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 the review period complete, we see 11 potential changes 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 December rebalance.</li>
<li>Most of the potential changes are high probability ones, but there are some stocks that are very close to market cap and liquidity cutoffs.</li>
<li>The impact of passive trading will be much higher on the potential deletes as compared to the potential inclusions, though trade notionals are higher for the potential adds.</li>
</ul>


With the review period complete, we see 11 potential changes to the KOSDAQ 150 Index (KOSDQ150 INDEX) at the December rebalance.
Most of the potential changes are high probability ones, but there are some stocks that are very close to market cap and liquidity cutoffs.
The impact of passive trading will be much higher on the potential deletes as compared to the potential inclusions, though trade notionals are higher for the potential adds.


KOSDAQ150 Index Rebalance Preview: Big Churn in IT, Healthcare Stocks

<ul>
<li>With 85% of the review period complete, we see 10 potential changes 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 December rebalance.</li>
<li>There are a few stocks that are close adds/deletes on market cap and liquidity and could make it into the final list depending on price/volume over the next few weeks.</li>
<li>The potential adds have outperformed the potential deletes over the last month and pre-positioning could continue till the end of the review period.</li>
</ul>


With 85% of the review period complete, we see 10 potential changes to the KOSDAQ 150 Index (KOSDQ150 INDEX) at the December rebalance.
There are a few stocks that are close adds/deletes on market cap and liquidity and could make it into the final list depending on price/volume over the next few weeks.
The potential adds have outperformed the potential deletes over the last month and pre-positioning could continue till the end of the review period.


KOSDAQ150 Index Rebalance Preview: Moving in the Right Direction

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>KOSDAQ 150's December rebalancing will feature seven regular changes and two special entries.</li>
<li>Among the additions, we should focus on Dear U and ISC, which have a balanced level of liquidity and flow, rather than those theme stocks with high volatility.</li>
<li>As for Nature Holdings, Eoflow, and Nextin, I suggest a more aggressive entry point due to low trading volume. Then, I'd basket-trade the deletions on equal weight.</li>
</ul>


KOSDAQ 150's December rebalancing will feature seven regular changes and two special entries.
Among the additions, we should focus on Dear U and ISC, which have a balanced level of liquidity and flow, rather than those theme stocks with high volatility.
As for Nature Holdings, Eoflow, and Nextin, I suggest a more aggressive entry point due to low trading volume. Then, I'd basket-trade the deletions on equal weight.


KOSDAQ 150 Rebalancing: 7 Regular Changes + 2 Special Entries

<ul>
<li>One third of the way through the review period for the June rebalance, we see 11 potential changes 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>. </li>
<li>One-Way turnover is estimated at 3.88% and the impact on the expected deletions is a lot higher than the impact on the expected inclusions.</li>
<li>The potential adds have outperformed the potential deletes over the last few months. With the potential adds not short sell eligible, there could be more to go here.</li>
</ul>


One third of the way through the review period for the June rebalance, we see 11 potential changes to the KOSDAQ 150 Index (KOSDQ150 INDEX). 
One-Way turnover is estimated at 3.88% and the impact on the expected deletions is a lot higher than the impact on the expected inclusions.
The potential adds have outperformed the potential deletes over the last few months. With the potential adds not short sell eligible, there could be more to go here.


KOSDAQ150 Index Rebalance Preview (Dec 2022): Changes Galore Early in the Review Period

<ul>
<li>The review period for the June rebalance of the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index</a> ended on Friday. We see 14 potential changes to the index - most are high probability. </li>
<li>The impact of passive trading is higher on the deletions than on the additions. Short interest on the potential adds is zero/negligible and a lot larger on the potential deletions.</li>
<li>Short interest on a couple of potential deletion exceeds the estimated passive selling, while there are others where short interest is three-quarters of the estimated passive selling.</li>
</ul>


The review period for the June rebalance of the KOSDAQ 150 Index ended on Friday. We see 14 potential changes to the index - most are high probability. 
The impact of passive trading is higher on the deletions than on the additions. Short interest on the potential adds is zero/negligible and a lot larger on the potential deletions.
Short interest on a couple of potential deletion exceeds the estimated passive selling, while there are others where short interest is three-quarters of the estimated passive selling.


KOSDAQ150 Index Rebalance Preview: 14 Potential Changes in June

South Korea

Kona I Co., Ltd. develops and provides electronic purse cards, called smartcards , which can be used for online and offline settlements and payments.  The Company also sells smart card readers, automatic teller machines, integrated transportation systems, and chips on board (COB) used in electronic cards.

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Kona I Co Ltd (052400 KS)

KOSDAQ150 Index Rebalance Preview: Big Churn in IT, Healthcare Stocks

There could be 11 changes at the Dec rebalance. Most changes are high probability and will result in a big churn in the IT & Healthcare sectors....

Brian Freitas

KOSDAQ150 Index Rebalance Preview: Moving in the Right Direction

There could be 10 changes to the KOSDAQ150 Index in December. There are a few stocks that are close adds/deletes. The potential adds have...

Brian Freitas

KOSDAQ 150 Rebalancing: 7 Regular Changes + 2 Special Entries

KOSDAQ 150 rebalancing in December will feature 7 regular changes and 2 special entries. This post details the screening results and the resulting...

Sanghyun Park

KOSDAQ150 Index Rebalance Preview (Dec 2022): Changes Galore Early in the Review Period

One third of the way through the review period, we see 11 potential changes. The potential adds have outperformed the potential deletes and there...

Brian Freitas

KOSDAQ150 Index Rebalance Preview: 14 Potential Changes in June

We forecast 14 potential changes to the KOSDAQ150 Index in June - most are high probability. Short interest on few potential deletions exceeds the...

Brian Freitas

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