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>There will be 2 additions and 2 deletions 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> at the June rebalance that will be implemented on 8 June.</li>
<li>
<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/cosmochemical-co-ltd" target="_blank" data-smartkarma-citation="entities:3747:1" rel="noopener">Cosmochemical (005420 KS)</a>, both high probability names, are inclusions while <a href="https://www.smartkarma.com/entities/hwaseung-enterprise-co-ltd" target="_blank" data-smartkarma-citation="entities:35611:1" rel="noopener">Hwaseung Enterprise (241590 KS)</a> and <a href="https://www.smartkarma.com/entities/dongwon-industries-co-ltd" target="_blank" data-smartkarma-citation="entities:1783:1" rel="noopener">Dongwon Industries (006040 KS)</a> are deletions.</li>
<li>Not surpisingly, there is almost no short interest on the adds. Short interest on the deletes is higher and rising. Expect short covering on the deletes prior to implementation.</li>
</ul>


There will be 2 additions and 2 deletions for the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) at the June rebalance that will be implemented on 8 June.

Kum Yang (001570 KS) and Cosmochemical (005420 KS), both high probability names, are inclusions while Hwaseung Enterprise (241590 KS) and Dongwon Industries (006040 KS) are deletions.
Not surpisingly, there is almost no short interest on the adds. Short interest on the deletes is higher and rising. Expect short covering on the deletes prior to implementation.


KOSPI200 Index Rebalance: Two Sets of Changes

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

<ul>
<li>Key insiders at Seoul City Gas (017390 KS) and Daou Data Corp (032190 KS) sold their shares before the recent crash.</li>
<li>On 28 April, it was reported that Kim Young-Min (Seoul City Gas Chairman) sold 2% of Seoul City Gas on 20 April, resulting in net sales of 45.7 billion won.</li>
<li>These Korean companies are two of the eight stocks related to the CFD derivatives sell-down that have been crashing in the past week. </li>
</ul>


Key insiders at Seoul City Gas (017390 KS) and Daou Data Corp (032190 KS) sold their shares before the recent crash.
On 28 April, it was reported that Kim Young-Min (Seoul City Gas Chairman) sold 2% of Seoul City Gas on 20 April, resulting in net sales of 45.7 billion won.
These Korean companies are two of the eight stocks related to the CFD derivatives sell-down that have been crashing in the past week. 


Insiders At Seoul City Gas and Daou Data Corp Sell Shares Before the Crash

<ul>
<li>The reduction of credit loans by Korea Investment &amp; Securities and Kiwoom Securities in the past week may have accelerated unwinding of positions of 8 stocks related to CFD selling.  </li>
<li>The balance of credit loans for KOSPI increased 12.7% YTD. On the other hand, the balance of credit loans for KOSDAQ increased by 36.1% YTD. </li>
<li>As local securities companies further reduce credit loans and regulators also restrict CFD related leverage, a sound pair trade could be to go long KOSPI 200 and short KOSDAQ 150. </li>
</ul>


The reduction of credit loans by Korea Investment &amp; Securities and Kiwoom Securities in the past week may have accelerated unwinding of positions of 8 stocks related to CFD selling.  
The balance of credit loans for KOSPI increased 12.7% YTD. On the other hand, the balance of credit loans for KOSDAQ increased by 36.1% YTD. 
As local securities companies further reduce credit loans and regulators also restrict CFD related leverage, a sound pair trade could be to go long KOSPI 200 and short KOSDAQ 150. 


Korea Investment & Securities' Suspension of Credit Loans for Stock Purchases - The Trigger Event?

<ul>
<li>With 3 trading days left in the review period for the June rebalance, we see 8 potential changes and 2 close adds for 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>. </li>
<li>There are two potential transfers from the KOSDAQ Market to KOSPI Market that could lead to more changes in May and/or June.</li>
<li>Nearly all potential deletions are trading near their lows and short interest has been increasing on some of the stocks. That will be covered closer to implementation of the rebalance.</li>
</ul>


With 3 trading days left in the review period for the June rebalance, we see 8 potential changes and 2 close adds for the KOSDAQ 150 Index (KOSDQ150 INDEX). 
There are two potential transfers from the KOSDAQ Market to KOSPI Market that could lead to more changes in May and/or June.
Nearly all potential deletions are trading near their lows and short interest has been increasing on some of the stocks. That will be covered closer to implementation of the rebalance.


KOSDAQ150 Index Rebalance Preview: Adds Starting to Crack (After Huge Outperformance)

<ul>
<li>With 4 trading days left in the review period, we see three potential changes 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 June.</li>
<li>
<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>, <a href="https://www.smartkarma.com/entities/cosmochemical-co-ltd" target="_blank" data-smartkarma-citation="entities:3747:1" rel="noopener">Cosmochemical (005420 KS)</a> and <a href="https://www.smartkarma.com/entities/youlchon-chemical-co-ltd" target="_blank" data-smartkarma-citation="entities:2649:1" rel="noopener">Youlchon Chemical (008730 KS)</a> could replace <a href="https://www.smartkarma.com/entities/dongwon-industries-co-ltd" target="_blank" data-smartkarma-citation="entities:1783:1" rel="noopener">Dongwon Industries (006040 KS)</a>, <a href="https://www.smartkarma.com/entities/hwaseung-enterprise-co-ltd" target="_blank" data-smartkarma-citation="entities:35611:1" rel="noopener">Hwaseung Enterprise (241590 KS)</a> and <a href="https://www.smartkarma.com/entities/hyundai-home-shopping-network-corp" target="_blank" data-smartkarma-citation="entities:2357:1" rel="noopener">Hyundai Home Shopping Network (057050 KS)</a>. </li>
<li>If approved by shareholders, the <a href="https://www.smartkarma.com/entities/dongkuk-steel-mill-co-ltd" target="_blank" data-smartkarma-citation="entities:7293:1" rel="noopener">Dongkuk Steel Mill (001230 KS)</a> split increases the probability of <a href="https://www.smartkarma.com/entities/youlchon-chemical-co-ltd" target="_blank" data-smartkarma-citation="entities:2649:1" rel="noopener">Youlchon Chemical (008730 KS)</a> inclusion and <a href="https://www.smartkarma.com/entities/hyundai-home-shopping-network-corp" target="_blank" data-smartkarma-citation="entities:2357:1" rel="noopener">Hyundai Home Shopping Network (057050 KS)</a> could avoid deletion.</li>
</ul>


With 4 trading days left in the review period, we see three potential changes for the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) in June.

Kum Yang (001570 KS), Cosmochemical (005420 KS) and Youlchon Chemical (008730 KS) could replace Dongwon Industries (006040 KS), Hwaseung Enterprise (241590 KS) and Hyundai Home Shopping Network (057050 KS). 
If approved by shareholders, the Dongkuk Steel Mill (001230 KS) split increases the probability of Youlchon Chemical (008730 KS) inclusion and Hyundai Home Shopping Network (057050 KS) could avoid deletion.


KOSPI200 Index Rebalance Preview: Materials to Replace Consumer Stocks

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)

KOSPI200 Index Rebalance: Two Sets of Changes

Kumyang & CosmoChem will be added to the KOSPI200 in June. Both stocks ran up a lot and are now correcting - they become short sell eligible from...

Brian Freitas

Insiders At Seoul City Gas and Daou Data Corp Sell Shares Before the Crash

Key insiders at Seoul City Gas and Daou Data sold their shares before the recent crash.These Korean companies are two of the eight stocks related...

Douglas Kim

Korea Investment & Securities' Suspension of Credit Loans for Stock Purchases - The Trigger Event?

The reduction of credit loans by Korea Investment & Securities and Kiwoom Securities in the past week may have accelerated unwinding of positions...

Douglas Kim

KOSDAQ150 Index Rebalance Preview: Adds Starting to Crack (After Huge Outperformance)

There could be 8 changes at the regular rebalance plus a couple of ad hoc changes. The potential adds ran up a lot and have started to head lower....

Brian Freitas

KOSPI200 Index Rebalance Preview: Materials to Replace Consumer Stocks

There could be 3 changes for the KOSPI20 in June with Youlchon Chemical sitting at the cusp. The impact on the deletes will be higher and short...

Brian Freitas

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