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>
<a href="https://www.smartkarma.com/entities/hlb-life-science-co-ltd" target="_blank" data-smartkarma-citation="entities:9830:1" rel="noopener">HLB Life Science (067630 KS)</a> was added to the Investment Attention Issue list on 21 March and traded limit down. Then came the announcement of 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> deletion.</li>
<li>As the highest ranked non-constituent from the Healthcare sector at the December rebalance, <a href="https://www.smartkarma.com/entities/binex-co-ltd" target="_blank" data-smartkarma-citation="entities:1949:1" rel="noopener">Binex (053030 KS)</a> will be added 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> at the close on 25 March.</li>
<li>Historically, intra-review inclusions have moved higher between announcement and implementation and there has been reversion post the index inclusion.</li>
</ul>



HLB Life Science (067630 KS) was added to the Investment Attention Issue list on 21 March and traded limit down. Then came the announcement of the KOSDAQ 150 Index deletion.
As the highest ranked non-constituent from the Healthcare sector at the December rebalance, Binex (053030 KS) will be added to the KOSDAQ 150 Index at the close on 25 March.
Historically, intra-review inclusions have moved higher between announcement and implementation and there has been reversion post the index inclusion.


KOSDAQ150 Index Adhoc Rebalance: Binex (053030 KS) To Replace HLB Life Science (067630 KS)

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>HLB Life Science faces delisting if it stays in ATTENTION for four years or gets a disclaimer in an audit—barring surprises, there's still runway before it’s a real threat.</li>
<li>HLB Inc getting ATTENTION in May looks likely, as KRX factors in frequent correction disclosures—HLB’s history with Rivoceranib filings and the failed FDA bid add to the risk.</li>
<li>If HLB Inc. gets ATTENTION in May and drops from KOSDAQ 150, VIOL (335890 KS) steps in—worth positioning ahead of late April.</li>
</ul>


HLB Life Science faces delisting if it stays in ATTENTION for four years or gets a disclaimer in an audit—barring surprises, there's still runway before it’s a real threat.
HLB Inc getting ATTENTION in May looks likely, as KRX factors in frequent correction disclosures—HLB’s history with Rivoceranib filings and the failed FDA bid add to the risk.
If HLB Inc. gets ATTENTION in May and drops from KOSDAQ 150, VIOL (335890 KS) steps in—worth positioning ahead of late April.


Detailing KRX Market Alerts & Passive Flow Plays

<ul>
<li>Early position buildup has minimal price impact, and even after the announcement, only a few stocks with a larger passive impact see significant movement.</li>
<li>Since these KRX sector indices include many small to mid-cap stocks, the price impact of constituent changes on ETF rebalancing day was quite noticeable.</li>
<li>Due to potential learning effects, build positions in predictable high-impact stocks before the announcement, then monitor flows and impacts to decide on targeting the ETF rebalancing trading day.</li>
</ul>


Early position buildup has minimal price impact, and even after the announcement, only a few stocks with a larger passive impact see significant movement.
Since these KRX sector indices include many small to mid-cap stocks, the price impact of constituent changes on ETF rebalancing day was quite noticeable.
Due to potential learning effects, build positions in predictable high-impact stocks before the announcement, then monitor flows and impacts to decide on targeting the ETF rebalancing trading day.


KRX Sector Indexes' Rebalancing Event, Often off Traders' Radar but with Significant Price Impacts

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Event-Driven

<ul>
<li>Korea Exchange announced the KOSPI 200 and KOSDAQ 150 indices constituents changes today. </li>
<li>Kum Yang (001570 KS) and Cosmochemical (005420 KS) were included in the KOSPI 200. Dongwon Industries (006040 KS) and Hwaseung Enterprise (241590 KS) were excluded in KOSPI 200 index.</li>
<li>We expect continued underperformance of Kumyang and Cosmo Chemical as many investors will now start to sell these stocks based on <em>"buy on rumor, sell on news"</em> strategy.</li>
</ul>


Korea Exchange announced the KOSPI 200 and KOSDAQ 150 indices constituents changes today. 
Kum Yang (001570 KS) and Cosmochemical (005420 KS) were included in the KOSPI 200. Dongwon Industries (006040 KS) and Hwaseung Enterprise (241590 KS) were excluded in KOSPI 200 index.
We expect continued underperformance of Kumyang and Cosmo Chemical as many investors will now start to sell these stocks based on "buy on rumor, sell on news" strategy.


Trading Strategy Post KRX Rebalance Announcement of KOSPI 200 and KOSDAQ 150

<ul>
<li>The review period for the June rebalance of 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> ended on Friday. We see 14 potential changes to the index - most are high probability. </li>
<li>The impact of passive trading is higher on the deletions than on the additions. Short interest on the potential adds is zero/negligible and a lot larger on the potential deletions.</li>
<li>Short interest on a couple of potential deletion exceeds the estimated passive selling, while there are others where short interest is three-quarters of the estimated passive selling.</li>
</ul>


The review period for the June rebalance of the KOSDAQ 150 Index ended on Friday. We see 14 potential changes to the index - most are high probability. 
The impact of passive trading is higher on the deletions than on the additions. Short interest on the potential adds is zero/negligible and a lot larger on the potential deletions.
Short interest on a couple of potential deletion exceeds the estimated passive selling, while there are others where short interest is three-quarters of the estimated passive selling.


KOSDAQ150 Index Rebalance Preview: 14 Potential Changes in June

South Korea

BINEX Co., Ltd. manufactures medical drugs and medical drug materials.  The Company's main products include anti-cancer drugs, composite digestive enzymes, and protein activation drugs.

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Binex Co Ltd (053030 KS)

KOSDAQ150 Index Adhoc Rebalance: Binex (053030 KS) To Replace HLB Life Science (067630 KS)

HLB Life Science will be deleted from the KOSDAQ150 following its designation as an Investment Attention Issue. Binex will be added to the index....

Brian Freitas

Detailing KRX Market Alerts & Passive Flow Plays

This post provides a detailed breakdown of KRX market alert rules and examines key names that could see meaningful passive flow impacts.

Sanghyun Park

KRX Sector Indexes' Rebalancing Event, Often off Traders' Radar but with Significant Price Impacts

This post discusses KRX Sector Index rebalancing trading opportunities, which, due to being off traders' radar for two reasons, paradoxically lead...

Sanghyun Park

Trading Strategy Post KRX Rebalance Announcement of KOSPI 200 and KOSDAQ 150

Korea Exchange announced the KOSPI 200 and KOSDAQ 150 indices constituents changes today. We expect continued underperformance of Kumyang and Cosmo...

Douglas Kim

KOSDAQ150 Index Rebalance Preview: 14 Potential Changes in June

We forecast 14 potential changes to the KOSDAQ150 Index in June - most are high probability. Short interest on few potential deletions exceeds the...

Brian Freitas

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