Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>The 2023 multi-month rally in APAC markets started roughly in autumn 2022, in sync with the US market rally, then stalled when the US market began to pull back.</li>
<li>We propose an analysis of the S&amp;P500 MONTHLY, to find support levels to be used as a proxy for predicting APAC bloc's markets supports.</li>
<li>Main forecast: August/September could be down, but the current MRM pattern reading is bullish - the correction (currently at Q2 supports) should not last beyond end of September.</li>
</ul>


The 2023 multi-month rally in APAC markets started roughly in autumn 2022, in sync with the US market rally, then stalled when the US market began to pull back.
We propose an analysis of the S&amp;P500 MONTHLY, to find support levels to be used as a proxy for predicting APAC bloc's markets supports.
Main forecast: August/September could be down, but the current MRM pattern reading is bullish - the correction (currently at Q2 supports) should not last beyond end of September.


EQD | SPX MONTHLY Proxy Supports for APAC Markets

Korea Stock Exchange KOSPI 200 / Event-Driven

<ul>
<li>The KOSPI 200 index last week closed down (CC=-1). This particular pattern is very bullish: 78% of the time the index closes the week up after -1 week down.</li>
<li>The index has been stuck sideways between 348 and 330 for weeks, we still see a buy-the-dip opportunity to ride the continuation of the Bull run from here.</li>
<li>
Main support area to go LONG, based on the Market Reversal Matrix's readings, is between 337 and 335. Time+space estimated probability of success is between 64% and 76%.</li>
</ul>


The KOSPI 200 index last week closed down (CC=-1). This particular pattern is very bullish: 78% of the time the index closes the week up after -1 week down.
The index has been stuck sideways between 348 and 330 for weeks, we still see a buy-the-dip opportunity to ride the continuation of the Bull run from here.

Main support area to go LONG, based on the Market Reversal Matrix's readings, is between 337 and 335. Time+space estimated probability of success is between 64% and 76%.


EQD | KOSPI 200 Index WEEKLY Trend Analysis

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

<ul>
<li>
<a href="https://www.smartkarma.com/entities/ecopro-co-ltd" target="_blank" data-smartkarma-citation="entities:19029:1" rel="noopener">Ecopro Co Ltd</a>, <a href="https://www.smartkarma.com/entities/kum-yang-co-ltd" target="_blank" data-smartkarma-citation="entities:10364:1" rel="noopener">Kum Yang</a>, <a href="https://www.smartkarma.com/entities/jyp-entertainment-corp" target="_blank" data-smartkarma-citation="entities:17598:1" rel="noopener">Jyp Entertainment</a>, <a href="https://www.smartkarma.com/entities/daewoo-shipbuilding-marine-engineering" target="_blank" data-smartkarma-citation="entities:12531:1" rel="noopener">Hanwha Ocean</a>, <a href="https://www.smartkarma.com/entities/hanmi-semiconductor-co-ltd" target="_blank" data-smartkarma-citation="entities:15587:1" rel="noopener">Hanmi Semiconductor</a> and <a href="https://www.smartkarma.com/entities/posco-dx-co-ltd" target="_blank" data-smartkarma-citation="entities:5198:1" rel="noopener">Posco DX</a> have all rallied recently and could find their way into global passive portfolios.</li>
<li>There could be liquidity events in some of the stocks as early as the end of the month and there is pre-positioning on a lot of the stocks.</li>
<li>Retail investors have been big buyers in <a href="https://www.smartkarma.com/entities/ecopro-co-ltd" target="_blank" data-smartkarma-citation="entities:19029:1" rel="noopener">Ecopro Co</a> and <a href="https://www.smartkarma.com/entities/kum-yang-co-ltd" target="_blank" data-smartkarma-citation="entities:10364:1" rel="noopener">Kum Yang</a> while foreign investors have been buyers in <a href="https://www.smartkarma.com/entities/jyp-entertainment-corp" target="_blank" data-smartkarma-citation="entities:17598:1" rel="noopener">Jyp Entertainment</a>, <a href="https://www.smartkarma.com/entities/daewoo-shipbuilding-marine-engineering" target="_blank" data-smartkarma-citation="entities:12531:1" rel="noopener">Hanwha Ocean</a>, <a href="https://www.smartkarma.com/entities/hanmi-semiconductor-co-ltd" target="_blank" data-smartkarma-citation="entities:15587:1" rel="noopener">Hanmi Semiconductor</a> and <a href="https://www.smartkarma.com/entities/posco-dx-co-ltd" target="_blank" data-smartkarma-citation="entities:5198:1" rel="noopener">Posco DX</a>.</li>
</ul>



Ecopro Co Ltd, Kum Yang, Jyp Entertainment, Hanwha Ocean, Hanmi Semiconductor and Posco DX have all rallied recently and could find their way into global passive portfolios.
There could be liquidity events in some of the stocks as early as the end of the month and there is pre-positioning on a lot of the stocks.
Retail investors have been big buyers in Ecopro Co and Kum Yang while foreign investors have been buyers in Jyp Entertainment, Hanwha Ocean, Hanmi Semiconductor and Posco DX.


Korea - Positioning in Ecopro, Kumyang, JYP Entertainment, Hanwha Ocean, Hanmi Semi, Posco DX

<ul>
<li>We take a look at <a href="https://www.smartkarma.com/entities/ecopro-co-ltd" target="_blank" data-smartkarma-citation="entities:19029:1" rel="noopener">Ecopro Co Ltd (086520 KS)</a>, <a href="https://www.smartkarma.com/entities/kum-yang-co-ltd" target="_blank" data-smartkarma-citation="entities:10364:1" rel="noopener">Kum Yang (001570 KS)</a> and <a href="https://www.smartkarma.com/entities/jyp-entertainment-corp" target="_blank" data-smartkarma-citation="entities:17598:1" rel="noopener">Jyp Entertainment (035900 KS)</a> since they appear to be on investor radars.</li>
<li>Foreign investors have been buyers while retail have been sellers in <a href="https://www.smartkarma.com/entities/ecopro-co-ltd" target="_blank" data-smartkarma-citation="entities:19029:1" rel="noopener">Ecopro Co</a> and <a href="https://www.smartkarma.com/entities/kum-yang-co-ltd" target="_blank" data-smartkarma-citation="entities:10364:1" rel="noopener">Kum Yang</a> over the last month, while foreign investors have continued to buy <a href="https://www.smartkarma.com/entities/jyp-entertainment-corp" target="_blank" data-smartkarma-citation="entities:17598:1" rel="noopener">Jyp Entertainment</a>.</li>
<li>Short interest on all stocks has dropped over the last month, though there has been a recent tick up in shorts on <a href="https://www.smartkarma.com/entities/jyp-entertainment-corp" target="_blank" data-smartkarma-citation="entities:17598:1" rel="noopener">Jyp Entertainment (035900 KS)</a>. </li>
</ul>


We take a look at Ecopro Co Ltd (086520 KS), Kum Yang (001570 KS) and Jyp Entertainment (035900 KS) since they appear to be on investor radars.
Foreign investors have been buyers while retail have been sellers in Ecopro Co and Kum Yang over the last month, while foreign investors have continued to buy Jyp Entertainment.
Short interest on all stocks has dropped over the last month, though there has been a recent tick up in shorts on Jyp Entertainment (035900 KS). 


Korea - A Look at Ecopro, Kumyang & JYP Entertainment

<ul>
<li>The changes to the LQ45/IDX30 were announced last week and will be implemented Monday. The PSE also announced that there would be no changes for the <a href="https://www.smartkarma.com/entities/philippines-stock-exchange-psei-index" target="_blank" data-smartkarma-citation="entities:22912:1" rel="noopener">PCOMP INDEX</a> in August.</li>
<li>There are a bunch of review cutoffs on Monday, most notably for the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a>, <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50 INDEX</a>, the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY</a> family of indices and the KRX New Deal indices.</li>
<li>There were inflows to China focused ETFs and outflows from Taiwan and Korea focused ETFs during the week.</li>
</ul>


The changes to the LQ45/IDX30 were announced last week and will be implemented Monday. The PSE also announced that there would be no changes for the PCOMP INDEX in August.
There are a bunch of review cutoffs on Monday, most notably for the Nikkei 225 (NKY INDEX), STAR50 INDEX, the NIFTY family of indices and the KRX New Deal indices.
There were inflows to China focused ETFs and outflows from Taiwan and Korea focused ETFs during the week.


Index Rebalance & ETF Flow Recap: LQ45/IDX30, FXI, New Deal, KOSPI, KQ150, LG Energy, IN Float, TTMT

South Korea

The KOSPI 200 Index is a capitalization-weighted index of 200 Korean stocks which make up 93% of the total market value of the Korea Stock Exchange. The index was developed with a base value of 100 as of January 3, 1990.

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

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Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

EQD | SPX MONTHLY Proxy Supports for APAC Markets

We propose an analysis of the SP500 MONTHLY, to find MRM support levels to be used as a proxy to predict APAC markets MONTHLY supports.

Nico Rosti

EQD | KOSPI 200 Index WEEKLY Trend Analysis

The KOSPI 200 Index got stuck in a range during the last few weeks, but it may be readying to resume its Bull run. Read the latest Market Reversal...

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Korea - Positioning in Ecopro, Kumyang, JYP Entertainment, Hanwha Ocean, Hanmi Semi, Posco DX

A bunch of Korean stocks have rallied recently amid high volatility and outperformed peers. Potential inclusion in global passive portfolios has...

Brian Freitas

Korea - A Look at Ecopro, Kumyang & JYP Entertainment

Ecopro, JYP and Kumyang stock prices are volatile and a couple are trading sharply higher again today. The price spurts have implications for the...

Brian Freitas

Index Rebalance & ETF Flow Recap: LQ45/IDX30, FXI, New Deal, KOSPI, KQ150, LG Energy, IN Float, TTMT

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)