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>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

Event-Driven

<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>Over halfway through the review period, we forecast 39 migrating stocks. Among new listings, 1 stock could be added to LargeCap, 3 to MidCap and 2 to SmallCap.</li>
<li>Three potential downward migrations were deleted from a global index in November. Now, four more potential downward migrations could be deleted from the same global index in February.</li>
</ul>


The review period for the March rebalance of the KOSPI Size Indices commenced on 1 December and will end on 28 February.
Over halfway through the review period, we forecast 39 migrating stocks. Among new listings, 1 stock could be added to LargeCap, 3 to MidCap and 2 to SmallCap.
Three potential downward migrations were deleted from a global index in November. Now, four more potential downward migrations could be deleted from the same global index in February.


KOSPI Size Indices: When Active Met Passive

<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 quarter of the way through the review period, we forecast 37 migrating stocks. Among new listings, 1 could be added to LargeCap, 3 to MidCap and 2 to SmallCap.</li>
<li>Four downward migrations were deleted from a global index in November. Now, three more downward migrations could be deleted from the same global index in February.</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 quarter of the way through the review period, we forecast 37 migrating stocks. Among new listings, 1 could be added to LargeCap, 3 to MidCap and 2 to SmallCap.
Four downward migrations were deleted from a global index in November. Now, three more downward migrations could be deleted from the same global index in February.


KOSPI Size Indices: Overlap Between Global Passive Selling & Downward Migrations

<ul>
<li>The review period for the March rebalance of the KOSPI Size Indices commences on 1 December and will end on 28 February.</li>
<li>We see 5 migrations from MidCap to LargeCap, 1 new addition to LargeCap, 8 stocks moving from SmallCap to MidCap and 1 new addition to MidCap.</li>
<li>The migrations from MidCap to LargeCap have outperformed the other migration categories. Four potential LargeCap to MidCap migrations will be deleted from a global index later this month.</li>
</ul>


The review period for the March rebalance of the KOSPI Size Indices commences on 1 December and will end on 28 February.
We see 5 migrations from MidCap to LargeCap, 1 new addition to LargeCap, 8 stocks moving from SmallCap to MidCap and 1 new addition to MidCap.
The migrations from MidCap to LargeCap have outperformed the other migration categories. Four potential LargeCap to MidCap migrations will be deleted from a global index later this month.


KOSPI Size Indices: Global Index Selling Leads to Potential Downward Migration

<ul>
<li>The review period for the September rebalance of the KOSPI Size Indices commenced on 1 June and will end on 31 August. Only 4 trading days to go.</li>
<li>We see 7 migrations from MidCap to LargeCap, 1 new addition to LargeCap, 12 stocks moving from SmallCap to MidCap and 3 new additions to MidCap.</li>
<li>The upward migrations have underperformed the downward migrations over the last month as a few stocks have sold off hard. Some despite being included in global indices.</li>
</ul>


The review period for the September rebalance of the KOSPI Size Indices commenced on 1 June and will end on 31 August. Only 4 trading days to go.
We see 7 migrations from MidCap to LargeCap, 1 new addition to LargeCap, 12 stocks moving from SmallCap to MidCap and 3 new additions to MidCap.
The upward migrations have underperformed the downward migrations over the last month as a few stocks have sold off hard. Some despite being included in global indices.


KOSPI Size Indices: Momentum Stalls; (Some) Upward Migrations Sell-Off

South Korea

D.I Corporation manufactures semiconductor testing devices, such as burn-in systems, burn-in boards, and wafer probing machines.

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D.I Corporation (003160 KS)

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: When Active Met Passive

There could be 39 migrations in March. Most of the Large to Mid migrations have been, or will be, deleted from a large global index. Along with...

Brian Freitas

KOSPI Size Indices: Overlap Between Global Passive Selling & Downward Migrations

There could be 37 migrations for the KOSPI Size indices in March, plus 1 LargeCap and 3 MidCap inclusions. The MidCap to LargeCap migrations have...

Brian Freitas

KOSPI Size Indices: Global Index Selling Leads to Potential Downward Migration

There could be 29 migrations for the KOSPI Size indices in March, plus 1 LargeCap and 1 MidCap inclusion. The MidCap to LargeCap migrations have...

Brian Freitas

KOSPI Size Indices: Momentum Stalls; (Some) Upward Migrations Sell-Off

There could be 41 changes to the KOSPI Size Indices in September. The upward migrations have underperformed the downward migrations over the last...

Brian Freitas

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