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

Quantitative Equity Analyst, DMA

Charlotte van Tiddens, CFA

Quantitative Equity Analyst

Technology-First Company

DMA is a technology-first company that provides an end-to-end SaaS solution to institutional investors. DMA enables regulated entities like asset managers, wealth managers, investment managers and financial advisors to connect their front and back office, break silos and reduce headcount.

<ul>
<li>The KRX have announced the index changes for the KOSPI200 June review.</li>
<li>The index will be rebalanced in the closing auction on Thursday the 13th of June.</li>
<li>There will be 6 additions to the index and 6 deletions.</li>
</ul>


The KRX have announced the index changes for the KOSPI200 June review.
The index will be rebalanced in the closing auction on Thursday the 13th of June.
There will be 6 additions to the index and 6 deletions.


KOSPI200 June '24 Rebalance: Index Changes Released, 6 Additions & 6 Deletions

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

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

<ul>
<li>In this insight, we discuss near-term momentum trading opportunities among the top 50 stocks in KOSPI with highest short interest ratios.</li>
<li>Given the recent temporary ban on stock short selling in Korea, there is likely to be increased volatility in the stock market. </li>
<li>We have identified 10 companies in particular that have high short interest ratios, among the worst performing stocks YTD, but with strongest share price performance in the past two days.</li>
</ul>


In this insight, we discuss near-term momentum trading opportunities among the top 50 stocks in KOSPI with highest short interest ratios.
Given the recent temporary ban on stock short selling in Korea, there is likely to be increased volatility in the stock market. 
We have identified 10 companies in particular that have high short interest ratios, among the worst performing stocks YTD, but with strongest share price performance in the past two days.


Momentum Trading Opportunities Among Top 50 Stocks in KOSPI With Highest Short Interest Ratios

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Korea Stock Exchange KOSPI 200 / Event-Driven

<ul>
<li>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> Index is currently rising for the 3rd week in a row and approaching the Q2 WEEKLY resistance level, but it's a very weak rally.</li>
<li>Between 329 and 331 there id a good area to go SHORT, the index could fall for 2-3 weeks from here, into early November.</li>
<li>A negative close in October would be =3 months down in a row (CC=-3), November in that case would have good odds for a rebound and close up.</li>
</ul>


The KOSPI 200 Index is currently rising for the 3rd week in a row and approaching the Q2 WEEKLY resistance level, but it's a very weak rally.
Between 329 and 331 there id a good area to go SHORT, the index could fall for 2-3 weeks from here, into early November.
A negative close in October would be =3 months down in a row (CC=-3), November in that case would have good odds for a rebound and close up.


EQD | KOSPI 200 Frail WEEKLY Rally Is Ending

South Korea

Lotte Energy Materials Corporation manufactures and distributes electric foils. The Company produces printed circuit board and lithium ion secondary batteries elecfoil, electrolytic and epoxy copper foil, electrolytic capacitor aluminum foil, and other related products. Lotte Energy Materials also offers energy and glass and window construction services.

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Lotte Energy Materials (020150 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

KOSPI200 June '24 Rebalance: Index Changes Released, 6 Additions & 6 Deletions

The KRX have released the index changes for the KOSPI200 June review. The index will be rebalanced in the closing auction on Thursday the 13th of...

DMA

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

Momentum Trading Opportunities Among Top 50 Stocks in KOSPI With Highest Short Interest Ratios

We have identified 10 companies in KOSPI that have high short interest ratios, among the worst performing stocks YTD, but with strongest share...

Douglas Kim

EQD | KOSPI 200 Frail WEEKLY Rally Is Ending

The KOSPI 200 Index is rising for the 3rd week but it's a weak rally. Go SHORT between 329 and 331, hold 2-3 weeks. A negative close in October...

Nico Rosti

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

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

KOSPI200 June '24 Rebalance: Index Changes Released, 6 Additions & 6 Deletions

The KRX have released the index changes for the KOSPI200 June review. The index will be rebalanced in the closing auction on Thursday the 13th of...

DMA

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

Momentum Trading Opportunities Among Top 50 Stocks in KOSPI With Highest Short Interest Ratios

We have identified 10 companies in KOSPI that have high short interest ratios, among the worst performing stocks YTD, but with strongest share...

Douglas Kim

EQD | KOSPI 200 Frail WEEKLY Rally Is Ending

​The KOSPI 200 Index is rising for the 3rd week but it's a weak rally. Go SHORT between 329 and 331, hold 2-3 weeks. A negative close in October...

Nico Rosti

The KOSPI 200 Index is rising for the 3rd week but it's a weak rally. Go SHORT between 329 and 331, hold 2-3 weeks. A negative close in October...