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

Pan-Asia Tactical Market Calls (Quant-Driven), MRM Research

Nico Rosti

Pan-Asia Tactical Market Calls (Quant-Driven)

MRM Research

Quantitative Research

Equity Derivatives

Korea Stock Exchange KOSPI 200 / Equity Derivatives

<ul>
<li>A previously published <a href="https://www.smartkarma.com/insights/eqd-kospi-200-index-weekly-time-to-go-long" target="_blank" rel="noopener">insight</a> correctly highlighted an high-probability opportunity to go LONG and join the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a>'s current multi-month Bull run.</li>
<li>The index closed the week strongly up, now we want to evaluate how far this new leg up could go: a total of +3/+4 weeks up, price targets =359-385.</li>
<li>Holders of KOSPI 200 LONG positions: Covered Calls can be written at Strikes between 346 and 360, expiry August 10th (4 weeks). A pullback is highly probable from 360.
</li>
</ul>


A previously published insight correctly highlighted an high-probability opportunity to go LONG and join the KOSPI 200's current multi-month Bull run.
The index closed the week strongly up, now we want to evaluate how far this new leg up could go: a total of +3/+4 weeks up, price targets =359-385.
Holders of KOSPI 200 LONG positions: Covered Calls can be written at Strikes between 346 and 360, expiry August 10th (4 weeks). A pullback is highly probable from 360.



EQD | KOSPI 200 Index WEEKLY Rising: How Far Can It Go?

Kepco Engineering & Construction / Index Rebalance

<ul>
<li>Solactive has announced the constituent changes for the Global Uranium &amp; Nuclear Components Index. There are 6 adds and 5 deletes with implementation at the close on 31 January.</li>
<li>Estimated one-way turnover is in excess of 12% and will result in a one-way trade of US$207m. There are 11 stocks with estimated passive flows greater than 5x ADV.</li>
<li>Some of the inclusions have had BIG rallies over the last couple of months and there could be profit taking on those names in the next few days.</li>
</ul>


Solactive has announced the constituent changes for the Global Uranium &amp; Nuclear Components Index. There are 6 adds and 5 deletes with implementation at the close on 31 January.
Estimated one-way turnover is in excess of 12% and will result in a one-way trade of US$207m. There are 11 stocks with estimated passive flows greater than 5x ADV.
Some of the inclusions have had BIG rallies over the last couple of months and there could be profit taking on those names in the next few days.


Solactive Global Uranium & Nuclear Components Index Rebalance: 6 Adds, 5 Deletes

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>The results are pretty much in line with the predictions, except for Hanwha Aerospace which made it to LARGE instead of Hyundai Marine &amp; Fire Insurance.</li>
<li>Assuming that ten names, including Hyundai Marine, were traded in a LONG/SHORT basket with equal weight, the yield from August 17 to the last close would have been 4.6%.</li>
<li>I would still approach with an equal-weighted basket trading until this Thursday. This flow trading usually loses its effect rapidly after rebalancing. So, I wouldn't carry it beyond this Thursday.</li>
</ul>


The results are pretty much in line with the predictions, except for Hanwha Aerospace which made it to LARGE instead of Hyundai Marine &amp; Fire Insurance.
Assuming that ten names, including Hyundai Marine, were traded in a LONG/SHORT basket with equal weight, the yield from August 17 to the last close would have been 4.6%.
I would still approach with an equal-weighted basket trading until this Thursday. This flow trading usually loses its effect rapidly after rebalancing. So, I wouldn't carry it beyond this Thursday.


KOSPI Size Index Migration: Official Results & Trading Approach Towards Implementation

GS Engineering & Construction / Event-Driven

<ul>
<li>Eight stocks are highly likely to migrate with a substantial passive flow. Compared to the early phase of the screening period, GS Engineering &amp; Construction newly made the list.</li>
<li>Most names should show a quite substantial passive flow (x ADTV). In particular, KCC Corp and BGF Retail deserve our special attention for their expected passive impact.</li>
<li>The flow occurs on high potential migration stocks about 20 days before the effective date. So I would start building Long/Short Basket positions with the above eight names around mid-August.</li>
</ul>


Eight stocks are highly likely to migrate with a substantial passive flow. Compared to the early phase of the screening period, GS Engineering &amp; Construction newly made the list.
Most names should show a quite substantial passive flow (x ADTV). In particular, KCC Corp and BGF Retail deserve our special attention for their expected passive impact.
The flow occurs on high potential migration stocks about 20 days before the effective date. So I would start building Long/Short Basket positions with the above eight names around mid-August.


KOSPI Size Index Series Rebalancing in September: Eight Strong Targets

South Korea

KEPCO Engineering & Construction Company, Inc. designs nuclear and conventionally-fueled electricity generating plants.  The Company also provides power plant engineering services and consulting services to power industry.

Kepco Engineering & Construction (052690 KS)

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Kepco Engineering & Construction (052690 KS)

KOSPI Size Indices - Plenty of Overlap With Other Index Flows

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EQD | KOSPI 200 Index WEEKLY Rising: How Far Can It Go?

Market Reversal Matrix (MRM)'s analysis of the KOSPI 200's WEEKLY current uptrend: price levels where the trend can stop and probability of...

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Solactive Global Uranium & Nuclear Components Index Rebalance: 6 Adds, 5 Deletes

There are 6 adds & 5 deletes for the Solactive Global Uranium & Nuclear Components Index tracked by the URA ETF. One-way turnover is in excess of...

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KOSPI Size Index Migration: Official Results & Trading Approach Towards Implementation

This post looks at the official results of the KOSPI Size Index migration in the September rebalancing and discusses the noteworthy flow patterns...

Sanghyun Park

KOSPI Size Index Series Rebalancing in September: Eight Strong Targets

This post filters eight strong targets for long/short basket trading ahead of the September KOSPI Size Index Series rebalancing.

Sanghyun Park

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