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>Around a third of the way though the review period, there could be 4 changes 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 December rebalance.</li>
<li>The impact on the potential inclusions ranges from 0.6-21 days of ADV while the impact on the potential deletions varies from 2.5-16 days of ADV.</li>
<li>The potential adds have outperformed the potential deletions over the last few months and there could be more to go with short selling banned.</li>
</ul>


Around a third of the way though the review period, there could be 4 changes for the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) at the December rebalance.
The impact on the potential inclusions ranges from 0.6-21 days of ADV while the impact on the potential deletions varies from 2.5-16 days of ADV.
The potential adds have outperformed the potential deletions over the last few months and there could be more to go with short selling banned.


KOSPI200 Index Rebalance Preview: 4 Changes Likely in December

<ul>
<li>The review period for the September rebalance of the KOSPI Size Indices will run from 1 June to 31 August.</li>
<li>We see 6 migrations from MidCap to LargeCap, 1 new addition to LargeCap, 6 stocks moving from SmallCap to MidCap and 3 new additions to MidCap.</li>
<li>Stocks migrating upward have outperformed stocks migrating lower. But there are still stocks trading at a Price to Book of less than 1.</li>
</ul>


The review period for the September rebalance of the KOSPI Size Indices will run from 1 June to 31 August.
We see 6 migrations from MidCap to LargeCap, 1 new addition to LargeCap, 6 stocks moving from SmallCap to MidCap and 3 new additions to MidCap.
Stocks migrating upward have outperformed stocks migrating lower. But there are still stocks trading at a Price to Book of less than 1.


KOSPI Size Indices: Potential Migrations in September Are Moving

<ul>
<li>The <a href="https://www.smartkarma.com/entities/mirae-asset-tiger-top-10-etf" target="_blank" data-smartkarma-citation="entities:36042:1" rel="noopener">Mirae Asset Tiger Top 10 ETF (292150 KS)</a> tracks the FnGuide Top 10 Index and has an AUM of around US$1.2bn.</li>
<li>We currently forecast two potential changes at the next rebalance in June - one change is high probability while one could change depending on price moves over the next week.</li>
<li>The trade has performed well historically with positive performance till implementation followed by reversion post implementation.</li>
</ul>


The Mirae Asset Tiger Top 10 ETF (292150 KS) tracks the FnGuide Top 10 Index and has an AUM of around US$1.2bn.
We currently forecast two potential changes at the next rebalance in June - one change is high probability while one could change depending on price moves over the next week.
The trade has performed well historically with positive performance till implementation followed by reversion post implementation.


FnGuide Top10 Index Rebalance Preview: Two Changes Possible in June

Oil and Gas, Mint Finance

Suhas Reddy

Oil and Gas

Deep Fundamental Analysis

Mint Finance

Mint Finance's investment research blends deep fundamental analysis with technical & quant insights. Investment strategies straddle across multiple asset classes with risk management embedded into every trade to deliver an outsized reward-to-risk ratio.

Mint Finance's research is centered around three key themes. First, energy transition and climate change. Second, artificial intelligence. Third, shifting world order with its impact across politics and monetary economics.

Macroeconomics

<ul>
<li>Although the Fed paused rate hikes in July 2023, the dollar remained strong buoyed by the US economy outperforming other advanced economies.  </li>
<li>A strong dollar usually benefits domestic businesses and small caps but hurts export-focused companies and large caps in the US.</li>
<li>The current account deficits of emerging nations have been worsening due to the strong dollar and rising energy prices.</li>
</ul>


Although the Fed paused rate hikes in July 2023, the dollar remained strong buoyed by the US economy outperforming other advanced economies.  
A strong dollar usually benefits domestic businesses and small caps but hurts export-focused companies and large caps in the US.
The current account deficits of emerging nations have been worsening due to the strong dollar and rising energy prices.


Dominant Dollar (Part 1): Strong Greenback Deters EM Equities

HD Hyundai Marine Solution  / Event-Driven

<ul>
<li>After a 96.5% gain on listing day, <a href="https://www.smartkarma.com/entities/hd-hyundai-marine-solution-co" target="_blank" data-smartkarma-citation="entities:41002:1" rel="noopener">HD Hyundai Marine Solution (443060 KS)</a> is very close to levels needed for <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> inclusion in June.</li>
<li>
<a href="https://www.smartkarma.com/entities/hd-hyundai-marine-solution-co" target="_blank" data-smartkarma-citation="entities:41002:1" rel="noopener">HD Hyundai Marine Solution</a> needs to outperform the 50th ranked stock in the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI2 INDEX</a> by 11.4% on average over the next 15 trading days to be added to the index.</li>
<li>Retail investors sold 25% of their allocation on listing day while foreign investors sold 22% of their IPO allocation with local institutions mopping up the shares.</li>
</ul>


After a 96.5% gain on listing day, HD Hyundai Marine Solution (443060 KS) is very close to levels needed for Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) inclusion in June.

HD Hyundai Marine Solution needs to outperform the 50th ranked stock in the KOSPI2 INDEX by 11.4% on average over the next 15 trading days to be added to the index.
Retail investors sold 25% of their allocation on listing day while foreign investors sold 22% of their IPO allocation with local institutions mopping up the shares.


HD Hyundai Marine Solution (443060 KS): Nearing KOSPI200 Index Inclusion in June

South Korea

The KOSPI Index is a capitalization-weighted index of all common shares on the Korean Stock Exchanges. The Index was developed with a base value of 100 as of January 4, 1980. Note: The preferred shares are excluded in calculating the KOSPI Index from June 14, 2002. 

Korea Stock Exchange Kospi Index (KOSPI INDEX)

Korea Stock Exchange Kospi Index (KOSPI INDEX)

KOSPI200 Index Rebalance Preview: 4 Changes Likely in December

There could be 4 changes for the KOSPI200 in December. The impact on the potential inclusions ranges from 0.6-21 days of ADV while the impact on...

Brian Freitas

KOSPI Size Indices: Potential Migrations in September Are Moving

There are many changes expected for the KOSPI size indices in September. The potential upward migrations have outperformed the potential downward...

Brian Freitas

FnGuide Top10 Index Rebalance Preview: Two Changes Possible in June

There could be two changes for the FnGuide Top 10 Index in June. Historically, the adds have outperformed the deletes pre-implementation and there...

Brian Freitas

Dominant Dollar (Part 1): Strong Greenback Deters EM Equities

The strong dollar post-Fed rate pause in July 2023 benefits US economy but hurts export-focused businesses and emerging nations' current account...

Mint Finance

HD Hyundai Marine Solution (443060 KS): Nearing KOSPI200 Index Inclusion in June

A 96.5% rally on listing day as retail and foreign investors sold and domestic instis bought. The stock is now ~11% away from KOSPI200 inclusion in...

Brian Freitas

KOSPI200 Index Rebalance Preview: 4 Changes Likely in December

There could be 4 changes for the KOSPI200 in December. The impact on the potential inclusions ranges from 0.6-21 days of ADV while the impact on...

Brian Freitas

KOSPI Size Indices: Potential Migrations in September Are Moving

There are many changes expected for the KOSPI size indices in September. The potential upward migrations have outperformed the potential downward...

Brian Freitas

FnGuide Top10 Index Rebalance Preview: Two Changes Possible in June

There could be two changes for the FnGuide Top 10 Index in June. Historically, the adds have outperformed the deletes pre-implementation and there...

Brian Freitas

Dominant Dollar (Part 1): Strong Greenback Deters EM Equities

​The strong dollar post-Fed rate pause in July 2023 benefits US economy but hurts export-focused businesses and emerging nations' current account...

Mint Finance

HD Hyundai Marine Solution (443060 KS): Nearing KOSPI200 Index Inclusion in June

A 96.5% rally on listing day as retail and foreign investors sold and domestic instis bought. The stock is now ~11% away from KOSPI200 inclusion in...

Brian Freitas

The strong dollar post-Fed rate pause in July 2023 benefits US economy but hurts export-focused businesses and emerging nations' current account...