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

Index Rebalance

<ul>
<li>Following its planned section transfer, <a href="https://www.smartkarma.com/entities/lx-semicon-co-ltd" target="_blank" data-smartkarma-citation="entities:20670:1" rel="noopener">LX Semicon (108320 KS)</a> 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> at the close on 2 November and replaced by <a href="https://www.smartkarma.com/entities/nextin-inc" target="_blank" data-smartkarma-citation="entities:36097:1" rel="noopener">Nextin (348210 KS)</a>.</li>
<li>Passive trackers will need to buy over 4.5 days of ADV on <a href="https://www.smartkarma.com/entities/nextin-inc" target="_blank" data-smartkarma-citation="entities:36097:1" rel="noopener">Nextin (348210 KS)</a> and sell over 1.5 days of ADV on <a href="https://www.smartkarma.com/entities/lx-semicon-co-ltd" target="_blank" data-smartkarma-citation="entities:20670:1" rel="noopener">LX Semicon (108320 KS)</a>. </li>
<li>Belonging to the Information Technology sector, there is zero chance of <a href="https://www.smartkarma.com/entities/lx-semicon-co-ltd" target="_blank" data-smartkarma-citation="entities:20670:1" rel="noopener">LX Semicon (108320 KS)</a> being added to 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>.</li>
</ul>


Following its planned section transfer, LX Semicon (108320 KS) will be deleted from the KOSDAQ 150 Index at the close on 2 November and replaced by Nextin (348210 KS).
Passive trackers will need to buy over 4.5 days of ADV on Nextin (348210 KS) and sell over 1.5 days of ADV on LX Semicon (108320 KS). 
Belonging to the Information Technology sector, there is zero chance of LX Semicon (108320 KS) being added to the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX).


KOSDAQ150 Ad Hoc Index Rebalance: LX Semicon OUT, Nextin IN

<ul>
<li>With 85% of the review period complete, we see 10 potential changes to 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> at the December rebalance.</li>
<li>There are a few stocks that are close adds/deletes on market cap and liquidity and could make it into the final list depending on price/volume over the next few weeks.</li>
<li>The potential adds have outperformed the potential deletes over the last month and pre-positioning could continue till the end of the review period.</li>
</ul>


With 85% of the review period complete, we see 10 potential changes to the KOSDAQ 150 Index (KOSDQ150 INDEX) at the December rebalance.
There are a few stocks that are close adds/deletes on market cap and liquidity and could make it into the final list depending on price/volume over the next few weeks.
The potential adds have outperformed the potential deletes over the last month and pre-positioning could continue till the end of the review period.


KOSDAQ150 Index Rebalance Preview: Moving in the Right Direction

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Event-Driven

<ul>
<li>This article discusses the potential inclusions and exclusions of KOSPI 200 rebalance in December 2022 (especially those that are highlighted by the locals). </li>
<li>Stocks that are expected to be included in the KOSPI 200 index include Samyang Foods (003230 KS) and Lotte Confectionery (280360 KS). </li>
<li>Stocks that are expected to be excluded in the KOSPI 200 index include Samyang Holdings (000070 KS) and Boryung Pharmaceutical (003850 KS).</li>
</ul>


This article discusses the potential inclusions and exclusions of KOSPI 200 rebalance in December 2022 (especially those that are highlighted by the locals). 
Stocks that are expected to be included in the KOSPI 200 index include Samyang Foods (003230 KS) and Lotte Confectionery (280360 KS). 
Stocks that are expected to be excluded in the KOSPI 200 index include Samyang Holdings (000070 KS) and Boryung Pharmaceutical (003850 KS).


KOSPI 200 Rebalance in December Highlighted by Locals

<ul>
<li>
<a href="https://www.smartkarma.com/entities/lx-semicon-co-ltd" target="_blank" data-smartkarma-citation="entities:20670:1" rel="noopener">LX Semicon (108320 KS)</a> is looking to transfer from the KOSDAQ market to the KOSPI market. Shareholder meeting is 23 September and the transfer will happen soon after if approved.</li>
<li>
<a href="https://www.smartkarma.com/entities/lx-semicon-co-ltd" target="_blank" data-smartkarma-citation="entities:20670:1" rel="noopener">LX Semicon (108320 KS)</a> 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> on the suspension date. There is zero chance of the stock being included 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">Kospi 200 Index</a>.</li>
<li>
<a href="https://www.smartkarma.com/entities/nextin-inc" target="_blank" data-smartkarma-citation="entities:36097:1" rel="noopener">Nextin (348210 KS)</a> is a high probability inclusion to 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> in December but could be an early inclusion in  September to replace <a href="https://www.smartkarma.com/entities/lx-semicon-co-ltd" target="_blank" data-smartkarma-citation="entities:20670:1" rel="noopener">LX Semicon (108320 KS)</a>.</li>
</ul>



LX Semicon (108320 KS) is looking to transfer from the KOSDAQ market to the KOSPI market. Shareholder meeting is 23 September and the transfer will happen soon after if approved.

LX Semicon (108320 KS) will be deleted from the KOSDAQ 150 Index on the suspension date. There is zero chance of the stock being included in the Kospi 200 Index.

Nextin (348210 KS) is a high probability inclusion to the KOSDAQ 150 Index in December but could be an early inclusion in  September to replace LX Semicon (108320 KS).


LX Semicon (108320 KS) - Section Change, Index Flow and KOSDAQ150 Replacement

Korea / Special Situations, Clepsydra Capital

Sanghyun Park

Korea / Special Situations

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

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

<ul>
<li>LX Semicon announced that its board approved KOSPI migration on August 17. This migration requires shareholder approval, and a shareholder meeting will be scheduled for September 23.</li>
<li>The outflow of KOSDAQ 150 is estimated to be -1.37x ADTV. A passive impact of this magnitude should cause a price movement of at least 3%p.</li>
<li>But LX Semicon's GICS sector won't change after the KOSPI migration. We should refrain from trading with expectations for the possibility of KOSPI 200 inclusion at this point.</li>
</ul>


LX Semicon announced that its board approved KOSPI migration on August 17. This migration requires shareholder approval, and a shareholder meeting will be scheduled for September 23.
The outflow of KOSDAQ 150 is estimated to be -1.37x ADTV. A passive impact of this magnitude should cause a price movement of at least 3%p.
But LX Semicon's GICS sector won't change after the KOSPI migration. We should refrain from trading with expectations for the possibility of KOSPI 200 inclusion at this point.


LX Semicon KOSDAQ→KOSPI Migration Event: Index Rebalance Trading

South Korea

LX Semicon Co., Ltd. designs, develops, and markets mixed-signal semiconductors. The Company utilizes its own algorithm and technologies to enhance the features and capabilities of flat panel displays that are used in electronic devices and mobile handsets. LX Semicon markets its products worldwide.

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LX Semicon (108320 KS)

KOSDAQ150 Ad Hoc Index Rebalance: LX Semicon OUT, Nextin IN

Nextin will replace LX Semicon in the KOSDAQ150 Index at the close on 2 Nov. Passives need to buy over 4.5x ADV on Nextin and sell over 1.5x ADV on...

Brian Freitas

KOSDAQ150 Index Rebalance Preview: Moving in the Right Direction

There could be 10 changes to the KOSDAQ150 Index in December. There are a few stocks that are close adds/deletes. The potential adds have...

Brian Freitas

KOSPI 200 Rebalance in December Highlighted by Locals

This article discusses the potential inclusions and exclusions of KOSPI 200 rebalance in December 2022 (especially those that are highlighted by...

Douglas Kim