Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Event-Driven

Taiwan Stock Exchange Weighted Index / Event-Driven

The <a href="https://www.smartkarma.com/entities/taiwan-stock-exchange-weighted-index" target="_blank" data-smartkarma-citation="entities:26056:1" rel="noopener">Taiwan Stock Exchange Weighted Index (TWSE INDEX)</a> is 17.5% higher from its lows a couple of months ago. The margin balance is also at a new high and has risen by nearly US$3bn over the last 2 months.At the same time, short notional has increased by US$3.7bn. Of the increase, only US$470m has come from new shorts being created while the rest is a result of higher stock prices.The <a href="https://www.smartkarma.com/entities/taiwan-stock-exchange-weighted-index" target="_blank" data-smartkarma-citation="entities:26056:1" rel="noopener">Taiwan Stock Exchange Weighted Index (TWSE INDEX)</a> is one of the best performing Asian markets over the last year and could be susceptible to a pullback. The sharp increase in margin balance could lead to an equally sharp unwind that could lead to a repeat of the forced selling in May.With geo-political tensions and the COVID19 variants still around, plus the higher margin balances, we would look to reduce long positions in Taiwan or put appropriate hedges in place to cushion the impact of a sharp selloff in markets.

The Taiwan Stock Exchange Weighted Index (TWSE INDEX) is 17.5% higher from its lows a couple of months ago. The margin balance is also at a new high and has risen by nearly US$3bn over the last 2 months.At the same time, short notional has increased by US$3.7bn. Of the increase, only US$470m has come from new shorts being created while the rest is a result of higher stock prices.The Taiwan Stock Exchange Weighted Index (TWSE INDEX) is one of the best performing Asian markets over the last year and could be susceptible to a pullback. The sharp increase in margin balance could lead to an equally sharp unwind that could lead to a repeat of the forced selling in May.With geo-political tensions and the COVID19 variants still around, plus the higher margin balances, we would look to reduce long positions in Taiwan or put appropriate hedges in place to cushion the impact of a sharp selloff in markets.

Taiwan: TWSE & Margin Balance at New Highs

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Thomas Schroeder

Chart based progressive global trading strategies

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Technical Analysis

Korea Stock Exchange KOSPI 200 / Technical Analysis

Korea's sharp breakdown late last week is the latest market to crack in Asia (following HK and Japan) with USD/KRW bull pressure brewing. A bounce will offer a good selling opportunity this week.Kospi 200 futures were already struggling at the 435/440 B wave top zone (our sell zone) after hugging trendline support in recent weeks. The upside grind and the fact that SEC has been a huge underperform underscores underlying weakness.

Korea's sharp breakdown late last week is the latest market to crack in Asia (following HK and Japan) with USD/KRW bull pressure brewing. A bounce will offer a good selling opportunity this week.Kospi 200 futures were already struggling at the 435/440 B wave top zone (our sell zone) after hugging trendline support in recent weeks. The upside grind and the fact that SEC has been a huge underperform underscores underlying weakness.

Post market close on 2 July, the KRX announced that <a href="https://www.smartkarma.com/entities/mcnex-co-ltd" target="_blank" data-smartkarma-citation="entities:18108:1" rel="noopener">Mcnex Co Ltd (097520 KS)</a> would 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> following the move of the stock from the KOSDAQ market to the KOSPI market.PSK (319660 KS) will be added to the index as a replacement to take the number of constituents back to 150.The changes will be effective after the close of trading on Monday, 5 July.The change will make <a href="https://www.smartkarma.com/entities/mcnex-co-ltd" target="_blank" data-smartkarma-citation="entities:18108:1" rel="noopener">Mcnex Co Ltd (097520 KS)</a> ineligible for short selling while PSK will become eligible for short selling.Given its small market cap compared to its peers from the Information Technology sector, <a href="https://www.smartkarma.com/entities/mcnex-co-ltd" target="_blank" data-smartkarma-citation="entities:18108:1" rel="noopener">Mcnex Co Ltd (097520 KS)</a> will not get inclusion 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>.Passive funds will need to sell nearly 4 days of ADV on <a href="https://www.smartkarma.com/entities/mcnex-co-ltd" target="_blank" data-smartkarma-citation="entities:18108:1" rel="noopener">Mcnex Co Ltd (097520 KS)</a> and buy over 2 days of ADV on PSK.

Post market close on 2 July, the KRX announced that Mcnex Co Ltd (097520 KS) would be deleted from the KOSDAQ 150 Index (KOSDQ150 INDEX) following the move of the stock from the KOSDAQ market to the KOSPI market.PSK (319660 KS) will be added to the index as a replacement to take the number of constituents back to 150.The changes will be effective after the close of trading on Monday, 5 July.The change will make Mcnex Co Ltd (097520 KS) ineligible for short selling while PSK will become eligible for short selling.Given its small market cap compared to its peers from the Information Technology sector, Mcnex Co Ltd (097520 KS) will not get inclusion to the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX).Passive funds will need to sell nearly 4 days of ADV on Mcnex Co Ltd (097520 KS) and buy over 2 days of ADV on PSK.

KOSDAQ150 Index Rebalance: MCNEX Transfers to KOSPI; PSK (319660) Included

On 10 November 2020, <a href="https://www.smartkarma.com/entities/gs-holdings" target="_blank" data-smartkarma-citation="entities:18524:1" rel="noopener">GS Holdings (078930 KS)</a> announced the merger of two of its retail units <a href="https://www.smartkarma.com/entities/gs-retail-co-ltd" target="_blank" data-smartkarma-citation="entities:3867:1" rel="noopener">GS Retail (007070 KS)</a> and <a href="https://www.smartkarma.com/entities/gs-home-shopping-inc" target="_blank" data-smartkarma-citation="entities:3916:1" rel="noopener">GS Home Shopping (028150 KS)</a>. The merger ratio was announced as 4.22 shares of <a href="https://www.smartkarma.com/entities/gs-retail-co-ltd" target="_blank" data-smartkarma-citation="entities:3867:1" rel="noopener">GS Retail (007070 KS)</a> for 1 share of <a href="https://www.smartkarma.com/entities/gs-home-shopping-inc" target="_blank" data-smartkarma-citation="entities:3916:1" rel="noopener">GS Home Shopping (028150 KS)</a>.Last evening, the KRX announced the deletion of <a href="https://www.smartkarma.com/entities/gs-home-shopping-inc" target="_blank" data-smartkarma-citation="entities:3916:1" rel="noopener">GS Home Shopping (028150 KS)</a> 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> and the inclusion of <a href="https://www.smartkarma.com/entities/modetour-network-inc" target="_blank" data-smartkarma-citation="entities:14818:1" rel="noopener">Modetour Network (080160 KS)</a> with the change becoming effective after the close of trading on 28 June.We estimate passive <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> trackers will need to sell 5 days of ADV on <a href="https://www.smartkarma.com/entities/gs-home-shopping-inc" target="_blank" data-smartkarma-citation="entities:3916:1" rel="noopener">GS Home Shopping (028150 KS)</a> while buying 1 day of ADV on <a href="https://www.smartkarma.com/entities/modetour-network-inc" target="_blank" data-smartkarma-citation="entities:14818:1" rel="noopener">Modetour Network (080160 KS)</a>. KRX will increase the number of index shares for <a href="https://www.smartkarma.com/entities/gs-retail-co-ltd" target="_blank" data-smartkarma-citation="entities:3867:1" rel="noopener">GS Retail (007070 KS)</a> in 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> at the same time and passive trackers will need to buy 0.7 days of ADV on the stock.The <a href="https://www.smartkarma.com/entities/gs-retail-co-ltd" target="_blank" data-smartkarma-citation="entities:3867:1" rel="noopener">GS Retail (007070 KS)</a> / <a href="https://www.smartkarma.com/entities/gs-home-shopping-inc" target="_blank" data-smartkarma-citation="entities:3916:1" rel="noopener">GS Home Shopping (028150 KS)</a> spread will be interesting at the close on 28 June and there will be opportunities to unwind existing positions or to initiate new positions.

On 10 November 2020, GS Holdings (078930 KS) announced the merger of two of its retail units GS Retail (007070 KS) and GS Home Shopping (028150 KS). The merger ratio was announced as 4.22 shares of GS Retail (007070 KS) for 1 share of GS Home Shopping (028150 KS).Last evening, the KRX announced the deletion of GS Home Shopping (028150 KS) from the KOSDAQ 150 Index (KOSDQ150 INDEX) and the inclusion of Modetour Network (080160 KS) with the change becoming effective after the close of trading on 28 June.We estimate passive KOSDAQ 150 Index (KOSDQ150 INDEX) trackers will need to sell 5 days of ADV on GS Home Shopping (028150 KS) while buying 1 day of ADV on Modetour Network (080160 KS). KRX will increase the number of index shares for GS Retail (007070 KS) in the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) at the same time and passive trackers will need to buy 0.7 days of ADV on the stock.The GS Retail (007070 KS) / GS Home Shopping (028150 KS) spread will be interesting at the close on 28 June and there will be opportunities to unwind existing positions or to initiate new positions.

KOSDAQ150 Index Rebalance: Modetour to Replace GS Home Shopping; GS Retail Weight Increase in KOSPI2

The KRX will announce the results of the September review of the BBIG indices in August and the changes will become effective after the close of trading on 9 September.The BBIG (secondary Battery, Bio, Internet and Gaming sectors) indices were launched late last year. ETFs were subsequently launched on the 5 indices and the BBIG ETF and the Secondary Battery ETF have gathered a significant amount of assets since then.At the September rebalance we expect the following changes:<ul>
<li>Secondary Battery ETF: <a href="https://www.smartkarma.com/entities/sk-ie-technology" target="_blank" data-smartkarma-citation="entities:29207:1" rel="noopener">SK IE Technology (361610 KS)</a> replaces <a href="https://www.smartkarma.com/entities/chunbo-co-ltd" target="_blank" data-smartkarma-citation="entities:27848:1" rel="noopener">Chunbo Co Ltd (278280 KS)</a>
</li>
<li>Bio ETF: <a href="https://www.smartkarma.com/entities/sk-bioscience-co-ltd" target="_blank" data-smartkarma-citation="entities:31484:1" rel="noopener">SK Bioscience (302440 KS)</a> joins the index and the top 3 stocks. This moves <a href="https://www.smartkarma.com/entities/sk-biopharmaceuticals-co-ltd" target="_blank" data-smartkarma-citation="entities:28966:1" rel="noopener">SK Biopharmaceuticals Co Ltd (326030 KS)</a> to the plus group; <a href="https://www.smartkarma.com/entities/hanmi-pharm-co-ltd" target="_blank" data-smartkarma-citation="entities:12476:1" rel="noopener">Hanmi Pharm (128940 KS)</a> joins the index and <a href="https://www.smartkarma.com/entities/seegene-inc" target="_blank" data-smartkarma-citation="entities:11483:1" rel="noopener">Seegene Inc (096530 KS)</a> and <a href="https://www.smartkarma.com/entities/green-cross-corp" target="_blank" data-smartkarma-citation="entities:2969:1" rel="noopener">Green Cross (006280 KS)</a> are deleted.</li>
<li>Internet ETF: <a href="https://www.smartkarma.com/entities/kg-inicis-co-ltd" target="_blank" data-smartkarma-citation="entities:5234:1" rel="noopener">KG Inicis Co Ltd (035600 KS)</a> replaces <a href="https://www.smartkarma.com/entities/rsupport-co-ltd" target="_blank" data-smartkarma-citation="entities:14783:1" rel="noopener">Rsupport Co Ltd (131370 KS)</a> </li>
<li>Game ETF: <a href="https://www.smartkarma.com/entities/devsisters-co-ltd" target="_blank" data-smartkarma-citation="entities:14096:1" rel="noopener">Devsisters (194480 KS)</a> replaces <a href="https://www.smartkarma.com/entities/neptune-company" target="_blank" data-smartkarma-citation="entities:28826:1" rel="noopener">Neptune Company (217270 KS)</a>.</li>
<li>BBIG ETF: <a href="https://www.smartkarma.com/entities/sk-bioscience-co-ltd" target="_blank" data-smartkarma-citation="entities:31484:1" rel="noopener">SK Bioscience (302440 KS)</a> replaces <a href="https://www.smartkarma.com/entities/sk-biopharmaceuticals-co-ltd" target="_blank" data-smartkarma-citation="entities:28966:1" rel="noopener">SK Biopharmaceuticals Co Ltd (326030 KS)</a> </li>
</ul>There could be more interesting changes if <a href="https://www.smartkarma.com/entities/krafton-inc" target="_blank" data-smartkarma-citation="entities:28956:1" rel="noopener"> Krafton Inc (1486402D KS)</a> lists before end July as expected.The first rebalance of the index took place in February this year and the inclusions outperformed the exclusions by nearly 8% between announcement of the changes and implementation. So this rebalance is something worth looking at.

The KRX will announce the results of the September review of the BBIG indices in August and the changes will become effective after the close of trading on 9 September.The BBIG (secondary Battery, Bio, Internet and Gaming sectors) indices were launched late last year. ETFs were subsequently launched on the 5 indices and the BBIG ETF and the Secondary Battery ETF have gathered a significant amount of assets since then.At the September rebalance we expect the following changes:
Secondary Battery ETF: SK IE Technology (361610 KS) replaces Chunbo Co Ltd (278280 KS)

Bio ETF: SK Bioscience (302440 KS) joins the index and the top 3 stocks. This moves SK Biopharmaceuticals Co Ltd (326030 KS) to the plus group; Hanmi Pharm (128940 KS) joins the index and Seegene Inc (096530 KS) and Green Cross (006280 KS) are deleted.
Internet ETF: KG Inicis Co Ltd (035600 KS) replaces Rsupport Co Ltd (131370 KS) 
Game ETF: Devsisters (194480 KS) replaces Neptune Company (217270 KS).
BBIG ETF: SK Bioscience (302440 KS) replaces SK Biopharmaceuticals Co Ltd (326030 KS) 
There could be more interesting changes if  Krafton Inc (1486402D KS) lists before end July as expected.The first rebalance of the index took place in February this year and the inclusions outperformed the exclusions by nearly 8% between announcement of the changes and implementation. So this rebalance is something worth looking at.

KRX BBIG Index Rebalance Preview: Worth a Look

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)

Taiwan: TWSE & Margin Balance at New Highs

The TWSE and margin balances are both at a new high. With geo-political concerns and COVID-19 still major factors, we would look to lower long...

Brian Freitas

Korea - The Latest to Crack

Korea's sharp breakdown late last week is the latest market to crack in Asia (following HK and Japan) with USD/KRW bull pressure brewing. A bounce...

Thomas Schroeder

KOSDAQ150 Index Rebalance: MCNEX Transfers to KOSPI; PSK (319660) Included

PSK (319660) will replace MCNEX (097520) in the KQ150 at the close on 5 July following MCNEX's transfer to the KOSPI market. Passive buying of 2+...

Brian Freitas

KOSDAQ150 Index Rebalance: Modetour to Replace GS Home Shopping; GS Retail Weight Increase in KOSPI2

Modetour will replace GS Home Shopping in the KOSDAQ150 at the close on 28 June. GS Retail's shares in the KOSPI200 will be increased at the same...

Brian Freitas

KRX BBIG Index Rebalance Preview: Worth a Look

There are lots of changes expected to the KRX BBIG indices at the September review. With a large amount of assets tracking the indices, some of the...

Brian Freitas

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