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

SK Biopharmaceuticals   / Index Rebalance

<ul>
<li>The review period for the September rebalance ends on 31 July, the changes will be announced towards end August and implemented at the close of trading on 7 September.</li>
<li>There is one change currently for each of the Secondary Battery, Bio, Internet and Game indices. Plus there are a couple of changes for the BBIG indices.</li>
<li>
<a href="https://www.smartkarma.com/entities/sk-biopharmaceuticals-co-ltd" target="_blank" data-smartkarma-citation="entities:28966:1" rel="noopener">SK Biopharmaceuticals Co Ltd (326030 KS)</a> has overtaken <a href="https://www.smartkarma.com/entities/sk-bioscience-co-ltd" target="_blank" data-smartkarma-citation="entities:31484:1" rel="noopener">SK Bioscience (302440 KS)</a> on average market cap and there will be large flows on both stocks at the rebalance.</li>
</ul>


The review period for the September rebalance ends on 31 July, the changes will be announced towards end August and implemented at the close of trading on 7 September.
There is one change currently for each of the Secondary Battery, Bio, Internet and Game indices. Plus there are a couple of changes for the BBIG indices.

SK Biopharmaceuticals Co Ltd (326030 KS) has overtaken SK Bioscience (302440 KS) on average market cap and there will be large flows on both stocks at the rebalance.


KRX New Deal Index Rebalance Preview: Interesting Changes Emerging

<ul>
<li>The changes for the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200-index" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI2 INDEX</a>, <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ150 Index</a>, <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI300 Index</a>, <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50 INDEX</a> and a bunch of other onshore China indices were implemented last week.</li>
<li>The coming week has a lot of rebalance implementations on Friday with the S&amp;P/ASX family and the MVIS family, among others.</li>
<li>AUM for the Yuanta/P-shares Taiwan Top 50 ETF (0050 TT) has continued to increase with big inflows in the last week.</li>
</ul>


The changes for the KOSPI2 INDEX, KOSDAQ150 Index, CSI300 Index, STAR50 INDEX and a bunch of other onshore China indices were implemented last week.
The coming week has a lot of rebalance implementations on Friday with the S&amp;P/ASX family and the MVIS family, among others.
AUM for the Yuanta/P-shares Taiwan Top 50 ETF (0050 TT) has continued to increase with big inflows in the last week.


Index Rebalance & ETF Flow Recap: HSCI, GDXJ, KRX New Deal, AMFI, Amman Mineral, Infratil

<ul>
<li>The review period for the September rebalance ends on 31 July, the changes will be announced towards end August and implemented at the close of trading on 7 September.</li>
<li>There is one change currently for each of the Secondary Battery, Bio, Internet and Game indices. Large stock price moves mean no changes for the BBIG Index currently.</li>
<li>
<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> has flipped from a passive sell to a passive buy over the last month and the stock could move higher from here.</li>
</ul>


The review period for the September rebalance ends on 31 July, the changes will be announced towards end August and implemented at the close of trading on 7 September.
There is one change currently for each of the Secondary Battery, Bio, Internet and Game indices. Large stock price moves mean no changes for the BBIG Index currently.

Douzone Bizon (012510 KS) has flipped from a passive sell to a passive buy over the last month and the stock could move higher from here.


KRX New Deal Index Rebalance Preview: A Change for Each Index

<ul>
<li>The review period for the September rebalance ends on 31 July, the changes will be announced towards end August and implemented at the close of trading on 7 September.</li>
<li>There are potential changes to some of the indices and then there are close changes that will result in big flows if they eventuate.</li>
<li>The March rebalance saw some funky moves on the stocks that had big flows and we could see more of that at the September rebalance.</li>
</ul>


The review period for the September rebalance ends on 31 July, the changes will be announced towards end August and implemented at the close of trading on 7 September.
There are potential changes to some of the indices and then there are close changes that will result in big flows if they eventuate.
The March rebalance saw some funky moves on the stocks that had big flows and we could see more of that at the September rebalance.


KRX New Deal Index Rebalance Preview: Potential & Close Changes in September

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>Two pairs of constituent changes marked in squares in INTERNET and GAME may offer meaningful trading opportunities: Seojin System IN / Ahnlab OUT and Com2us IN / Doubleugames OUT.</li>
<li>Along with TIGER ETF, stealth index funds follow these indices. So, constituent changes in INTERNET and GAME create a flow impact of 0.3~0.6x DTV, even not in the Top 3.</li>
<li>Also, INTERNET and GAME have less passive flow impact degradation risk due to momentum trading flows compared to BATTERY and BIO.</li>
</ul>


Two pairs of constituent changes marked in squares in INTERNET and GAME may offer meaningful trading opportunities: Seojin System IN / Ahnlab OUT and Com2us IN / Doubleugames OUT.
Along with TIGER ETF, stealth index funds follow these indices. So, constituent changes in INTERNET and GAME create a flow impact of 0.3~0.6x DTV, even not in the Top 3.
Also, INTERNET and GAME have less passive flow impact degradation risk due to momentum trading flows compared to BATTERY and BIO.


Overlooked Trading Angle in K-New Deal Rebalancing Event: Two LONG SHORT Pairs to Watch

South Korea

DoubleUGames Co., Ltd. develops and markets online games and mobile games.  The Company mainly develops social casino games including DoubleU Casino and DoubleU Bingo.

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Doubleugames Co, Ltd. (192080 KS)

KRX New Deal Index Rebalance Preview: Interesting Changes Emerging

As we cross the halfway mark in the review period, a couple of interesting changes have emerged in the last week. These stocks will have the...

Brian Freitas

Index Rebalance & ETF Flow Recap: HSCI, GDXJ, KRX New Deal, AMFI, Amman Mineral, Infratil

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

Brian Freitas

KRX New Deal Index Rebalance Preview: A Change for Each Index

There is 1 change currently for each of the Secondary Battery, Bio, Internet & Game indices. There are some close contests among the top 3 stocks...

Brian Freitas

KRX New Deal Index Rebalance Preview: Potential & Close Changes in September

There were big moves on stocks that were changes at the March rebalance. We take a look at expected and close changes at the September rebalance....

Brian Freitas

Overlooked Trading Angle in K-New Deal Rebalancing Event: Two LONG SHORT Pairs to Watch

This post uncovers the overlooked trading angle in the K-New Deal index rebalancing event and presents two pairs of LONG SHORT setups that we...

Sanghyun Park

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