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>End December was the end of the review cutoff for a lot of indices that will rebalance within the next couple of months.</li>
<li>
<a href="https://www.smartkarma.com/entities/pexa-group-ltd" target="_blank" data-smartkarma-citation="entities:34716:1" rel="noopener">PEXA Group (PXA AU)</a> replaces <a href="https://www.smartkarma.com/entities/pendal-group-ltd" target="_blank" data-smartkarma-citation="entities:15795:1" rel="noopener">Pendal Group (PDL AU)</a> in the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> at the close on 12 January.</li>
<li>There were big outflows from Hong Kong and China focused ETFs led by <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index-etf" target="_blank" data-smartkarma-citation="entities:25:1" rel="noopener">Hang Seng H Share Index ETF (2828 HK)</a> and <a href="https://www.smartkarma.com/entities/tracker-fund-of-hong-kong-ltd" target="_blank" data-smartkarma-citation="entities:29257:1" rel="noopener">Tracker Fund of Hong Kong Ltd (2800 HK)</a>.</li>
</ul>


End December was the end of the review cutoff for a lot of indices that will rebalance within the next couple of months.

PEXA Group (PXA AU) replaces Pendal Group (PDL AU) in the S&amp;P/ASX 200 (AS51 INDEX) at the close on 12 January.
There were big outflows from Hong Kong and China focused ETFs led by Hang Seng H Share Index ETF (2828 HK) and Tracker Fund of Hong Kong Ltd (2800 HK).


Index Rebalance & ETF Flow Recap: HSCEI, HSTECH, HSI, HSCI, KS200, KQ150, CSI300, SENSEX, LQ45, PSEi

<ul>
<li>One third of the way through the review period for the June rebalance, we see 9 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>. </li>
<li>One way turnover is estimated at 3.3% and the impact on the expected deletions is a lot higher than the impact on the expected inclusions.</li>
<li>The potential adds have massively outperformed the potential deletes over the last year. We'd wait for a reversal before entering a trade here - worth monitoring.</li>
</ul>


One third of the way through the review period for the June rebalance, we see 9 potential changes to the KOSDAQ 150 Index (KOSDQ150 INDEX). 
One way turnover is estimated at 3.3% and the impact on the expected deletions is a lot higher than the impact on the expected inclusions.
The potential adds have massively outperformed the potential deletes over the last year. We'd wait for a reversal before entering a trade here - worth monitoring.


KOSDAQ150 Index Rebalance Preview (June): Changes Keep Rolling In

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Event-Driven

<ul>
<li>Korea Exchange announced the KOSPI 200, KOSDAQ 150, and KRX 300 rebalance changes today. Lotte Confectionery will be added and Samyang Holdings will be deleted from the KOSPI 200 index.</li>
<li>The rebalances of these Korean indices are regularly updated twice a year. The changes to these indices will be effective starting 9 December. </li>
<li>The potential exclusion candidates for KOSPI 200 in 2023 include K Car, Handsome, HS Enterprise, Zinus, and Hyundai Home Shopping. </li>
</ul>


Korea Exchange announced the KOSPI 200, KOSDAQ 150, and KRX 300 rebalance changes today. Lotte Confectionery will be added and Samyang Holdings will be deleted from the KOSPI 200 index.
The rebalances of these Korean indices are regularly updated twice a year. The changes to these indices will be effective starting 9 December. 
The potential exclusion candidates for KOSPI 200 in 2023 include K Car, Handsome, HS Enterprise, Zinus, and Hyundai Home Shopping. 


KOSPI 200 & KOSDAQ 150 Rebalance Changes + KOSPI 200 & KOSDAQ 150 Exclusion Candidates in 2023

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>The 2nd screening only deals with those who have passed the 1st screening. The 2nd screening does NOT include the first company to cross the threshold.</li>
<li>Lotte Confectionery will be the only addition to the KOSPI 200. Samyang Holdings or Hyundai Home Shopping Network will leave the index.</li>
<li>There will be ten changes in the KOSDAQ 150: eight regular &amp; two special entries. WCP's special entry still seems uncertain due to the GICS classification issue.</li>
</ul>


The 2nd screening only deals with those who have passed the 1st screening. The 2nd screening does NOT include the first company to cross the threshold.
Lotte Confectionery will be the only addition to the KOSPI 200. Samyang Holdings or Hyundai Home Shopping Network will leave the index.
There will be ten changes in the KOSDAQ 150: eight regular &amp; two special entries. WCP's special entry still seems uncertain due to the GICS classification issue.


KOSPI 200 & KOSDAQ 150: Rule Clarifications & Rebalancing Predictions

<ul>
<li>The additions are primarily in line with the predictions. But, the deletions contain many surprises. Webzen is the biggest surprise. Echo Marketing should also surprise a lot of fund trackers.</li>
<li>Creas F&amp;C will face the most substantial passive inflow at 4.08x ADTV, closely followed by Unitest. But factoring in liquidity, WYSIWYG Studios will likely draw the most attention</li>
<li>JNTC will suffer the most among the deletions. However, Webzen will likely be in the limelight as its outflow is by far the largest at ₩8.6B, equivalent to 3.84x ADTV.</li>
</ul>


The additions are primarily in line with the predictions. But, the deletions contain many surprises. Webzen is the biggest surprise. Echo Marketing should also surprise a lot of fund trackers.
Creas F&amp;C will face the most substantial passive inflow at 4.08x ADTV, closely followed by Unitest. But factoring in liquidity, WYSIWYG Studios will likely draw the most attention
JNTC will suffer the most among the deletions. However, Webzen will likely be in the limelight as its outflow is by far the largest at ₩8.6B, equivalent to 3.84x ADTV.


KOSDAQ 150 Rebalancing Results: Passive Flows & Basket Trading Candidates

South Korea

Creas F&C Co., Ltd distributes sporting goods and accessories. The Company offers apparels, golf balls, bags, hats, shoes, and other products. Creas F&C markets its products in South Korea.

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Creas F&C (110790 KS)

Index Rebalance & ETF Flow Recap: HSCEI, HSTECH, HSI, HSCI, KS200, KQ150, CSI300, SENSEX, LQ45, PSEi

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

KOSDAQ150 Index Rebalance Preview (June): Changes Keep Rolling In

Early in the review period, we see 9 potential changes for the KOSDAQ150 in June. The potential adds have outperformed the potential deletes by a...

Brian Freitas

KOSPI 200 & KOSDAQ 150 Rebalance Changes + KOSPI 200 & KOSDAQ 150 Exclusion Candidates in 2023

Korea Exchange announced the KOSPI 200, KOSDAQ 150, and KRX 300 rebalance changes today. Lotte Confectionery will be added and Samyang Holdings...

Douglas Kim

KOSPI 200 & KOSDAQ 150: Rule Clarifications & Rebalancing Predictions

This post clarifies some vague rules of the KOSPI 200 & KOSDAQ 150 rebalancing and discusses the constituent changes in the December review.

Sanghyun Park

KOSDAQ 150 Rebalancing Results: Passive Flows & Basket Trading Candidates

This post details the results of the KOSDAQ 150 June rebalancing, with the estimates of passive impact, and suggests suitable candidates for basket...

Sanghyun Park

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