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>The review period for the September rebalance ends 31 July, the changes will be announced in the first week of September and implemented at the close of trading 12 September.</li>
<li>There are changes expected for each of the Secondary Battery, Bio, Internet, Game and BBIG indices. The <a href="https://www.smartkarma.com/entities/shift-up-corp" target="_blank" data-smartkarma-citation="entities:36232:1" rel="noopener">Shift Up (462870 KS)</a> listing should result in more changes.</li>
<li>The largest flows will be in <a href="https://www.smartkarma.com/entities/posco-future-m-co-ltd" target="_blank" data-smartkarma-citation="entities:12421:1" rel="noopener">Posco Future M</a>, <a href="https://www.smartkarma.com/entities/ecopro-bm-co-ltd" target="_blank" data-smartkarma-citation="entities:27873:1" rel="noopener">Ecopro BM</a>, <a href="https://www.smartkarma.com/entities/sk-biopharmaceuticals-co-ltd" target="_blank" data-smartkarma-citation="entities:28966:1" rel="noopener">SK Biopharmaceuticals</a>, <a href="https://www.smartkarma.com/entities/alteogen-inc" target="_blank" data-smartkarma-citation="entities:15886:1" rel="noopener">Alteogen</a>, <a href="https://www.smartkarma.com/entities/douzone-bizon-co-ltd" target="_blank" data-smartkarma-citation="entities:20161:1" rel="noopener">Douzone Bizon</a>, <a href="https://www.smartkarma.com/entities/skc-co-ltd" target="_blank" data-smartkarma-citation="entities:3970:1" rel="noopener">SKC Co</a> and <a href="https://www.smartkarma.com/entities/kakao-corp" target="_blank" data-smartkarma-citation="entities:15002:1" rel="noopener">Kakao Corp</a>.</li>
</ul>


The review period for the September rebalance ends 31 July, the changes will be announced in the first week of September and implemented at the close of trading 12 September.
There are changes expected for each of the Secondary Battery, Bio, Internet, Game and BBIG indices. The Shift Up (462870 KS) listing should result in more changes.
The largest flows will be in Posco Future M, Ecopro BM, SK Biopharmaceuticals, Alteogen, Douzone Bizon, SKC Co and Kakao Corp.


KRX New Deal Index Rebalance Preview: Lots of Change; Shift Up Listing Adds to It

<ul>
<li>Following the short sell ban announced on the weekend, the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a> and <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150</a> opened higher on Monday and rallied through the day.</li>
<li>A lot of the intraday gains on Monday have been given up over the next two trading days. Surprisingly, KRX data indicates that not a lot of shorts have covered.</li>
<li>Foreigners have been net cash buyers since Monday (could indicate covering of offshore borrow) while retail were big sellers on Monday.</li>
</ul>


Following the short sell ban announced on the weekend, the KOSPI 200 and KOSDAQ 150 opened higher on Monday and rallied through the day.
A lot of the intraday gains on Monday have been given up over the next two trading days. Surprisingly, KRX data indicates that not a lot of shorts have covered.
Foreigners have been net cash buyers since Monday (could indicate covering of offshore borrow) while retail were big sellers on Monday.


Korea Short Sell Ban: Not a Lot Covered on Monday; Shorts Holding On?

Korea Stock Exchange KOSPI 200 / Event-Driven

<ul>
<li>Korea banned all short selling in March 2020 and resumed short selling only on <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a> and <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150</a> index constituents in May 2021.</li>
<li>News reports indicate that there could be another short sell ban as soon as the coming week. Indications are that the ban could last 6 months.</li>
<li>There are many implications of a total short sell ban including futures backwardation, market manipulation, and no emerging to developed market promotion.</li>
</ul>


Korea banned all short selling in March 2020 and resumed short selling only on KOSPI 200 and KOSDAQ 150 index constituents in May 2021.
News reports indicate that there could be another short sell ban as soon as the coming week. Indications are that the ban could last 6 months.
There are many implications of a total short sell ban including futures backwardation, market manipulation, and no emerging to developed market promotion.


Korea Short Sell Ban: Background, Manipulation, Holdings, Flows, Short Interest, Implications

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Douglas Research Advisory

Equity Bottom-Up

<ul>
<li>S&amp;P500 is up 27.7% YTD, outperforming KOSPI which is down 6.9% YTD. Global fund flow continues to pour into top quality US stocks such as Palantir, Tesla, and NVIDIA.</li>
<li>The top 20 best performing stocks in KOSPI 200 are up on average 106.8% YTD. However, the remaining 180 stocks in KOSPI 200 are down on average 9.2% YTD. </li>
<li>There is no large Palantir-like company that deals with AI/data analytics in Korea. However, large cap IT services and telcos in Korea are increasingly expanding their AI/data analytics related business.</li>
</ul>


S&amp;P500 is up 27.7% YTD, outperforming KOSPI which is down 6.9% YTD. Global fund flow continues to pour into top quality US stocks such as Palantir, Tesla, and NVIDIA.
The top 20 best performing stocks in KOSPI 200 are up on average 106.8% YTD. However, the remaining 180 stocks in KOSPI 200 are down on average 9.2% YTD. 
There is no large Palantir-like company that deals with AI/data analytics in Korea. However, large cap IT services and telcos in Korea are increasingly expanding their AI/data analytics related business.


A Comparison of KOSPI 200 and S&P 500 Companies Performances in 2024

Asia Pac IPO & Placement Research, China biotech, Aequitas Research

Ke Yan, CFA, FRM

Asia Pac IPO & Placement Research, China biotech

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Quantitative Analysis

<ul>
<li>We analyzed the changes in short interest of KRX stocks as of Dec 13th which has an aggregated short interest worth USD3.7bn.</li>
<li>We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.</li>
<li>We highlight short interest changes in SEM, KT&amp;G, Samsung C&amp;T.</li>
</ul>


We analyzed the changes in short interest of KRX stocks as of Dec 13th which has an aggregated short interest worth USD3.7bn.
We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.
We highlight short interest changes in SEM, KT&amp;G, Samsung C&amp;T.


KRX Short Interest Weekly (Dec 13th):SEM, KT&G, Samsung C&T

South Korea

Posco Future M Co., Ltd. manufactures and distributes energy materials. The Company produces battery materials, advanced chemical materials, basic industrial materials, and other related products. Posco Future M also produces lime chemical and refractory products.

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Posco Future M (003670 KS)

KRX New Deal Index Rebalance Preview: Lots of Change; Shift Up Listing Adds to It

There should be 1 change for each of the Battery, Bio and Game indices plus 2 changes for each of the Internet and BBIG indices. The Shift Up...

Brian Freitas

Korea Short Sell Ban: Not a Lot Covered on Monday; Shorts Holding On?

Not a lot of shorts were covered on Monday. There could be more covering in the near term as the market drifts lower. KOSPI200 underperformed...

Brian Freitas

Korea Short Sell Ban: Background, Manipulation, Holdings, Flows, Short Interest, Implications

Media reports indicate that there could be a temporary short sell ban in Korea. This could lead to futures backwardation, market manipulation and a...

Brian Freitas

A Comparison of KOSPI 200 and S&P 500 Companies Performances in 2024

There is no large Palantir-like company that deals with AI/data analytics in Korea. However, large cap IT services and telcos in Korea are...

Douglas Kim

KRX Short Interest Weekly (Dec 13th):SEM, KT&G, Samsung C&T

We analyzed KRX short interest report for the past week and highlighted short interest changes in SEM, KT&G, Samsung C&T.

Ke Yan, CFA, FRM

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