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 September rebalance of the KOSPI Size Indices started 1 June and will end 31 August. The changes will be implemented at the close 7 September.</li>
<li>We see 8 migrations from MidCap to LargeCap, 7 migrations from LargeCap to MidCap, 6 new adds to MidCap, and 16 migrations from SmallCap to MidCap.</li>
<li>Historically, stocks migrating from SmallCap to MidCap have outperformed stocks that are migrating between other categories.</li>
</ul>


The review period for the September rebalance of the KOSPI Size Indices started 1 June and will end 31 August. The changes will be implemented at the close 7 September.
We see 8 migrations from MidCap to LargeCap, 7 migrations from LargeCap to MidCap, 6 new adds to MidCap, and 16 migrations from SmallCap to MidCap.
Historically, stocks migrating from SmallCap to MidCap have outperformed stocks that are migrating between other categories.


KOSPI Size Indices - Plenty of Overlap With Other Index Flows

Event-Driven

<ul>
<li>There are 5 migrations from MidCap to LargeCap, 4 LargeCap to MidCap, 3 new additions to MidCap, 9 SmallCap to MidCap, 11 MidCap to SmallCap, 3 new additions to SmallCap.</li>
<li>The migrations from SmallCap to MidCap have outperformed the stocks migrating between other segments by a huge margin over the last few months.</li>
<li>Given the huge outperformance and looking at how the migrations have performed historically, we'd expect the stocks migrating to MidCap to underperform post implementation of the changes.</li>
</ul>


There are 5 migrations from MidCap to LargeCap, 4 LargeCap to MidCap, 3 new additions to MidCap, 9 SmallCap to MidCap, 11 MidCap to SmallCap, 3 new additions to SmallCap.
The migrations from SmallCap to MidCap have outperformed the stocks migrating between other segments by a huge margin over the last few months.
Given the huge outperformance and looking at how the migrations have performed historically, we'd expect the stocks migrating to MidCap to underperform post implementation of the changes.


KOSPI Size Indices - Changes in March & Implications

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Equity Bottom-Up

<p><strong>There are increasing indications that the big Chinese money is leaving Jeju island (0.6 million in population) in Korea.</strong> There has been a huge real estate speculation in the Jeju island, especially in the past five years, driven by an enormous rush of Chinese money. For example, Chinese people owned 1.6m sq meters of land in Jeju island at end of 2012, surging to 8.9m sq meters at end of 2015, an increase of 456% in three years. It is reported that some of the real estate agents in Jeju island…</p>

There are increasing indications that the big Chinese money is leaving Jeju island (0.6 million in population) in Korea. There has been a huge real estate speculation in the Jeju island, especially in the past five years, driven by an enormous rush of Chinese money. For example, Chinese people owned 1.6m sq meters of land in Jeju island at end of 2012, surging to 8.9m sq meters at end of 2015, an increase of 456% in three years. It is reported that some of the real estate agents in Jeju island…

South Korea

Jeju Bank is a regional commercial bank that provides banking, foreign exchange, trust account, and other related retail banking services.

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Jeju Bank (006220 KS)

KOSPI Size Indices - Plenty of Overlap With Other Index Flows

We currently forecast 52 changes for the KOSPI Size Indices. While there are few passive assets tracking these indices, they are used by active...

Brian Freitas

KOSPI Size Indices - Changes in March & Implications

The changes to the KOSPI Size Indices were announced on Friday. Stocks migrating from SmallCap to MidCap have bigly outperformed and going by...

Brian Freitas

Chinese Money Is Leaving Jeju Island

There are increasing indications that the big Chinese money is leaving Jeju island (0.6 million in population) in Korea. There has been a huge real...

Douglas Kim

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52-week Range

Market Cap (USDm)

P/E

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