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>A third of the way through the review period, we see three potential changes. There are a few stocks that are close to inclusion and could lead to more changes.</li>
<li>There should be a couple of index changes prior to the June review due to the merger of <a href="https://www.smartkarma.com/entities/meritz-financial-group-inc" target="_blank" data-smartkarma-citation="entities:11776:1" rel="noopener">Meritz Financial Group</a>, <a href="https://www.smartkarma.com/entities/meritz-securities-co-ltd" target="_blank" data-smartkarma-citation="entities:19692:1" rel="noopener">Meritz Securities</a> and <a href="https://www.smartkarma.com/entities/meritz-fire-marine-insurance-co-ltd" target="_blank" data-smartkarma-citation="entities:20468:1" rel="noopener">Meritz Fire &amp; Marine Insurance</a>.</li>
<li>Passive trackers need to trade between KRW 5-23bn on the stocks and short interest is quite low on the potential inclusions and exclusions.</li>
</ul>


A third of the way through the review period, we see three potential changes. There are a few stocks that are close to inclusion and could lead to more changes.
There should be a couple of index changes prior to the June review due to the merger of Meritz Financial Group, Meritz Securities and Meritz Fire &amp; Marine Insurance.
Passive trackers need to trade between KRW 5-23bn on the stocks and short interest is quite low on the potential inclusions and exclusions.


KOSPI200 Index Rebalance Preview (June): Changes from Now to June

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.

Event-Driven

<ul>
<li>As expected, Sungeel Hitech (365340) made it to the index. And C&amp;I System (222080) and Wonik PNE (217820) were added, whereas Ecopro (086520) and Dongwha Enterprise (025900) were deleted.</li>
<li>Among the existing constituents, Samsung SDI (006400), Ecopro BM (247540), SK Innovation (096770), L&amp;F (066970), and SKC (011790) are expected to have a relatively significant impact.</li>
<li>Looking at the last rebalancing, the impact/price correlation was most significant on Day 1. So, we should consider aiming for LONG/SHORT today for those with a high relative impact.</li>
</ul>


As expected, Sungeel Hitech (365340) made it to the index. And C&amp;I System (222080) and Wonik PNE (217820) were added, whereas Ecopro (086520) and Dongwha Enterprise (025900) were deleted.
Among the existing constituents, Samsung SDI (006400), Ecopro BM (247540), SK Innovation (096770), L&amp;F (066970), and SKC (011790) are expected to have a relatively significant impact.
Looking at the last rebalancing, the impact/price correlation was most significant on Day 1. So, we should consider aiming for LONG/SHORT today for those with a high relative impact.


KODEX Battery Rebalancing Results Out: From Today to Next Tuesday

<ul>
<li>KRX unveiled the rebalancing results of the CSI KRX China-Korea indices for Korean constituents yesterday.</li>
<li>There is still insufficient evidence data to estimate specific passive impact. The previous rebalancing in June showed no clear correlation between constituent changes and price impact.</li>
<li>Although it may be risky to trade on this rebalancing, monitoring the correlation of their passive impact at this point, one year after the release, seems worthwhile.</li>
</ul>


KRX unveiled the rebalancing results of the CSI KRX China-Korea indices for Korean constituents yesterday.
There is still insufficient evidence data to estimate specific passive impact. The previous rebalancing in June showed no clear correlation between constituent changes and price impact.
Although it may be risky to trade on this rebalancing, monitoring the correlation of their passive impact at this point, one year after the release, seems worthwhile.


CSI KRX China-Korea: Rebalancing Results from KRX & Flow Trading Considerations

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Equity Bottom-Up

<ul>
<li>On 15 November, Ecopro Group announced a major equity grant for 2,706 employees that work for various affiliates of the Ecopro Group.</li>
<li>The company announced that it will provide equity grant shares worth about 10 million won per employee (for most of the Ecopro Group full time employees as of 30 September).</li>
<li>We like what Ecopro Group is trying to do with this equity grant program and we believe this equity grant program will positively impact Ecopro Co and Ecopro BM. </li>
</ul>


On 15 November, Ecopro Group announced a major equity grant for 2,706 employees that work for various affiliates of the Ecopro Group.
The company announced that it will provide equity grant shares worth about 10 million won per employee (for most of the Ecopro Group full time employees as of 30 September).
We like what Ecopro Group is trying to do with this equity grant program and we believe this equity grant program will positively impact Ecopro Co and Ecopro BM. 


Ecopro Group: Major Equity Grants for 2,706 Employees

<ul>
<li>KODEX Battery ETF rebalancing began on September 8 and runs until this Tuesday, the 14th.  Its AUM is 1.3 trillion won, and the number of constituents is only 25.</li>
<li>The quantity change in one CU for the 13th was confirmed. Tomorrow's are estimates based on equal daily weights. With still two-thirds to go, the flow/price impact looks still juicy.</li>
<li>SK Innovation, L&amp;F, LG Energy, and Ecopro will show a significant size in weight change and passive flow, so they are safe names for a LONG SHORT basket trading.</li>
</ul>


KODEX Battery ETF rebalancing began on September 8 and runs until this Tuesday, the 14th.  Its AUM is 1.3 trillion won, and the number of constituents is only 25.
The quantity change in one CU for the 13th was confirmed. Tomorrow's are estimates based on equal daily weights. With still two-thirds to go, the flow/price impact looks still juicy.
SK Innovation, L&amp;F, LG Energy, and Ecopro will show a significant size in weight change and passive flow, so they are safe names for a LONG SHORT basket trading.


KODEX Battery ETF Rebalancing: Target Weight & Qty in CU of Each Constituent

South Korea

Ecopro Co., Ltd. specializes in developing chemical absorbent and NDC (Nano Carbon Ball) in the field of environmental materials for the prevention of air pollution.  The Company's products include environment-related chemical filters, second battery materials, and CO catalyst.

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Ecopro Co Ltd (086520 KS)

KOSPI200 Index Rebalance Preview (June): Changes from Now to June

There could be two changes in Jan & April and then another 3 changes in June. Impact on the stocks is not excessive and short interest is minimal....

Brian Freitas

KODEX Battery Rebalancing Results Out: From Today to Next Tuesday

This post details the rebalancing results and resulting passive impacts of the KODEX Secondary Battery ETF, which runs from today to next Tuesday.

Sanghyun Park

CSI KRX China-Korea: Rebalancing Results from KRX & Flow Trading Considerations

This post details the rebalancing results of the CSI KRX China-Korea indices (50, EV, and Semiconductor), effective December 12, and discusses...

Sanghyun Park

Ecopro Group: Major Equity Grants for 2,706 Employees

On 15 November, Ecopro Group announced a major equity grant for 2,706 employees that work for various affiliates of the Ecopro Group.

Douglas Kim

KODEX Battery ETF Rebalancing: Target Weight & Qty in CU of Each Constituent

This post provides the target weight, qty. in CU, and passive flow (x ADTV) of each constituent resulting from the KODEX Battery ETF rebalancing.

Sanghyun Park

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