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>On 6 November, <a href="https://www.smartkarma.com/entities/alteogen-inc" target="_blank" data-smartkarma-citation="entities:15886:1" rel="noopener">Alteogen Inc (196170 KS)</a>'s Board approved the delisting of the stock from the KOSDAQ market and the listing on the KOSPI market. Shareholders approved on 8 December.</li>
<li>
<a href="https://www.smartkarma.com/entities/alteogen-inc" target="_blank" data-smartkarma-citation="entities:15886:1" rel="noopener">Alteogen</a> has not yet applied to the KRX for the listing change. While the listing transfer approval had historically taken around 2-3 months, there have been no approvals recently.</li>
<li>
<a href="https://www.smartkarma.com/entities/alteogen-inc" target="_blank" data-smartkarma-citation="entities:15886:1" rel="noopener">Alteogen</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">KOSDAQ150 Index</a> on its last trading day and inclusion in the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI200 Index</a> will take place at the next regular rebalance (or earlier).</li>
</ul>


On 6 November, Alteogen Inc (196170 KS)'s Board approved the delisting of the stock from the KOSDAQ market and the listing on the KOSPI market. Shareholders approved on 8 December.

Alteogen has not yet applied to the KRX for the listing change. While the listing transfer approval had historically taken around 2-3 months, there have been no approvals recently.

Alteogen will be deleted from the KOSDAQ150 Index on its last trading day and inclusion in the KOSPI200 Index will take place at the next regular rebalance (or earlier).


Alteogen (196170 KS): Index Impact of KOSDAQ to KOSPI Transfer

Index Rebalance

<ul>
<li>The review period for the March rebalance of the KOSPI Size Indices commenced on 1 December and will end on 28 February.</li>
<li>A third of the way through the averaging period, we forecast 37 migrating stocks. Among new listings, 1 stock could be added to LargeCap, 2 to MidCap, 2 to SmallCap.</li>
<li>The upward migrations have outperformed the downward migrations by a lot over the last few months. The gap between the small and mid-cap migrations has continued to widen.</li>
</ul>


The review period for the March rebalance of the KOSPI Size Indices commenced on 1 December and will end on 28 February.
A third of the way through the averaging period, we forecast 37 migrating stocks. Among new listings, 1 stock could be added to LargeCap, 2 to MidCap, 2 to SmallCap.
The upward migrations have outperformed the downward migrations by a lot over the last few months. The gap between the small and mid-cap migrations has continued to widen.


KOSPI Size Indices: Small-To-Mid Migrations Running Up

<ul>
<li>The review period for the March rebalance of the KOSPI Size Indices will commence on 1 December and will end on 28 February.</li>
<li>Nearing the start of the averaging period, we forecast 34 migrating stocks. Among new listings, 1 stock could be added to LargeCap, 2 to MidCap and 2 to SmallCap.</li>
<li>The upward migrations have outperformed the downward migrations by a lot over the last 3 months. The gap in returns versus the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI2 INDEX</a> is a lot smaller.</li>
</ul>


The review period for the March rebalance of the KOSPI Size Indices will commence on 1 December and will end on 28 February.
Nearing the start of the averaging period, we forecast 34 migrating stocks. Among new listings, 1 stock could be added to LargeCap, 2 to MidCap and 2 to SmallCap.
The upward migrations have outperformed the downward migrations by a lot over the last 3 months. The gap in returns versus the KOSPI2 INDEX is a lot smaller.


KOSPI Size Indices: Lots of Change as Averaging Starts

<ul>
<li>The review period for the September rebalance of the KOSPI Size Indices commenced on 1 June and will end on 31 August.</li>
<li>Nearing the end of the review period, we forecast 49 migrating stocks. Among new listings, 1 stock could be added to LargeCap, 3 to MidCap and 1 to SmallCap.</li>
<li>There are a number of stocks that will have passive flow from global index trackers over the next few weeks, while some are potential changes to the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI2</a> in December.</li>
</ul>


The review period for the September rebalance of the KOSPI Size Indices commenced on 1 June and will end on 31 August.
Nearing the end of the review period, we forecast 49 migrating stocks. Among new listings, 1 stock could be added to LargeCap, 3 to MidCap and 1 to SmallCap.
There are a number of stocks that will have passive flow from global index trackers over the next few weeks, while some are potential changes to the KOSPI2 in December.


KOSPI Size Indices: Passive Flows for Many Active Changes

<ul>
<li>The review period for the September rebalance of the KOSPI Size Indices commenced on 1 June and will end on 31 August.</li>
<li>Nearing halfway in the review period, we forecast 53 migrating stocks. Among new listings, 1 stock could be added to LargeCap, 3 to MidCap and 1 to SmallCap.</li>
<li>Two potential downward migrations could be deleted from a global index in August. The new listing that is a potential LargeCap add could be added to a globalindex in September.</li>
</ul>


The review period for the September rebalance of the KOSPI Size Indices commenced on 1 June and will end on 31 August.
Nearing halfway in the review period, we forecast 53 migrating stocks. Among new listings, 1 stock could be added to LargeCap, 3 to MidCap and 1 to SmallCap.
Two potential downward migrations could be deleted from a global index in August. The new listing that is a potential LargeCap add could be added to a globalindex in September.


KOSPI Size Indices: Overlaps Between Active & Passive Flows

South Korea

BH Co., Ltd. manufactures and distributes various flexible printed circuits boards (FPCB), such as multi-layer and build-up FPCBs mainly for mobile phones and rigid FPCBs for aerospace sphere.

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Bh Co Ltd (090460 KS)

Alteogen (196170 KS): Index Impact of KOSDAQ to KOSPI Transfer

Alteogen's shareholders have approved the KOSDAQ to KOSPI transfer. Given recent delays, the timeline could be long drawn out. KOSPI200 buying will...

Brian Freitas

KOSPI Size Indices: Small-To-Mid Migrations Running Up

There could be 37 migrations across categories in March, plus new listings being added. The small-to-mid cap migrations have continued to move...

Brian Freitas

KOSPI Size Indices: Lots of Change as Averaging Starts

There could be 34 migrations for the KOSPI Size Indices in March. Among new listings, there could be 1 LargeCap add, 2 MidCap adds and 2 SmallCap...

Brian Freitas

KOSPI Size Indices: Passive Flows for Many Active Changes

There could be 49 migrations for the KOSPI Size Indices in Sep. Among new listings, there could be 1 LargeCap add and 3 MidCap adds. There are...

Brian Freitas

KOSPI Size Indices: Overlaps Between Active & Passive Flows

There could be 53 migrations for the KOSPI Size Indices in Sep. Among new listings, there could be 1 LargeCap add and 3 MidCap adds. There are 2...

Brian Freitas

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Market Cap (USDm)

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