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

Tongcheng Travel Holdings  / Event-Driven

<ul>
<li>It was a busy week with rebalance implementations at the close of trading on Thursday in Korea and then across the region on Friday.</li>
<li>The <a href="https://www.smartkarma.com/entities/stock-exchange-of-thailand-set-50-index" target="_blank" data-smartkarma-citation="entities:31493:1" rel="noopener">SET 50 Index</a> changes should be announced this week and the Yuanta TW Div+ ETF will continue to implement the changes till Thursday.</li>
<li>There were inflows to China ETFs during the week while there were big outflows from <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> ETFs.</li>
</ul>


It was a busy week with rebalance implementations at the close of trading on Thursday in Korea and then across the region on Friday.
The SET 50 Index changes should be announced this week and the Yuanta TW Div+ ETF will continue to implement the changes till Thursday.
There were inflows to China ETFs during the week while there were big outflows from Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) ETFs.


Index Rebalance & ETF Flow Recap: HSTECH, SIG/CWG, KQ150, REPT BATTERO

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Cross Asset Strategy

<ul>
<li>Korea Exchange announced KOSPI 200 rebalance additions and deletions today. There were 14 new additions and deletions (7 each).</li>
<li>Some surprises in KOSPI 200 rebalance included addition of Seah Besteel and deletion of HDC Hyundai Development. </li>
<li>There were a lot more additions and deletions in KOSDAQ 150 (34 total additions and deletions). Among the KOSDAQ 150 additions included Neowiz, JNTC, Lunit, and Jeio.</li>
</ul>


Korea Exchange announced KOSPI 200 rebalance additions and deletions today. There were 14 new additions and deletions (7 each).
Some surprises in KOSPI 200 rebalance included addition of Seah Besteel and deletion of HDC Hyundai Development. 
There were a lot more additions and deletions in KOSDAQ 150 (34 total additions and deletions). Among the KOSDAQ 150 additions included Neowiz, JNTC, Lunit, and Jeio.


KOSPI 200 and KOSDAQ 150 Rebalance Additions and Deletions Announced (December 2023)

Korea / Special Sits, Pairs, Index Rebalancing, Clepsydra Capital

Sanghyun Park

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

<ul>
<li>Futures backwardation resulting from the short selling ban will persist. Also, the contraction of market making will lead to more widespread and frequent occurrences of extreme spreads.</li>
<li>The straightforward sell arbitrage (reverse cash and carry) is no longer viable. We must pay attention to the emergence of new price and trading patterns driven by these market conditions.</li>
<li>One potential pattern is the possibility of spot buying centered around those that exhibited extreme spreads at expiration. This has already been observed to some extent in this month's expiration.</li>
</ul>


Futures backwardation resulting from the short selling ban will persist. Also, the contraction of market making will lead to more widespread and frequent occurrences of extreme spreads.
The straightforward sell arbitrage (reverse cash and carry) is no longer viable. We must pay attention to the emergence of new price and trading patterns driven by these market conditions.
One potential pattern is the possibility of spot buying centered around those that exhibited extreme spreads at expiration. This has already been observed to some extent in this month's expiration.


Understanding Extreme SSF Spreads in Korea & Trading Approaches

Equity Bottom-Up

<ul>
<li>In this insight, we discuss three key catalysts that are likely to positively impact SK Telecom in the next several months.</li>
<li>The current gap between SK Telecom's 2023 expected dividend yield (6.6%) and US 10 year treasury note (4.47%) is 2.13%.</li>
<li>The gap between SK Telecom's dividend yield and US 10 year treasury note yield could widen to 3-4%+ in 2024, making SK Telecom's dividend yield more attractive. </li>
</ul>


In this insight, we discuss three key catalysts that are likely to positively impact SK Telecom in the next several months.
The current gap between SK Telecom's 2023 expected dividend yield (6.6%) and US 10 year treasury note (4.47%) is 2.13%.
The gap between SK Telecom's dividend yield and US 10 year treasury note yield could widen to 3-4%+ in 2024, making SK Telecom's dividend yield more attractive. 


Hyundai Home Shopping Network / Event-Driven

<ul>
<li>
<strong>This article discusses the potential inclusions and exclusions of KOSPI200 rebalance in</strong><strong>December 2023 (especially those that are highlighted by the locals). </strong>
</li>
<li>Stocks that are expected to be added to the KOSPI200 index include Posco DX, HD Hyundai Electric, Sam-A Aluminum, TCC Steel, and Dentium. </li>
<li>Stocks that are expected to be excluded in the KOSPI200 index Include Zinus, Handsome, Cuckoo Homesys, Taekwang Industrial, and Hyundai Home Shopping.</li>
</ul>



This article discusses the potential inclusions and exclusions of KOSPI200 rebalance inDecember 2023 (especially those that are highlighted by the locals). 

Stocks that are expected to be added to the KOSPI200 index include Posco DX, HD Hyundai Electric, Sam-A Aluminum, TCC Steel, and Dentium. 
Stocks that are expected to be excluded in the KOSPI200 index Include Zinus, Handsome, Cuckoo Homesys, Taekwang Industrial, and Hyundai Home Shopping.


KOSPI200 Rebalance in December 2023 Highlighted by Locals

South Korea

Posco DX Company Ltd. provides information and technology services. The Company provides computer systems design, computer and server merchant wholesale, computer and office machine repair and maintenance services. Posco DX also offers eic engineering, smart factory, wireless networking equipment, steel manufacturing, and digital video recorder manufacturing services.

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Posco DX (022100 KS)

Index Rebalance & ETF Flow Recap: HSTECH, SIG/CWG, KQ150, REPT BATTERO

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

KOSPI 200 and KOSDAQ 150 Rebalance Additions and Deletions Announced (December 2023)

Korea Exchange announced KOSPI 200 rebalance additions and deletions today. There were 14 new additions and deletions (7 each). There were a lot...

Douglas Kim

Understanding Extreme SSF Spreads in Korea & Trading Approaches

This post offers insights into the currently observed extreme spreads in the Korean single stock futures market and explores practical trading...

Sanghyun Park

SK Telecom: Three Key Catalysts

In this insight, we discuss three key catalysts that are likely to positively impact SK Telecom in the next several months.

Douglas Kim

KOSPI200 Rebalance in December 2023 Highlighted by Locals

This article discusses the potential inclusions and exclusions of KOSPI200 rebalance in December 2023 (especially those that are highlighted by the...

Douglas Kim

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