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>With 70% of the review period complete, there could be 14 constituent changes for 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> in June.</li>
<li>There has been huge interest in the KOSDAQ market lately and that has led to big ETF creations in the last few months. That leads to increased flow and impact.</li>
<li>The forecast adds have MASSIVELY outperformed the forecast deletes over the last few months and in the last week. While the flow/impact are huge, watch out for short-term reversal.</li>
</ul>


With 70% of the review period complete, there could be 14 constituent changes for the KOSDAQ 150 Index (KOSDQ150 INDEX) in June.
There has been huge interest in the KOSDAQ market lately and that has led to big ETF creations in the last few months. That leads to increased flow and impact.
The forecast adds have MASSIVELY outperformed the forecast deletes over the last few months and in the last week. While the flow/impact are huge, watch out for short-term reversal.


KOSDAQ150 Index Rebalance Preview: Soaring AUM and Increased Flow/Impact

<ul>
<li>
<a href="https://www.smartkarma.com/entities/paradise-co-ltd" target="_blank" data-smartkarma-citation="entities:14940:1" rel="noopener">Paradise Co Ltd (034230 KS)</a> will move from the KOSDAQ Market to the KOSPI Market from the open of trading on 24 June.</li>
<li>
<a href="https://www.smartkarma.com/entities/e-d-co-ltd" target="_blank" data-smartkarma-citation="entities:29151:1" rel="noopener">E&amp;D Co Ltd (101360 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 (KOSDQ150 INDEX)</a> at the close on 21 June to replace <a href="https://www.smartkarma.com/entities/paradise-co-ltd" target="_blank" data-smartkarma-citation="entities:14940:1" rel="noopener">Paradise Co Ltd (034230 KS)</a>. </li>
<li>
<a href="https://www.smartkarma.com/entities/paradise-co-ltd" target="_blank" data-smartkarma-citation="entities:14940:1" rel="noopener">Paradise Co Ltd (034230 KS)</a> belongs to the Consumer Discretionary sector and there is a possibility of inclusion to the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX)</a> in December.</li>
</ul>



Paradise Co Ltd (034230 KS) will move from the KOSDAQ Market to the KOSPI Market from the open of trading on 24 June.

E&amp;D Co Ltd (101360 KS) will be added to the KOSDAQ 150 Index (KOSDQ150 INDEX) at the close on 21 June to replace Paradise Co Ltd (034230 KS). 

Paradise Co Ltd (034230 KS) belongs to the Consumer Discretionary sector and there is a possibility of inclusion to the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) in December.


KOSDAQ150 Adhoc Index Rebalance: Eco&Dream to Replace Paradise Co

Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/hlb-therapeutics-co-ltd" target="_blank" data-smartkarma-citation="entities:1933:1" rel="noopener">HLB Therapeutics (115450 KS)</a> will replace <a href="https://www.smartkarma.com/entities/jeisys-medical-inc" target="_blank" data-smartkarma-citation="entities:36766:1" rel="noopener">Jeisys Medical (287410 KS)</a> in 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> next week.</li>
<li>Passive trackers will need to buy 1.8 days of ADV in <a href="https://www.smartkarma.com/entities/hlb-therapeutics-co-ltd" target="_blank" data-smartkarma-citation="entities:1933:1" rel="noopener">HLB Therapeutics (115450 KS)</a> and sell over 4 days of ADV in <a href="https://www.smartkarma.com/entities/jeisys-medical-inc" target="_blank" data-smartkarma-citation="entities:36766:1" rel="noopener">Jeisys Medical (287410 KS)</a>. </li>
<li>Recent ad hoc inclusions 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> have jumped post announcement of index inclusion but have sold off after the inclusion.</li>
</ul>



HLB Therapeutics (115450 KS) will replace Jeisys Medical (287410 KS) in the KOSDAQ 150 Index (KOSDQ150 INDEX) next week.
Passive trackers will need to buy 1.8 days of ADV in HLB Therapeutics (115450 KS) and sell over 4 days of ADV in Jeisys Medical (287410 KS). 
Recent ad hoc inclusions to the KOSDAQ 150 Index (KOSDQ150 INDEX) have jumped post announcement of index inclusion but have sold off after the inclusion.


KOSDAQ150 Index Adhoc Rebalance: HLB Therapeutics Replaces Jeisys Medical

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>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

<ul>
<li>Archimed, via its Korean entity Syracuse Subco, now holds 91.35% of <a href="https://www.smartkarma.com/entities/jeisys-medical-inc" target="_blank" data-smartkarma-citation="entities:36766:1" rel="noopener">Jeisys Medical (287410 KS)</a> following the second tender offer. <a href="https://www.smartkarma.com/entities/jeisys-medical-inc" target="_blank" data-smartkarma-citation="entities:36766:1" rel="noopener">Jeisys</a> shares will be delisted in the next couple months.</li>
<li>
<a href="https://www.smartkarma.com/entities/jeisys-medical-inc" target="_blank" data-smartkarma-citation="entities:36766:1" rel="noopener">Jeisys Medical (287410 KS)</a> is a <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> constituent and there will be a replacement for the stock in the index.</li>
<li>Recent ad hoc replacements 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> have traded well and that warrants positioning for this event.</li>
</ul>


Archimed, via its Korean entity Syracuse Subco, now holds 91.35% of Jeisys Medical (287410 KS) following the second tender offer. Jeisys shares will be delisted in the next couple months.

Jeisys Medical (287410 KS) is a KOSDAQ 150 Index (KOSDQ150 INDEX) constituent and there will be a replacement for the stock in the index.
Recent ad hoc replacements to the KOSDAQ 150 Index (KOSDQ150 INDEX) have traded well and that warrants positioning for this event.


KOSDAQ150 Index Adhoc Rebalance Preview: Replacements for Jeisys Medical

South Korea

E&D Co.,Ltd. operates advanced materials businesses. The Company mainly produces and sells diesel oxidation catalysts, fuel carrying catalysts, and other environment catalysts. E&D conducts business in Korea.

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E&D Co Ltd (101360 KS)

KOSDAQ150 Index Rebalance Preview: Soaring AUM and Increased Flow/Impact

There could be 14 constituent changes for the KOSDAQ150 in June. AUM linked to the index has soared over the last couple of months. The forecast...

Brian Freitas

KOSDAQ150 Adhoc Index Rebalance: Eco&Dream to Replace Paradise Co

Eco&Dream will replace Paradise Co in the KOSDAQ150 Index at the close on Friday. Paradise Co could be added to the KOSPI200 Index in December...

Brian Freitas

KOSDAQ150 Index Adhoc Rebalance: HLB Therapeutics Replaces Jeisys Medical

HLB Therapeutics will replace Jeisys Medical in the KOSDAQ150 Index next week. Passives need to buy 1.8x ADV and sell 4x ADV. Historically, ad hoc...

Brian Freitas

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

KOSDAQ150 Index Adhoc Rebalance Preview: Replacements for Jeisys Medical

Archimed holds 91.35% of the shares in Jeisys Medical. With trading halted in Jeisys, the KRX could announce a replacement for the KOSDAQ150 Index....

Brian Freitas

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