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 will be 6 additions and 6 deletions 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> at the June rebalance that will be implemented on 13 June.</li>
<li>The index committee has used a boatload of discretion in the inclusion of <a href="https://www.smartkarma.com/entities/cosmoam-t-co-ltd" target="_blank" data-smartkarma-citation="entities:10360:1" rel="noopener">CosmoAM&amp;T (005070 KS)</a> and the deletion of some of the stocks.</li>
<li>The adds and deletes from the Information Technology sector will also have passive flow from the sector ETF and will increase the impact of the changes.</li>
</ul>


There will be 6 additions and 6 deletions for the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) at the June rebalance that will be implemented on 13 June.
The index committee has used a boatload of discretion in the inclusion of CosmoAM&amp;T (005070 KS) and the deletion of some of the stocks.
The adds and deletes from the Information Technology sector will also have passive flow from the sector ETF and will increase the impact of the changes.


KOSPI200 Index Rebalance: Index Committee Knows Best; Cosmo AM&T the Winner

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 foreign holdings of KRX Stocks as of Jun 7th which has an aggregated holding worth USD542.4bn.</li>
<li>We estimate that foreign flows to be outflows of USD266mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.</li>
<li>We highlight foreign changes in Alteogen Inc (196170 KS), Naver Corp (035420 KS).</li>
</ul>


We analyzed the changes in foreign holdings of KRX Stocks as of Jun 7th which has an aggregated holding worth USD542.4bn.
We estimate that foreign flows to be outflows of USD266mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
We highlight foreign changes in Alteogen Inc (196170 KS), Naver Corp (035420 KS).


KRX Foreign Holding Weekly (Jun 7th): Alteogen, Naver

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

<ul>
<li>Global MSCI indexes (MSCI ACWI, ACWI ex-US, EAFE, and EM) are pulling back following recent breakouts to multi-year highs. Europe, Japan also pulling back to uptrend supports.</li>
<li>Short-Term supports to watch-discussed in our May 23, 2024 Int'l Compass-include $110.50 on ACWI-US, $53.50 on ACWX-US, $80 on EFA-US, and $41-42 on EEM-US; buy this pullback. </li>
<li>As long as these supports hold, we anticipate significantly higher prices ahead. Combination of supports holding and healthy market dynamics continues to validate our bullish outlook on global equities.</li>
</ul>


Global MSCI indexes (MSCI ACWI, ACWI ex-US, EAFE, and EM) are pulling back following recent breakouts to multi-year highs. Europe, Japan also pulling back to uptrend supports.
Short-Term supports to watch-discussed in our May 23, 2024 Int'l Compass-include $110.50 on ACWI-US, $53.50 on ACWX-US, $80 on EFA-US, and $41-42 on EEM-US; buy this pullback. 
As long as these supports hold, we anticipate significantly higher prices ahead. Combination of supports holding and healthy market dynamics continues to validate our bullish outlook on global equities.


Buy the Pullback; Market Dynamics Remain Healthy; Buys in Tech, Discretionary, Healthcare, Utilities

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Douglas Research Advisory

Cross Asset Strategy

<ul>
<li>KRX announced changes to KOSPI 200 and KOSDAQ 150 indices. In KOSPI 200, 6 were added and 6 were removed. In KOSDAQ 150, 13 were added and 13 were removed. </li>
<li>The six additions to KOSPI 200 had an average share price increase of 17.7% YTD. The six deletions had an average share price decline of 2.5% YTD.</li>
<li>One trading idea post the announcement of the KOSPI 200 and KOSDAQ 150 rebalances is to highlight the potential underperformers (including 20 lowest market cap stocks in KOSPI200/KOSDAQ150 post rebalance). </li>
</ul>


KRX announced changes to KOSPI 200 and KOSDAQ 150 indices. In KOSPI 200, 6 were added and 6 were removed. In KOSDAQ 150, 13 were added and 13 were removed. 
The six additions to KOSPI 200 had an average share price increase of 17.7% YTD. The six deletions had an average share price decline of 2.5% YTD.
One trading idea post the announcement of the KOSPI 200 and KOSDAQ 150 rebalances is to highlight the potential underperformers (including 20 lowest market cap stocks in KOSPI200/KOSDAQ150 post rebalance). 


Trading Idea Post Changes to KOSPI 200 and KOSDAQ 150

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>Unexpectedly, KRX included Cosmo AM&amp;T (005070 KS) despite not meeting the market cap cutoff and excluded DB Hitek (000990 KS) and Lotte Energy Materials (020150 KS).</li>
<li>Cosmo AM&amp;T's unexpected inclusion triggers a significant one-day passive flow event through the KOSPI 200 IT, the sector index with the largest AUM.</li>
<li>Sector index rebalancing, a single-day event managed by one ETF operator, more significantly correlates flow direction with price impact. We should consider a long-short setup for these on June 13th.</li>
</ul>


Unexpectedly, KRX included Cosmo AM&amp;T (005070 KS) despite not meeting the market cap cutoff and excluded DB Hitek (000990 KS) and Lotte Energy Materials (020150 KS).
Cosmo AM&amp;T's unexpected inclusion triggers a significant one-day passive flow event through the KOSPI 200 IT, the sector index with the largest AUM.
Sector index rebalancing, a single-day event managed by one ETF operator, more significantly correlates flow direction with price impact. We should consider a long-short setup for these on June 13th.


Unexpected Inclusion of Cosmo AM&T in KOSPI 200 Sparks Notable One-Day Flow Via KOSPI 200 IT

South Korea

Hanmi Semiconductor Co., Ltd. manufactures and develops semiconductor equipment. The Company's products include auto molding system, sawing & placement system, campress trim/form/singulation system, and pick & place system.

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Hanmi Semiconductor (042700 KS)

KOSPI200 Index Rebalance: Index Committee Knows Best; Cosmo AM&T the Winner

The KOSPI200 rebalance takes place at the close tomorrow. Cosmo AM&T is up ~25% since the surprise inclusion and there could be a reversal in the...

Brian Freitas

KRX Foreign Holding Weekly (Jun 7th): Alteogen, Naver

We analyzed KRX foreign holding data for the past week and highlighted foreign holding changes in Alteogen (196170 KS), Naver (035420 KS).

Ke Yan, CFA, FRM

Buy the Pullback; Market Dynamics Remain Healthy; Buys in Tech, Discretionary, Healthcare, Utilities

Buy the Pullbacks in $EFA $ACWX as they hold above $80 and $53.50 supports; Europe and Japan also buyable pullbacks to uptrend supports; Market...

Vermilion Research

Trading Idea Post Changes to KOSPI 200 and KOSDAQ 150

One trading idea post announcement of KOSPI 200 and KOSDAQ 150 rebalances is to highlight the potential underperformers (including 20 lowest market...

Douglas Kim

Unexpected Inclusion of Cosmo AM&T in KOSPI 200 Sparks Notable One-Day Flow Via KOSPI 200 IT

This post explores the one-day flow trading event in the KOSPI 200 IT Sector Index, stemming from Cosmo AM&T's unexpected inclusion in the KOSPI...

Sanghyun Park

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