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

Quantitative Analysis

<ul>
<li>Total short interest in Hong Kong is HK$435.1bn, marginally higher from end-December. Short notional has moved in line with the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hong Kong Hang Seng Index (HSI INDEX)</a>. </li>
<li>Total short notional of the KOSPI and KOSDAQ market has moved up since end-December and is in line with the move higher in the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200-index" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI2 INDEX</a> and <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index</a>.</li>
<li>Short notional in Taiwan is lower over the quarter even as the <a href="https://www.smartkarma.com/entities/taiwan-stock-exchange-weighted-index" target="_blank" data-smartkarma-citation="entities:26056:1" rel="noopener">TWSE INDEX</a> has moved higher over the period. There has been big short covering on some stocks.</li>
</ul>


Total short interest in Hong Kong is HK$435.1bn, marginally higher from end-December. Short notional has moved in line with the Hong Kong Hang Seng Index (HSI INDEX). 
Total short notional of the KOSPI and KOSDAQ market has moved up since end-December and is in line with the move higher in the KOSPI2 INDEX and KOSDAQ 150 Index.
Short notional in Taiwan is lower over the quarter even as the TWSE INDEX has moved higher over the period. There has been big short covering on some stocks.


Short Interest Movements (Q1 2023): HK, Korea, Taiwan, Australia

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Equity Bottom-Up

<ul>
<li>The Korean government removed mask mandates for public transportation in Korea as of Monday, 20 March including in buses, taxis, and subways.</li>
<li>There are four major reasons why it will take much longer time for most people in Korea to stop wearing masks. </li>
<li>As millions of people stop wearing masks in the coming year, there will be clear, visible higher demand for cosmetics, which should benefit companies such as Korea Kolmar. </li>
</ul>


The Korean government removed mask mandates for public transportation in Korea as of Monday, 20 March including in buses, taxis, and subways.
There are four major reasons why it will take much longer time for most people in Korea to stop wearing masks. 
As millions of people stop wearing masks in the coming year, there will be clear, visible higher demand for cosmetics, which should benefit companies such as Korea Kolmar. 


Korea Kolmar: When Will People in Korea Stop Wearing Masks?

Korea / Special Sits, Pairs, Index Rebalancing, Clepsydra Capital

Sanghyun Park

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

Event-Driven

<ul>
<li>Many of the PREFERRED shares in Korea entered the short-term oversold territory versus ORDINARY (on a 20-day moving average).</li>
<li>The liquidity boom that started in the local bond market at the beginning of the year seems to have led to the relative outperformance of ORDINARY.</li>
<li>We should consider collective trading, which utilizes the oversold condition across the entire PREF zone, rather than an individual approach to a specific PREF at this point.</li>
</ul>


Many of the PREFERRED shares in Korea entered the short-term oversold territory versus ORDINARY (on a 20-day moving average).
The liquidity boom that started in the local bond market at the beginning of the year seems to have led to the relative outperformance of ORDINARY.
We should consider collective trading, which utilizes the oversold condition across the entire PREF zone, rather than an individual approach to a specific PREF at this point.


Discussing the Currently Widened Pref-Ord Disparity in Korea

<ul>
<li>This year is less intense compared to previous years. However, given this year's overall market returns and the lower visibility of yearend dividends, it is still a reasonably aggressive flow.</li>
<li>Most of this PROP flow should have been dividend hunting aimed at the distortion of ex-date price correction caused by RETAIL's tax avoidance-driven selling flow.</li>
<li>The performance of the individual stock position strategy (entering on T-4~1 ex-date) might not have been as juicy as expected, but it still managed to deliver a positive return.</li>
</ul>


This year is less intense compared to previous years. However, given this year's overall market returns and the lower visibility of yearend dividends, it is still a reasonably aggressive flow.
Most of this PROP flow should have been dividend hunting aimed at the distortion of ex-date price correction caused by RETAIL's tax avoidance-driven selling flow.
The performance of the individual stock position strategy (entering on T-4~1 ex-date) might not have been as juicy as expected, but it still managed to deliver a positive return.


Retrospectively Reviewing Prop Traders Vs. Retail on T±4 Ex-Date

<ul>
<li>We believe that there is finally some light showing at the end of the dark tunnel for the two leading Korean cosmetics companies LG H&amp;H and Amorepacific Corp.</li>
<li>These two stocks have underperformed the market in the past year but have started to outperform the market in the past three weeks. </li>
<li>There are credible signs that indoor mask wearing in Korea will be eliminated in Korea on/near March 2023 and that the inbound visitors to Korea will continue to increase significantly.</li>
</ul>


We believe that there is finally some light showing at the end of the dark tunnel for the two leading Korean cosmetics companies LG H&amp;H and Amorepacific Corp.
These two stocks have underperformed the market in the past year but have started to outperform the market in the past three weeks. 
There are credible signs that indoor mask wearing in Korea will be eliminated in Korea on/near March 2023 and that the inbound visitors to Korea will continue to increase significantly.


Light at the End of the Dark Tunnel for Korean Cosmetics?

South Korea

LG H&H Co., Ltd. manufactures and distributes cosmetics. The Company produces whoo, o hui, sum 37, basic cosmetics, color cosmetics, and other related products. LG H&H also produces toothpaste, soap, detergents, healthy, personal care, and refreshing products.

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LG H&H (051900 KS)

Short Interest Movements (Q1 2023): HK, Korea, Taiwan, Australia

The Insight looks at movements in short interest across HK, Korea, Taiwan and Australia stocks over Q1 and highlights large increases/decreases in...

Brian Freitas

Korea Kolmar: When Will People in Korea Stop Wearing Masks?

As millions of people stop wearing masks in the coming year, there will be clear, visible higher demand for cosmetics, which should benefit...

Douglas Kim

Discussing the Currently Widened Pref-Ord Disparity in Korea

This post discusses the reasons behind Korea's currently widened preferred-ordinary disparity and suggests trading approaches.

Sanghyun Park

Retrospectively Reviewing Prop Traders Vs. Retail on T±4 Ex-Date

This post retrospectively reviews the Prop Traders Vs. Retail buying/selling dynamics on T±4 ex-date and discusses resulting implications.

Sanghyun Park

Light at the End of the Dark Tunnel for Korean Cosmetics?

We believe that there is finally some light showing at the end of the dark tunnel for the two leading Korean cosmetics companies LG H&H and...

Douglas Kim

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52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)