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>Following <a href="https://www.smartkarma.com/entities/sk-oceanplant-co-ltd" target="_blank" data-smartkarma-citation="entities:7263:1" rel="noopener">SK Oceanplant (100090 KS)</a> moving from the KOSDAQ to KOSPI Market, the stock 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> and replaced with <a href="https://www.smartkarma.com/entities/sun-kwang-co-ltd" target="_blank" data-smartkarma-citation="entities:5703:1" rel="noopener">Sun Kwang (003100 KS)</a>.</li>
<li>The change will be implemented at the close on 18 April and passive trackers will need to trade over 1x ADV on both stocks.</li>
<li>
<a href="https://www.smartkarma.com/entities/sun-kwang-co-ltd" target="_blank" data-smartkarma-citation="entities:5703:1" rel="noopener">Sun Kwang (003100 KS)</a> was a high probability index inclusion in June, so this brings forward the inclusion by a couple of months.</li>
</ul>


Following SK Oceanplant (100090 KS) moving from the KOSDAQ to KOSPI Market, the stock will be deleted from the KOSDAQ 150 Index and replaced with Sun Kwang (003100 KS).
The change will be implemented at the close on 18 April and passive trackers will need to trade over 1x ADV on both stocks.

Sun Kwang (003100 KS) was a high probability index inclusion in June, so this brings forward the inclusion by a couple of months.


KOSDAQ150 Ad Hoc Index Rebalance: Sun Kwang (003100) To Replace SK Oceanplant (100090)

Quantitative Analysis

<ul>
<li>Total short interest in Hong Kong is HK$435.1bn, marginally higher from end-December. Short notional has moved in line with the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hong Kong Hang Seng Index (HSI INDEX)</a>. </li>
<li>Total short notional of the KOSPI and KOSDAQ market has moved up since end-December and is in line with the move higher 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">KOSPI2 INDEX</a> and <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index</a>.</li>
<li>Short notional in Taiwan is lower over the quarter even as the <a href="https://www.smartkarma.com/entities/taiwan-stock-exchange-weighted-index" target="_blank" data-smartkarma-citation="entities:26056:1" rel="noopener">TWSE INDEX</a> has moved higher over the period. There has been big short covering on some stocks.</li>
</ul>


Total short interest in Hong Kong is HK$435.1bn, marginally higher from end-December. Short notional has moved in line with the Hong Kong Hang Seng Index (HSI INDEX). 
Total short notional of the KOSPI and KOSDAQ market has moved up since end-December and is in line with the move higher in the KOSPI2 INDEX and KOSDAQ 150 Index.
Short notional in Taiwan is lower over the quarter even as the TWSE INDEX has moved higher over the period. There has been big short covering on some stocks.


Short Interest Movements (Q1 2023): HK, Korea, Taiwan, Australia

<ul>
<li>Following <a href="https://www.smartkarma.com/entities/cellivery-therapeutics" target="_blank" data-smartkarma-citation="entities:35612:1" rel="noopener">Cellivery Therapeutics (268600 KS)</a> designation as an Administrative Issue and an Investment Attention Issue, the stock 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> and replaced with Humasis (205470 KS).</li>
<li>The timing of the index change is currently uncertain but will be implemented latest by the close of trading on 17 April.</li>
<li>Humasis (205470 KS) was limit up on Friday following the ex-date of a 1:3 scrip issue. The stock could continue to move higher over the next week.</li>
</ul>


Following Cellivery Therapeutics (268600 KS) designation as an Administrative Issue and an Investment Attention Issue, the stock will be deleted from the KOSDAQ 150 Index and replaced with Humasis (205470 KS).
The timing of the index change is currently uncertain but will be implemented latest by the close of trading on 17 April.
Humasis (205470 KS) was limit up on Friday following the ex-date of a 1:3 scrip issue. The stock could continue to move higher over the next week.


KOSDAQ150 Ad Hoc Index Rebalance: Humasis (205470 KS) To Replace Cellivery (268600 KS)

<ul>
<li>Following <a href="https://www.smartkarma.com/entities/nanos-co-ltd" target="_blank" data-smartkarma-citation="entities:16796:1" rel="noopener">Nanos Co Ltd (151910 KS)</a>'s designation as an Investment Attention Issue, the stock 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">KOSDAQ150 Index</a> and replaced with <a href="https://www.smartkarma.com/entities/em-tech-co-ltd" target="_blank" data-smartkarma-citation="entities:13531:1" rel="noopener">Em Tech Co Ltd (091120 KS)</a>.</li>
<li>Passive trackers are estimated to buy 1.3 days of ADV on <a href="https://www.smartkarma.com/entities/em-tech-co-ltd" target="_blank" data-smartkarma-citation="entities:13531:1" rel="noopener">Em Tech Co (091120 KS)</a> while they will need to sell 1.1 days of ADV on <a href="https://www.smartkarma.com/entities/nanos-co-ltd" target="_blank" data-smartkarma-citation="entities:16796:1" rel="noopener">Nanos (151910 KS)</a>.</li>
<li>
<a href="https://www.smartkarma.com/entities/em-tech-co-ltd" target="_blank" data-smartkarma-citation="entities:13531:1" rel="noopener">Em Tech Co Ltd (091120 KS)</a> was up yesterday but the stock is still way off its highs. The stock should trade higher over the next few days.</li>
</ul>


Following Nanos Co Ltd (151910 KS)'s designation as an Investment Attention Issue, the stock will be deleted from the KOSDAQ150 Index and replaced with Em Tech Co Ltd (091120 KS).
Passive trackers are estimated to buy 1.3 days of ADV on Em Tech Co (091120 KS) while they will need to sell 1.1 days of ADV on Nanos (151910 KS).

Em Tech Co Ltd (091120 KS) was up yesterday but the stock is still way off its highs. The stock should trade higher over the next few days.


KOSDAQ150 Ad Hoc Index Rebalance: EM-Tech (091120 KS) To Replace SBW Life (151910 KS)

<ul>
<li>Following <a href="https://www.smartkarma.com/entities/kuk-il-paper-mfg-co-ltd" target="_blank" data-smartkarma-citation="entities:12706:1" rel="noopener">Kuk Il Paper Mfg (078130 KS)</a>'s designation as an Administrative Issue, the stock 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> and replaced with Lake Materials (281740 KS).</li>
<li>The timing of the index change is currently uncertain but will be implemented latest by the close of trading on 6 April.</li>
<li>Lake Materials (281740 KS) was up today and is nearing its highs. There could be another leg higher on the inclusion but we'd be wary of chasing the stock higher.</li>
</ul>


Following Kuk Il Paper Mfg (078130 KS)'s designation as an Administrative Issue, the stock will be deleted from the KOSDAQ 150 Index and replaced with Lake Materials (281740 KS).
The timing of the index change is currently uncertain but will be implemented latest by the close of trading on 6 April.
Lake Materials (281740 KS) was up today and is nearing its highs. There could be another leg higher on the inclusion but we'd be wary of chasing the stock higher.


KOSDAQ150 Ad Hoc Index Rebalance: Lake Materials (281740) To Replace Kuk Il Paper (078130)

South Korea

KOSDAQ 150 Index is a base index for futures trading to hedge risks in KOSDAQ market. Base period and base index : Jan 4, 2010, 1,000p

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KOSDAQ 150 Index (KOSDQ150 INDEX EQUITY)

KOSDAQ150 Ad Hoc Index Rebalance: Sun Kwang (003100) To Replace SK Oceanplant (100090)

Following SK Oceanplant (100090 KS) moving from the KOSDAQ to KOSPI Market, the stock will be deleted from the KOSDAQ 150 Index and replaced with...

Brian Freitas

Short Interest Movements (Q1 2023): HK, Korea, Taiwan, Australia

The Insight looks at movements in short interest across HK, Korea, Taiwan and Australia stocks over Q1 and highlights large increases/decreases in...

Brian Freitas

KOSDAQ150 Ad Hoc Index Rebalance: Humasis (205470 KS) To Replace Cellivery (268600 KS)

Humasis replaces Cellivery in the KOSDAQ150 Index - the timing of the change is currently uncertain. Humasis was a potential add in June - the...

Brian Freitas

KOSDAQ150 Ad Hoc Index Rebalance: EM-Tech (091120 KS) To Replace SBW Life (151910 KS)

Following SBW Life's designation as an Investment Attention Issue, the stock will be deleted from the KOSDAQ150 and replaced with Em Tech. Change...

Brian Freitas

KOSDAQ150 Ad Hoc Index Rebalance: Lake Materials (281740) To Replace Kuk Il Paper (078130)

Lake Materials (281740) replaces Kuk Il Paper (078130) in the KOSDAQ150 Index - the timing of the change is currently uncertain. Lake Materials is...

Brian Freitas

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