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 200 / Event-Driven

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

<ul>
<li>Since short selling was banned in November 2023, short interest has plunged in Korea as shorts were covered. Markets have not done much over the last 16 months though. </li>
<li>Foreign investor holdings have dropped from 32.05% in July to 28.57%. The top 25 stocks bought by foreign investors outperformed the top 25 stocks sold by 128% in 16 months.</li>
<li>There will be trade opportunities across indices, pref/ords, index migrations and deletions, potential market upgrades and overvalued stocks being sold.</li>
</ul>


Since short selling was banned in November 2023, short interest has plunged in Korea as shorts were covered. Markets have not done much over the last 16 months though. 
Foreign investor holdings have dropped from 32.05% in July to 28.57%. The top 25 stocks bought by foreign investors outperformed the top 25 stocks sold by 128% in 16 months.
There will be trade opportunities across indices, pref/ords, index migrations and deletions, potential market upgrades and overvalued stocks being sold.


Korea: Short Selling Is Back in March; Trade Ideas

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>National Growth Fund retail opened today, KRW 720bn first tranche, next in H1 next year. KOSDAQ move is sentiment driven on strong demand chatter this morning, not actual inflows.</li>
<li>Blaming a 5 percent KOSDAQ move on this alone is a stretch; it is short covering in battery and biotech plus KOSPI to KOSDAQ rotation on a policy signal.</li>
<li>5% KOSDAQ move is placebo causality flip; fund hype only catalyst for rotation tape. Key call is durability vs normalization, I lean fade as flows and positioning reset.</li>
</ul>


National Growth Fund retail opened today, KRW 720bn first tranche, next in H1 next year. KOSDAQ move is sentiment driven on strong demand chatter this morning, not actual inflows.
Blaming a 5 percent KOSDAQ move on this alone is a stretch; it is short covering in battery and biotech plus KOSPI to KOSDAQ rotation on a policy signal.
5% KOSDAQ move is placebo causality flip; fund hype only catalyst for rotation tape. Key call is durability vs normalization, I lean fade as flows and positioning reset.


My Take on What Is Driving the KOSDAQ Tape Today

Index Rebalance

<ul>
<li>There used to be a 30% single stock capping rule for 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>. Following a hue and cry, that was repealed in 2020.</li>
<li>With <a href="https://www.smartkarma.com/entities/samsung-electronics-co-ltd" target="_blank" data-smartkarma-citation="entities:191:1" rel="noopener">Samsung Electronics</a> and <a href="https://www.smartkarma.com/entities/sk-hynix-inc" target="_blank" data-smartkarma-citation="entities:16955:1" rel="noopener">SK Hynix</a> making up over 60% of the index weight, it may be time for the index provider and regulators to revisit capping, and at a lower level.</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> shows concentration on every metric compared to other regional equity indices. That does not bode well in times of market volatility.</li>
</ul>


There used to be a 30% single stock capping rule for the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX). Following a hue and cry, that was repealed in 2020.
With Samsung Electronics and SK Hynix making up over 60% of the index weight, it may be time for the index provider and regulators to revisit capping, and at a lower level.
The Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) shows concentration on every metric compared to other regional equity indices. That does not bode well in times of market volatility.


KOSPI200 Index: Should Capping Be (Re)Introduced?

Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>
Context: Korea’s new 2x single-stock ETFs on Samsung Electronics and SK hynix attracted strong early inflows, but performance since launch has been disappointing.</li>
<li>
Mechanics: Daily leveraged ETFs rebalance exposure each day, creating a pro-cyclical pattern: they buy after gains and sell after losses to maintain the 2x target.</li>
<li>
Implication: The structure can enhance returns in trending markets, but choppy conditions can rapidly erode value — making these products best suited to short-term tactical momentum exposure.</li>
</ul>



Context: Korea’s new 2x single-stock ETFs on Samsung Electronics and SK hynix attracted strong early inflows, but performance since launch has been disappointing.

Mechanics: Daily leveraged ETFs rebalance exposure each day, creating a pro-cyclical pattern: they buy after gains and sell after losses to maintain the 2x target.

Implication: The structure can enhance returns in trending markets, but choppy conditions can rapidly erode value — making these products best suited to short-term tactical momentum exposure.


Samsung Elec (005930 KS) & SK Hynix (000660 KS): New 2x Leveraged ETFs Face First Reality Check

<ul>
<li>With 70% of the review period complete, there could be 14 constituent changes for the <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> in June.</li>
<li>There has been huge interest in the KOSDAQ market lately and that has led to big ETF creations in the last few months. That leads to increased flow and impact.</li>
<li>The forecast adds have MASSIVELY outperformed the forecast deletes over the last few months and in the last week. While the flow/impact are huge, watch out for short-term reversal.</li>
</ul>


With 70% of the review period complete, there could be 14 constituent changes for the KOSDAQ 150 Index (KOSDQ150 INDEX) in June.
There has been huge interest in the KOSDAQ market lately and that has led to big ETF creations in the last few months. That leads to increased flow and impact.
The forecast adds have MASSIVELY outperformed the forecast deletes over the last few months and in the last week. While the flow/impact are huge, watch out for short-term reversal.


KOSDAQ150 Index Rebalance Preview: Soaring AUM and Increased Flow/Impact

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 Is Back in March; Trade Ideas

Short selling in Korea commences from Monday. There will be a lot of interest in shorting stocks/sectors depending on how they have performed since...

Brian Freitas

My Take on What Is Driving the KOSDAQ Tape Today

This is my take on what is driving the KOSDAQ tape today, breaking down the key flow dynamics, positioning, and sentiment drivers behind the move.

Sanghyun Park

KOSPI200 Index: Should Capping Be (Re)Introduced?

The KOSPI200 is more concentrated than the KOSDAQ150 and other regional peers. Sidecars and circuit breakers are being triggered more frequently...

Brian Freitas

Samsung Elec (005930 KS) & SK Hynix (000660 KS): New 2x Leveraged ETFs Face First Reality Check

Yesterday’s double-digit drop in Samsung Elec and SK Hynix sent their leveraged ETFs down roughly 25%. To regain 22 June levels, the ETFs would...

Gaudenz Schneider

KOSDAQ150 Index Rebalance Preview: Soaring AUM and Increased Flow/Impact

There could be 14 constituent changes for the KOSDAQ150 in June. AUM linked to the index has soared over the last couple of months. The forecast...

Brian Freitas

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