Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Index Rebalance

<ul>
<li>With over 80% of the averaging in the review period complete, we see 15 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 June rebalance.</li>
<li>11 of the 15 changes are high/medium probability and it will take large moves over the rest of the review period for these stocks to drop out of the list.</li>
<li>Four potential inclusions have more than 3 days of ADV to buy from passives, while nine potential deletions have more than 3 days of ADV to sell from passives.</li>
</ul>


With over 80% of the averaging in the review period complete, we see 15 potential changes to the KOSDAQ 150 Index (KOSDQ150 INDEX) at the June rebalance.
11 of the 15 changes are high/medium probability and it will take large moves over the rest of the review period for these stocks to drop out of the list.
Four potential inclusions have more than 3 days of ADV to buy from passives, while nine potential deletions have more than 3 days of ADV to sell from passives.


KOSDAQ150 Index Rebalance Preview (June): Potential Inclusions Starting to Outperform

<ul>
<li>The announced changes are exactly in line with our forecasts with one change each for the Secondary Battery, Bio and Game Index. There are three changes to the Internet Index.</li>
<li>There are two changes to the BBIG Index with <a href="https://www.smartkarma.com/entities/lg-energy-solution" target="_blank" data-smartkarma-citation="entities:33464:1" rel="noopener">LG Energy Solution (373220 KS)</a> replacing <a href="https://www.smartkarma.com/entities/lg-chem-ltd" target="_blank" data-smartkarma-citation="entities:3583:1" rel="noopener">LG Chem Ltd (051910 KS)</a> and <a href="https://www.smartkarma.com/entities/afreecatv-co-ltd" target="_blank" data-smartkarma-citation="entities:20163:1" rel="noopener">AfreecaTV (067160 KS)</a> replacing <a href="https://www.smartkarma.com/entities/douzone-bizon-co-ltd" target="_blank" data-smartkarma-citation="entities:20161:1" rel="noopener">Douzone Bizon (012510 KS)</a>. </li>
<li>The largest buying impact will be on <a href="https://www.smartkarma.com/entities/afreecatv-co-ltd" target="_blank" data-smartkarma-citation="entities:20163:1" rel="noopener">AfreecaTV (067160 KS)</a> while the largest selling impact will be on <a href="https://www.smartkarma.com/entities/douzone-bizon-co-ltd" target="_blank" data-smartkarma-citation="entities:20161:1" rel="noopener">Douzone Bizon (012510 KS)</a>, <a href="https://www.smartkarma.com/entities/soulbrain-co-ltd-4208cf78-7fa9-4449-af35-bd0bde9d4726" target="_blank" data-smartkarma-citation="entities:35407:1" rel="noopener">Soulbrain (357780)</a> and <a href="https://www.smartkarma.com/entities/lg-chem-ltd" target="_blank" data-smartkarma-citation="entities:3583:1" rel="noopener">LG Chem Ltd (051910 KS)</a>.</li>
</ul>


The announced changes are exactly in line with our forecasts with one change each for the Secondary Battery, Bio and Game Index. There are three changes to the Internet Index.
There are two changes to the BBIG Index with LG Energy Solution (373220 KS) replacing LG Chem Ltd (051910 KS) and AfreecaTV (067160 KS) replacing Douzone Bizon (012510 KS). 
The largest buying impact will be on AfreecaTV (067160 KS) while the largest selling impact will be on Douzone Bizon (012510 KS), Soulbrain (357780) and LG Chem Ltd (051910 KS).


KRX New Deal Index Rebalance: No Surprises as LG Chem Not Deleted from Battery Index

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 biggest story should be LG Chem's complete deletion from the entire indexes. It's been said locally that KRX finally decided to remove LG Chem from the battery index.</li>
<li>AfreecaTV and Douzone Bizon will have the largest passive impacts, +1.72x and -3.89x ADTVs. The Chunbo and SoulBrain combo also seems in a sweet spot for a quick long/short setup.</li>
<li>LG Energy's inflow should be at least 0.33x ADTV. Yes, LG Chem's outflow deserves special attention. The combined impact is 0.6x ADTV, enough to make a splash on the price.</li>
</ul>


The biggest story should be LG Chem's complete deletion from the entire indexes. It's been said locally that KRX finally decided to remove LG Chem from the battery index.
AfreecaTV and Douzone Bizon will have the largest passive impacts, +1.72x and -3.89x ADTVs. The Chunbo and SoulBrain combo also seems in a sweet spot for a quick long/short setup.
LG Energy's inflow should be at least 0.33x ADTV. Yes, LG Chem's outflow deserves special attention. The combined impact is 0.6x ADTV, enough to make a splash on the price.


KRX K-New Deal Rebalancing: Latest Weight/Flow Update & LG Chem's Complete Deletion

Event-Driven

<ul>
<li>Among Korea's local metaverse ETFs, the Big Three have significant AUMs. At yesterday's closing prices, their AUMs are ₩0.41T, ₩0.40T, and ₩0.20T, respectively. Their total is now 1 trillion won.</li>
<li>Those on which we can perform stable momentum trading are the 14 stocks included in all three ETFs. Passive funds account for +3% of MC in half of these names.</li>
<li>Weighting adjustment uses keyword relevance. So, estimation is not easy. Nevertheless, since the absolute value does not change significantly, we can reduce the error by using the previous rebalancing weighting.</li>
</ul>


Among Korea's local metaverse ETFs, the Big Three have significant AUMs. At yesterday's closing prices, their AUMs are ₩0.41T, ₩0.40T, and ₩0.20T, respectively. Their total is now 1 trillion won.
Those on which we can perform stable momentum trading are the 14 stocks included in all three ETFs. Passive funds account for +3% of MC in half of these names.
Weighting adjustment uses keyword relevance. So, estimation is not easy. Nevertheless, since the absolute value does not change significantly, we can reduce the error by using the previous rebalancing weighting.


Korea Local Metaverse ETFs: Passive Flow Preview

<ul>
<li>The review period for the KRX New Deal indices ended on 31 January. The changes will be announced toward the end of February and implemented on 10 March.</li>
<li>We expect <a href="https://www.smartkarma.com/entities/lg-energy-solution" target="_blank" data-smartkarma-citation="entities:33464:1" rel="noopener">LG Energy Solution (373220 KS)</a> to be included in the Battery and BBIG indices, while <a href="https://www.smartkarma.com/entities/kakao-pay-corp" target="_blank" data-smartkarma-citation="entities:29675:1" rel="noopener">Kakao Pay (377300 KS)</a> should be added to the Internet Index.</li>
<li>The largest selling is expected to be on <a href="https://www.smartkarma.com/entities/douzone-bizon-co-ltd" target="_blank" data-smartkarma-citation="entities:20161:1" rel="noopener">Douzone Bizon (012510 KS)</a> due to a potential downweight in the Internet index and a deletion from the BBIG index.</li>
</ul>


The review period for the KRX New Deal indices ended on 31 January. The changes will be announced toward the end of February and implemented on 10 March.
We expect LG Energy Solution (373220 KS) to be included in the Battery and BBIG indices, while Kakao Pay (377300 KS) should be added to the Internet Index.
The largest selling is expected to be on Douzone Bizon (012510 KS) due to a potential downweight in the Internet index and a deletion from the BBIG index.


KRX New Deal Index Rebalance Preview (March): More Flow for LG Energy

South Korea

Danal Co., Ltd. specializes in developing and providing cellular mobile telephone services.  The Company's products include ring tones, games, color graphics, instant messenger and entertainment, and mobile payments through Internet and mobile devices.

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Danal Co Ltd (064260 KS)

KOSDAQ150 Index Rebalance Preview (June): Potential Inclusions Starting to Outperform

With 80% of the review period complete, there are 15 potential index changes. The potential inclusions have started to outperform the index and the...

Brian Freitas

KRX New Deal Index Rebalance: No Surprises as LG Chem Not Deleted from Battery Index

There is one change each for the Secondary Battery, Bio and Game Index. There are three changes to the Internet Index. LG Chem has not been deleted...

Brian Freitas

KRX K-New Deal Rebalancing: Latest Weight/Flow Update & LG Chem's Complete Deletion

This post provides the latest update on the weight adjustments and flow estimations for the KRX K-New Deal Index rebalancing.

Sanghyun Park

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This post tracks and previews the passive flows of Korea's three metaverse sector ETFs for the upcoming semi-annual rebalancing in June.

Sanghyun Park

KRX New Deal Index Rebalance Preview (March): More Flow for LG Energy

There are many changes to the KRX New Deal indices at the March rebal. The largest inflow is on LG Energy. The largest buying impact is on...

Brian Freitas

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