Korea Short Selling: Off to the Races

Data indicates positioning in different types of trades ranging from index pairs to forecast index deletions and stocks with high forward PEs. Some...

Brian Freitas

KOSDAQ150 Index Adhoc Rebalance: Binex (053030 KS) To Replace HLB Life Science (067630 KS)

HLB Life Science will be deleted from the KOSDAQ150 following its designation as an Investment Attention Issue. Binex will be added to the index....

Brian Freitas

Index Rebalance Strategy YTD Performance: Not Many Places to Hide in Asia

A positive start to the year for Asia index rebals has turned negative as the momentum/ value unwind began a few weeks ago. Higher volatility and a...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)