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>With the review period complete, we see 1 high probability change and 1 lower probability change for the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200-index" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX)</a> in December.</li>
<li>We estimate passive trackers will need to trade over 10 days of ADV on the high probability names. There are indications that there are pre-positions built on the stocks.</li>
<li>With short-sell eligibility flipping post implementation of the changes, a lot of pre-positions will be unwound prior to implementation and there will be trading opportunities on the reverse side.</li>
</ul>


With the review period complete, we see 1 high probability change and 1 lower probability change for the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) in December.
We estimate passive trackers will need to trade over 10 days of ADV on the high probability names. There are indications that there are pre-positions built on the stocks.
With short-sell eligibility flipping post implementation of the changes, a lot of pre-positions will be unwound prior to implementation and there will be trading opportunities on the reverse side.


KOSPI200 Index Rebalance Preview: Potential Changes, Excess Volumes & Pre-Positioning

<ul>
<li>Following its planned section transfer, <a href="https://www.smartkarma.com/entities/lx-semicon-co-ltd" target="_blank" data-smartkarma-citation="entities:20670:1" rel="noopener">LX Semicon (108320 KS)</a> 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</a> at the close on 2 November and replaced by <a href="https://www.smartkarma.com/entities/nextin-inc" target="_blank" data-smartkarma-citation="entities:36097:1" rel="noopener">Nextin (348210 KS)</a>.</li>
<li>Passive trackers will need to buy over 4.5 days of ADV on <a href="https://www.smartkarma.com/entities/nextin-inc" target="_blank" data-smartkarma-citation="entities:36097:1" rel="noopener">Nextin (348210 KS)</a> and sell over 1.5 days of ADV on <a href="https://www.smartkarma.com/entities/lx-semicon-co-ltd" target="_blank" data-smartkarma-citation="entities:20670:1" rel="noopener">LX Semicon (108320 KS)</a>. </li>
<li>Belonging to the Information Technology sector, there is zero chance of <a href="https://www.smartkarma.com/entities/lx-semicon-co-ltd" target="_blank" data-smartkarma-citation="entities:20670:1" rel="noopener">LX Semicon (108320 KS)</a> being added to the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200-index" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX)</a>.</li>
</ul>


Following its planned section transfer, LX Semicon (108320 KS) will be deleted from the KOSDAQ 150 Index at the close on 2 November and replaced by Nextin (348210 KS).
Passive trackers will need to buy over 4.5 days of ADV on Nextin (348210 KS) and sell over 1.5 days of ADV on LX Semicon (108320 KS). 
Belonging to the Information Technology sector, there is zero chance of LX Semicon (108320 KS) being added to the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX).


KOSDAQ150 Ad Hoc Index Rebalance: LX Semicon OUT, Nextin IN

Chart based progressive global trading strategies, Chart Partners

Thomas Schroeder

Chart based progressive global trading strategies

Chart Partners

Chart Partners objective is to discover medium-term cycle turns and profit opportunities before they unfold, within structural trends while preserving capital with clear degrees of risk. We have real return ideas. 

Markets are dynamic and trading systems must reflect this. It is crucial to determine underlying correlations and lead-lag relationships within global markets and the impact on linked instruments. Our weekly Chartonics product gives you short-term trading strategies that can be applied within the medium and longer term macro trends that are mapped out in our strategy updates. 

Our methodology fuses global market variables and isolates drivers in trends. We specialize in FX, index trade in NY and Asia with a focus on Asian stocks. 

Technical Analysis

Korea Stock Exchange KOSPI 200 / Technical Analysis

<ul>
<li>October 18th we reduced our long basket (SPX, NKY, ASX, SX5E) and added back to our short basket (NDX, DAX, HSI, Taiwan, Kospi) for a final leg down/new lows.</li>
<li>We recommend adding to our short group on upticks into Friday ahead of a harder swoon lower next week and into our cycle low date near October 30th.</li>
<li>Our long basket is showing relative strength outside of the SPX and a key alignment we are monitoring to market the upcoming risk cycle low near Oct 30.</li>
</ul>


October 18th we reduced our long basket (SPX, NKY, ASX, SX5E) and added back to our short basket (NDX, DAX, HSI, Taiwan, Kospi) for a final leg down/new lows.
We recommend adding to our short group on upticks into Friday ahead of a harder swoon lower next week and into our cycle low date near October 30th.
Our long basket is showing relative strength outside of the SPX and a key alignment we are monitoring to market the upcoming risk cycle low near Oct 30.


<ul>
<li>90% of the way through the review period of the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200-index" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Kospi 200 Index</a> December rebalance, we see two potential changes to the index. There is another potential inclusion failing liquidity.</li>
<li>This rebalance is expected to have the lowest turnover as compared to any of the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200-index" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Kospi 200 Index</a> rebalances over the last few years. Partly lower markets, partly no IPOs.</li>
<li>That said, passive trackers are estimated to need to trade over 10 days of ADV on one of the potential adds and both potential deletes.</li>
</ul>


90% of the way through the review period of the Kospi 200 Index December rebalance, we see two potential changes to the index. There is another potential inclusion failing liquidity.
This rebalance is expected to have the lowest turnover as compared to any of the Kospi 200 Index rebalances over the last few years. Partly lower markets, partly no IPOs.
That said, passive trackers are estimated to need to trade over 10 days of ADV on one of the potential adds and both potential deletes.


KOSPI200 Index Rebalance Preview: Few Changes, Big Impact

<ul>
<li>Our top short bets in Asia (HSI, Taiwan, Korea) show risk of breaking to new lows. The RTY breaks gives the bear trade another leg down.</li>
<li>Our relative perform longs (STI and SET 50) are due to drift to support but holding up well. USD is breaking to new highs with momentum.</li>
<li>Asian markets that have held up are now at risk of late-stage capitulation - ASX, Nifty and NKY.</li>
</ul>


Our top short bets in Asia (HSI, Taiwan, Korea) show risk of breaking to new lows. The RTY breaks gives the bear trade another leg down.
Our relative perform longs (STI and SET 50) are due to drift to support but holding up well. USD is breaking to new highs with momentum.
Asian markets that have held up are now at risk of late-stage capitulation - ASX, Nifty and NKY.


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)

KOSPI200 Index Rebalance Preview: Potential Changes, Excess Volumes & Pre-Positioning

There could be 2 changes to the KOSPI200 in December. Passive trackers will need to trade over 10x ADV on a few stocks. Excess volume & short...

Brian Freitas

KOSDAQ150 Ad Hoc Index Rebalance: LX Semicon OUT, Nextin IN

Nextin will replace LX Semicon in the KOSDAQ150 Index at the close on 2 Nov. Passives need to buy over 4.5x ADV on Nextin and sell over 1.5x ADV on...

Brian Freitas

Asia Short Group Undershoot Targets

October 18th we reduced our long basket (SPX, NKY, ASX, SX5E) and added back to our short basket (NDX, DAX, HSI, Taiwan, Kospi) for a final leg...

Thomas Schroeder

KOSPI200 Index Rebalance Preview: Few Changes, Big Impact

There should be two changes at the December rebalance. There could be a third if the stock passes the liquidity test. Passive trackers are...

Brian Freitas

Asia Top Short Update

Our top short bets in Asia (HSI, Taiwan, Korea) show risk of breaking to new lows. The RTY breaks gives the bear trade another leg down. ASX,...

Thomas Schroeder

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)