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>There are 11 stocks (maybe 12) in Korea that could be deleted from a global index in February and that will result in large selling from passive trackers.</li>
<li>With announcement in a week and implementation in just over 3 weeks, there is positioning in a lot of the names.</li>
<li>With short selling still banned, positioning will not be as high as the passive selling and the stocks could still drop over the next few weeks.</li>
</ul>


There are 11 stocks (maybe 12) in Korea that could be deleted from a global index in February and that will result in large selling from passive trackers.
With announcement in a week and implementation in just over 3 weeks, there is positioning in a lot of the names.
With short selling still banned, positioning will not be as high as the passive selling and the stocks could still drop over the next few weeks.


Korea: 11 Potential Index Deletions in February

<ul>
<li>The review period for the March rebalance of the KOSPI Size Indices commenced on 1 December and will end on 28 February.</li>
<li>Over halfway through the review period, we forecast 39 migrating stocks. Among new listings, 1 stock could be added to LargeCap, 3 to MidCap and 2 to SmallCap.</li>
<li>Three potential downward migrations were deleted from a global index in November. Now, four more potential downward migrations could be deleted from the same global index in February.</li>
</ul>


The review period for the March rebalance of the KOSPI Size Indices commenced on 1 December and will end on 28 February.
Over halfway through the review period, we forecast 39 migrating stocks. Among new listings, 1 stock could be added to LargeCap, 3 to MidCap and 2 to SmallCap.
Three potential downward migrations were deleted from a global index in November. Now, four more potential downward migrations could be deleted from the same global index in February.


KOSPI Size Indices: When Active Met Passive

<ul>
<li>There are quite a few stocks in Korea that have underperformed their peers and could be deleted from global passive portfolios in February.</li>
<li>There are still 3 weeks left for the stocks to redeem themselves and avoid relegation from the K League, so watch out for big price moves.</li>
<li>Based on our estimate of passive assets, trackers will need to trade between US$45m to US$114m of the stocks. Impact will vary between 2.6x-30x of ADV to trade.</li>
</ul>


There are quite a few stocks in Korea that have underperformed their peers and could be deleted from global passive portfolios in February.
There are still 3 weeks left for the stocks to redeem themselves and avoid relegation from the K League, so watch out for big price moves.
Based on our estimate of passive assets, trackers will need to trade between US$45m to US$114m of the stocks. Impact will vary between 2.6x-30x of ADV to trade.


Korea: Potential Relegations from K League 1

Asia Pac IPO & Placement Research, China biotech, Aequitas Research

Ke Yan, CFA, FRM

Asia Pac IPO & Placement Research, China biotech

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Quantitative Analysis

<ul>
<li>We analyzed the changes in short interest of KRX stocks as of Jan 3rd which has an aggregated short interest worth USD3.5bn.</li>
<li>We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.</li>
<li>We highlight short interest changes in Samsung Biologics (207940 KS).</li>
</ul>


We analyzed the changes in short interest of KRX stocks as of Jan 3rd which has an aggregated short interest worth USD3.5bn.
We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.
We highlight short interest changes in Samsung Biologics (207940 KS).


KRX Short Interest Weekly (Jan 3rd): Samsung Biologics

<ul>
<li>We analyzed the changes in short interest of KRX stocks as of Dec 20th which has an aggregated short interest worth USD3.5bn.</li>
<li>We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.</li>
<li>We highlight short interest changes in SCD (000250 KS) , SKC (011790 KS) , Yuhan (000100 KS).</li>
</ul>


We analyzed the changes in short interest of KRX stocks as of Dec 20th which has an aggregated short interest worth USD3.5bn.
We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.
We highlight short interest changes in SCD (000250 KS) , SKC (011790 KS) , Yuhan (000100 KS).


KRX Short Interest Weekly (Dec 20th):SCD, SKC, Yuhan

South Korea

L&F Co., Ltd. develops and manufactures battery materials. The Company produces and sells cathode active materials, anode materials, electrolyte, separator, and other products. L&F markets its products throughout Korea.

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L&F (066970 KS)

Korea: 11 Potential Index Deletions in February

There could be 11-12 index deletions in Korea later this month. Passive trackers will need to trade between US$42m-US$120m (4.2x-31x ADV) of the...

Brian Freitas

KOSPI Size Indices: When Active Met Passive

There could be 39 migrations in March. Most of the Large to Mid migrations have been, or will be, deleted from a large global index. Along with...

Brian Freitas

Korea: Potential Relegations from K League 1

The list of potential deletions for Korea next month continues to increase as markets remain weak. The stocks have, on average, traded flat over...

Brian Freitas

KRX Short Interest Weekly (Jan 3rd): Samsung Biologics

We analyzed KRX short interest report for the past week and highlighted short interest changes in Samsung Biologics(207940 KS).

Ke Yan, CFA, FRM

KRX Short Interest Weekly (Dec 20th):SCD, SKC, Yuhan

We analyzed KRX short interest report for the past week and highlighted short interest changes in SCD (000250 KS) , SKC (011790 KS) , Yuhan (000100...

Ke Yan, CFA, FRM

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