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 are 11 inclusions and 11 exclusions 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> at the December rebalance to be implemented at the close on 8 December.</li>
<li>We had forecast most of the changes (10 adds and 9 deletes), so there are a few surprises. The inclusion of <a href="https://www.smartkarma.com/entities/sillajen-inc" target="_blank" data-smartkarma-citation="entities:22838:1" rel="noopener">SillaJen Inc (215600 KS)</a> is the biggest one.</li>
<li>The adds to the index become short sell eligible from the open of trading on 9 December while the deletions will not be short sell eligible from the same time.</li>
</ul>


There are 11 inclusions and 11 exclusions for the KOSDAQ 150 Index (KOSDQ150 INDEX) at the December rebalance to be implemented at the close on 8 December.
We had forecast most of the changes (10 adds and 9 deletes), so there are a few surprises. The inclusion of SillaJen Inc (215600 KS) is the biggest one.
The adds to the index become short sell eligible from the open of trading on 9 December while the deletions will not be short sell eligible from the same time.


KOSDAQ150 Index Rebalance: 11 Changes with a Couple of Surprises

<ul>
<li>With the review period complete, we see 11 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>Most of the potential changes are high probability ones, but there are some stocks that are very close to market cap and liquidity cutoffs.</li>
<li>The impact of passive trading will be much higher on the potential deletes as compared to the potential inclusions, though trade notionals are higher for the potential adds.</li>
</ul>


With the review period complete, we see 11 potential changes to the KOSDAQ 150 Index (KOSDQ150 INDEX) at the December rebalance.
Most of the potential changes are high probability ones, but there are some stocks that are very close to market cap and liquidity cutoffs.
The impact of passive trading will be much higher on the potential deletes as compared to the potential inclusions, though trade notionals are higher for the potential adds.


KOSDAQ150 Index Rebalance Preview: Big Churn in IT, Healthcare Stocks

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>
<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 traded on KOSPI from November 3rd. This event has no trade suspension. So, it will be traded on KOSDAQ until November 2nd.</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> will replace LX Semicon for KOSDAQ 150. Again, the effective date is November 3rd. So, the index trackers will rebalance-trade at the close on November 2nd.</li>
<li>LX Semicon will see an outflow of -1.91x ADTV, whereas Nextin will enjoy an inflow of 3.93x ADTV. This Special Change will likely save <a href="https://www.smartkarma.com/entities/aptabio-therapeutics-inc" target="_blank" data-smartkarma-citation="entities:34894:1" rel="noopener">AptaBio Therapeutics (293780 KS)</a> from deletion.</li>
</ul>



LX Semicon (108320 KS) will be traded on KOSPI from November 3rd. This event has no trade suspension. So, it will be traded on KOSDAQ until November 2nd.

Nextin (348210 KS) will replace LX Semicon for KOSDAQ 150. Again, the effective date is November 3rd. So, the index trackers will rebalance-trade at the close on November 2nd.
LX Semicon will see an outflow of -1.91x ADTV, whereas Nextin will enjoy an inflow of 3.93x ADTV. This Special Change will likely save AptaBio Therapeutics (293780 KS) from deletion.


LX Semicon KOSPI Migration & KOSDAQ 150 Special Change

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Cross Asset Strategy

<ul>
<li>This article discusses the potential inclusions and exclusions of KOSDAQ 150 rebalance in December 2022 (especially those that are highlighted by the locals). </li>
<li>The stocks that are potential inclusions in the KOSDAQ 150 index include Sungeel Hitech (365340 KS), HPSP (403870 KS), and CanriaBio. We highlighted 8 companies in the potential inclusion list.</li>
<li>The potential exclusions in the KOSDAQ 150 index include Cmg Pharmaceutical (058820 KS), AptaBio Therapeutics (293780 KS), and Eugene Corp (023410 KS). </li>
</ul>


This article discusses the potential inclusions and exclusions of KOSDAQ 150 rebalance in December 2022 (especially those that are highlighted by the locals). 
The stocks that are potential inclusions in the KOSDAQ 150 index include Sungeel Hitech (365340 KS), HPSP (403870 KS), and CanriaBio. We highlighted 8 companies in the potential inclusion list.
The potential exclusions in the KOSDAQ 150 index include Cmg Pharmaceutical (058820 KS), AptaBio Therapeutics (293780 KS), and Eugene Corp (023410 KS). 


KOSDAQ 150 Rebalance in December Highlighted by Locals

<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

South Korea

Aptabio Therapeutics Inc. operates pharmaceutical production businesses. The Company produces anticancer drugs and other pharmaceutical products. Aptabio Therapeutics conducts businesses in Korea.

AptaBio Therapeutics (293780 KS)

KOSDAQ150 Index Rebalance: 11 Changes with a Couple of Surprises

There are 11 changes at the Dec rebal: mostly in line with forecasts. SillaJen is a surprise add; Devsisters is a surprise delete. Short interest...

Brian Freitas

KOSDAQ150 Index Rebalance Preview: Big Churn in IT, Healthcare Stocks

There could be 11 changes at the Dec rebalance. Most changes are high probability and will result in a big churn in the IT & Healthcare sectors....

Brian Freitas

LX Semicon KOSPI Migration & KOSDAQ 150 Special Change

This post details LX Semicon's KOSPI migration and the KOSDAQ 150 Special Change, both of which are effective November 3rd.

Sanghyun Park

KOSDAQ 150 Rebalance in December Highlighted by Locals

This article discusses the potential inclusions and exclusions of KOSDAQ 150 rebalance in December 2022 (especially those that are highlighted by...

Douglas Kim

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