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

Index Rebalance

<ul>
<li>The <a href="https://www.smartkarma.com/entities/mirae-asset-tiger-top-10-etf" target="_blank" data-smartkarma-citation="entities:36042:1" rel="noopener">Mirae Asset Tiger Top 10 ETF (292150 KS)</a> tracks the FnGuide Top 10 Index and has an AUM of around US$660m.</li>
<li>We currently forecast two potential changes at the next rebalance in June - both are high probability changes.</li>
<li>The trade has performed well historically with positive performance till implementation followed by reversion post implementation in most cases.</li>
</ul>


The Mirae Asset Tiger Top 10 ETF (292150 KS) tracks the FnGuide Top 10 Index and has an AUM of around US$660m.
We currently forecast two potential changes at the next rebalance in June - both are high probability changes.
The trade has performed well historically with positive performance till implementation followed by reversion post implementation in most cases.


FnGuide Top10 Index Rebalance Preview: Big Flow in Large Cap Stocks

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>Korea's battery sector got wrecked, crushing POSCO and Samsung SDI's caps. Shakeup incoming: Hanwha Aerospace locks in, and Samsung Biologics is also a strong contender.</li>
<li>Low pre-positioning leads to highly correlated moves on rebalance day; last June, KB and Shinhan got in while LG Chem and Energy got cut with similar impact, netting ~3% yield.</li>
<li>Given the track record, it makes sense to trim the holding window on rebalance day and deploy a long-short strategy.</li>
</ul>


Korea's battery sector got wrecked, crushing POSCO and Samsung SDI's caps. Shakeup incoming: Hanwha Aerospace locks in, and Samsung Biologics is also a strong contender.
Low pre-positioning leads to highly correlated moves on rebalance day; last June, KB and Shinhan got in while LG Chem and Energy got cut with similar impact, netting ~3% yield.
Given the track record, it makes sense to trim the holding window on rebalance day and deploy a long-short strategy.


4 Key Movers in TIGER Top 10 in June Reshuffle

Asia Pac ECM and Index Rebal, Shenton Research

Ke Yan, CFA, FRM

Asia Pac ECM and Index Rebal

Asia Pac IPO & Placement Research, China Biotech

DZT Research

DZT Research is an independent Asia Pacific equity specialist. Our quantitative research covers index rebalancing flows, alongside exchange data analytics accross Asia Pacific. On the equity capital markets side, we focus on Asia Pacific ECM, especially biotech and TMT. Our lead analyst is frequently cited by international media.

Quantitative Analysis

<ul>
<li>We analyzed the changes in short interest of KRX stocks as of Apr 11th which has an aggregated short interest worth USD5.0bn.</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 Lg Energy Solution, Sk Innovation, Hanmi Semi, Hd Hyundai Heavy Industries, Alteogen, Samsung Electronics, SK Hynix, Posco, Naver, Hana Financial.</li>
</ul>


We analyzed the changes in short interest of KRX stocks as of Apr 11th which has an aggregated short interest worth USD5.0bn.
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 Lg Energy Solution, Sk Innovation, Hanmi Semi, Hd Hyundai Heavy Industries, Alteogen, Samsung Electronics, SK Hynix, Posco, Naver, Hana Financial.


KRX Short Interest Weekly (Apr 11th): Lg Energy Solution, Sk Innovation, Hanmi Semi

Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

Korea Stock Exchange KOSPI 200 / Equity Derivatives

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

<ul>
<li>
Market Reaction: The announcement of US reciprocal tariffs caused significant declines across Asia-Pacific markets. Although initial losses were partially recovered during the day, most markets closed substantially lower.</li>
<li>
Impact on South Korea: South Korea faces a 25% tariff. This led to a 1.5% drop in 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 Index (KOSPI2 INDEX).</a> </li>
<li>
Volatility Increase: The Kospi 200 VIX index rose to a high of 28.64 before retreating to 26.05, indicating the 99th percentile of implied volatility.</li>
</ul>



Market Reaction: The announcement of US reciprocal tariffs caused significant declines across Asia-Pacific markets. Although initial losses were partially recovered during the day, most markets closed substantially lower.

Impact on South Korea: South Korea faces a 25% tariff. This led to a 1.5% drop in the Korea Stock Exchange KOSPI 200 Index (KOSPI2 INDEX). 

Volatility Increase: The Kospi 200 VIX index rose to a high of 28.64 before retreating to 26.05, indicating the 99th percentile of implied volatility.


KOSPI 200 (KOSPI2 Index) Hits 99th Percentile Implied Volatility Amid US Tariff Impact

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

Nico Rosti

Pan-Asia Tactical Market Calls (Quant-Driven)

MRM Research

Quantitative Research

<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!)

South Korea

POSCO manufactures various types of steel products.  The Company produces hot rolled steel, cold rolled steel, stainless steel, and other forms of steel. The products are mainly used for automobile, construction, and shipbuilding industries.

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Posco ADR (PKX US)

FnGuide Top10 Index Rebalance Preview: Big Flow in Large Cap Stocks

There could be two changes for the FnGuide Top 10 Index in June. The forecast adds have outperformed the forecast deletes and history indicates...

Brian Freitas

4 Key Movers in TIGER Top 10 in June Reshuffle

This post breaks down June’s key passive event in the Korean market: the TIGER Top 10 rebalancing, with four heavy hitters in play.

Sanghyun Park

KRX Short Interest Weekly (Apr 11th): Lg Energy Solution, Sk Innovation, Hanmi Semi

We analyzed KRX short interest report for the past week and highlighted short interest changes in Lg Energy Solution, Sk Innovation, Hanmi Semi, Hd...

Ke Yan, CFA, FRM

KOSPI 200 (KOSPI2 Index) Hits 99th Percentile Implied Volatility Amid US Tariff Impact

US reciprocal tariffs announcement caused significant declines in Asia-Pacific markets, impacting South Korea with the KOSPI 200 implied...

Gaudenz Schneider

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

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

FnGuide Top10 Index Rebalance Preview: Big Flow in Large Cap Stocks

There could be two changes for the FnGuide Top 10 Index in June. The forecast adds have outperformed the forecast deletes and history indicates...

Brian Freitas

4 Key Movers in TIGER Top 10 in June Reshuffle

This post breaks down June’s key passive event in the Korean market: the TIGER Top 10 rebalancing, with four heavy hitters in play.

Sanghyun Park

KRX Short Interest Weekly (Apr 11th): Lg Energy Solution, Sk Innovation, Hanmi Semi

We analyzed KRX short interest report for the past week and highlighted short interest changes in Lg Energy Solution, Sk Innovation, Hanmi Semi, Hd...

Ke Yan, CFA, FRM

KOSPI 200 (KOSPI2 Index) Hits 99th Percentile Implied Volatility Amid US Tariff Impact

​US reciprocal tariffs announcement caused significant declines in Asia-Pacific markets, impacting South Korea with the KOSPI 200 implied...

Gaudenz Schneider

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

US reciprocal tariffs announcement caused significant declines in Asia-Pacific markets, impacting South Korea with the KOSPI 200 implied...