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

<ul>
<li>Korea banned all short selling in March 2020 and resumed short selling only on <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> and <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150</a> index constituents in May 2021.</li>
<li>News reports indicate that there could be another short sell ban as soon as the coming week. Indications are that the ban could last 6 months.</li>
<li>There are many implications of a total short sell ban including futures backwardation, market manipulation, and no emerging to developed market promotion.</li>
</ul>


Korea banned all short selling in March 2020 and resumed short selling only on KOSPI 200 and KOSDAQ 150 index constituents in May 2021.
News reports indicate that there could be another short sell ban as soon as the coming week. Indications are that the ban could last 6 months.
There are many implications of a total short sell ban including futures backwardation, market manipulation, and no emerging to developed market promotion.


Korea Short Sell Ban: Background, Manipulation, Holdings, Flows, Short Interest, Implications

<ul>
<li>With the start of the review period around the corner, there could be two changes for the FnGuide Semiconductor Top10 Index at the October rebalance.</li>
<li>
<a href="https://www.smartkarma.com/entities/wonik-ips-co-ltd-5d7417b7-5438-41d4-a6e4-8016d24d818a" target="_blank" data-smartkarma-citation="entities:26912:1" rel="noopener">Wonik Ips (240810 KS)</a> and <a href="https://www.smartkarma.com/entities/techwing-inc" target="_blank" data-smartkarma-citation="entities:5735:1" rel="noopener">Techwing Inc (089030 KS)</a> are potential adds while <a href="https://www.smartkarma.com/entities/isc-co-ltd" target="_blank" data-smartkarma-citation="entities:13560:1" rel="noopener">ISC Co Ltd (095340 KS)</a> and <a href="https://www.smartkarma.com/entities/dongjin-semichem-co-ltd" target="_blank" data-smartkarma-citation="entities:19607:1" rel="noopener">Dongjin Semichem (005290 KS)</a> are potential deletes.</li>
<li>Passives will need to trade more than 2x ADV on two potential changes and more than 1x ADV on another potential change.</li>
</ul>


With the start of the review period around the corner, there could be two changes for the FnGuide Semiconductor Top10 Index at the October rebalance.

Wonik Ips (240810 KS) and Techwing Inc (089030 KS) are potential adds while ISC Co Ltd (095340 KS) and Dongjin Semichem (005290 KS) are potential deletes.
Passives will need to trade more than 2x ADV on two potential changes and more than 1x ADV on another potential change.


FnGuide Semiconductor Top10 Index Rebalance Preview: Two Changes Likely in October

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.

<ul>
<li>Mirae Asset TIGER Fn Semiconductor TOP 10 ETF saw a rapid increase in AUM in a short period. Currently, AUM has reached 126 billion won.</li>
<li>Compared to the flow size, the price movement magnitude was substantial. What is particularly important is that the correlation between weight change direction and price impact was quite significant.</li>
<li>Considering Long Short basket trading based on the weight change direction on a day trading window seems worthwhile.</li>
</ul>


Mirae Asset TIGER Fn Semiconductor TOP 10 ETF saw a rapid increase in AUM in a short period. Currently, AUM has reached 126 billion won.
Compared to the flow size, the price movement magnitude was substantial. What is particularly important is that the correlation between weight change direction and price impact was quite significant.
Considering Long Short basket trading based on the weight change direction on a day trading window seems worthwhile.


Introducing Another Long Short Basket Trading Event with Semicon ETF Rebalancing in Korea

<ul>
<li>
<a href="https://www.smartkarma.com/entities/osstem-implant-co-ltd" target="_blank" data-smartkarma-citation="entities:1450:1" rel="noopener">Osstem Implant (048260 KS)</a> has been suspended from trading this year following embezzlement that has nearly wiped out its equity capital.</li>
<li>The stock was named an Administrative Issue on Friday and will be deleted from 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>. <a href="https://www.smartkarma.com/entities/caregen-co-ltd" target="_blank" data-smartkarma-citation="entities:27337:1" rel="noopener">Caregen Co Ltd (214370 KS)</a> is the replacement.</li>
<li>Passive funds will need to sell around KRW 60bn of <a href="https://www.smartkarma.com/entities/osstem-implant-co-ltd" target="_blank" data-smartkarma-citation="entities:1450:1" rel="noopener">Osstem Implant (048260 KS)</a> if they can, and buy KRW 7bn of <a href="https://www.smartkarma.com/entities/caregen-co-ltd" target="_blank" data-smartkarma-citation="entities:27337:1" rel="noopener">Caregen Co Ltd (214370 KS)</a>. </li>
</ul>



Osstem Implant (048260 KS) has been suspended from trading this year following embezzlement that has nearly wiped out its equity capital.
The stock was named an Administrative Issue on Friday and will be deleted from the KOSDAQ 150 Index (KOSDQ150 INDEX). Caregen Co Ltd (214370 KS) is the replacement.
Passive funds will need to sell around KRW 60bn of Osstem Implant (048260 KS) if they can, and buy KRW 7bn of Caregen Co Ltd (214370 KS). 


KOSDAQ150 Ad Hoc Index Rebalance: Osstem Implant OUT; Caregen IN

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Cross Asset Strategy

<ul>
<li>There is an interesting long-short trade that is setting up nicely amidst the Osstem Implant (048260 KS) employee embezzlement disaster.</li>
<li>Osstem Implant is currently included in the KOSDAQ150. Going forward, there is a strong possibility that Osstem Implant is excluded in KOSDAQ150 index.</li>
<li>Osstem Implant is currently involved in an employee embezzlement case worth 221 billion won. This employee stole the company's money and traded more than $1 billion in stocks. </li>
</ul>


There is an interesting long-short trade that is setting up nicely amidst the Osstem Implant (048260 KS) employee embezzlement disaster.
Osstem Implant is currently included in the KOSDAQ150. Going forward, there is a strong possibility that Osstem Implant is excluded in KOSDAQ150 index.
Osstem Implant is currently involved in an employee embezzlement case worth 221 billion won. This employee stole the company's money and traded more than $1 billion in stocks. 


Long-Short Trade of KOSPI200 & KOSDAQ150 Amid Osstem Implant Employee Embezzlement Disaster

South Korea

Dongjin Semichem Co., Ltd. produces fine chemicals for semiconductor and liquid crystal display (LCD) manufacturing.  The Company's products include photoresist materials and epoxy molding compounds.  In addition, Dongjin Semichem also produces chemical foaming agents for plastic and rubber applications.

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Dongjin Semichem (005290 KS)

Korea Short Sell Ban: Background, Manipulation, Holdings, Flows, Short Interest, Implications

Media reports indicate that there could be a temporary short sell ban in Korea. This could lead to futures backwardation, market manipulation and a...

Brian Freitas

FnGuide Semiconductor Top10 Index Rebalance Preview: Two Changes Likely in October

There could be two changes for the FnGuide Semiconductor Top10 Index in October. Some stocks have similar market caps and will need to be...

Brian Freitas

Introducing Another Long Short Basket Trading Event with Semicon ETF Rebalancing in Korea

This post introduces the rebalancing of sector ETFs in Korea, which is not yet well known, and examines whether this event provides long-short...

Sanghyun Park

KOSDAQ150 Ad Hoc Index Rebalance: Osstem Implant OUT; Caregen IN

Osstem Implant will be deleted from the KOSDAQ150 Index at some point over the next 15 trading days and replaced with Caregen. Passive ETFs and...

Brian Freitas

Long-Short Trade of KOSPI200 & KOSDAQ150 Amid Osstem Implant Employee Embezzlement Disaster

There is a long-short trade that is setting up nicely amidst the Osstem Implant employee embezzlement disaster. Osstem Implant is involved in an...

Douglas Kim

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