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

Event-Driven

<ul>
<li>KRX has announced that <a href="https://www.smartkarma.com/entities/posco-dx-co-ltd" target="_blank" data-smartkarma-citation="entities:5198:1" rel="noopener">Posco DX (022100 KS)</a> will replace <a href="https://www.smartkarma.com/entities/shinsegae-international-co" target="_blank" data-smartkarma-citation="entities:4454:1" rel="noopener">Shinsegae International Co (031430 KS)</a> in 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> at the close on 14 March.</li>
<li>Passive trackers will need to buy 0.5 days of ADV in <a href="https://www.smartkarma.com/entities/posco-dx-co-ltd" target="_blank" data-smartkarma-citation="entities:5198:1" rel="noopener">Posco DX (022100 KS)</a> while selling in <a href="https://www.smartkarma.com/entities/shinsegae-international-co" target="_blank" data-smartkarma-citation="entities:4454:1" rel="noopener">Shinsegae International (031430 KS)</a> is larger at over 7 days of ADV.</li>
<li>
<a href="https://www.smartkarma.com/entities/l-f-co-ltd" target="_blank" data-smartkarma-citation="entities:14300:1" rel="noopener">L&amp;F (066970 KS)</a> lists on the KOSPI market on 29 January; there is a possibility that the stock is also added to the index in March as a Fast Entry.</li>
</ul>


KRX has announced that Posco DX (022100 KS) will replace Shinsegae International Co (031430 KS) in the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) at the close on 14 March.
Passive trackers will need to buy 0.5 days of ADV in Posco DX (022100 KS) while selling in Shinsegae International (031430 KS) is larger at over 7 days of ADV.

L&amp;F (066970 KS) lists on the KOSPI market on 29 January; there is a possibility that the stock is also added to the index in March as a Fast Entry.


KOSPI200 Index Rebalance (March): Fast Entry for PoscoDX; Will L&F Make It Too?

<ul>
<li>
<a href="https://www.smartkarma.com/entities/l-f-co-ltd" target="_blank" data-smartkarma-citation="entities:14300:1" rel="noopener">L&amp;F Co Ltd (066970 KS)</a> will move from the KOSDAQ Market to the KOSPI Market on 29 January. That means <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index</a> deletion at the close on 26 January.</li>
<li>As the highest ranked non-constituent from the Information Technology sector at the December rebalance, <a href="https://www.smartkarma.com/entities/seronics-co-ltd" target="_blank" data-smartkarma-citation="entities:13269:1" rel="noopener">Seronics Co Ltd (042600 KS)</a> will be added to the index.</li>
<li>Short interest on <a href="https://www.smartkarma.com/entities/l-f-co-ltd" target="_blank" data-smartkarma-citation="entities:14300:1" rel="noopener">L&amp;F Co (066970 KS)</a> is 1.8m shares (KRW 364bn; 4.98% of shares outstanding; 7.24% of float; 2.4x ADV). There could be recalls from passives and forced covering.</li>
</ul>



L&amp;F Co Ltd (066970 KS) will move from the KOSDAQ Market to the KOSPI Market on 29 January. That means KOSDAQ 150 Index deletion at the close on 26 January.
As the highest ranked non-constituent from the Information Technology sector at the December rebalance, Seronics Co Ltd (042600 KS) will be added to the index.
Short interest on L&amp;F Co (066970 KS) is 1.8m shares (KRW 364bn; 4.98% of shares outstanding; 7.24% of float; 2.4x ADV). There could be recalls from passives and forced covering.


KOSDAQ150 Adhoc Index Rebalance: Seronics to Replace L&F

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Equity Capital Markets

<ul>
<li>On 19 July, there were local media accounts that L&amp;F Co Ltd (066970 KS) is considering on switching its listing from KOSDAQ to KOSPI. </li>
<li>L&amp;F's main business involves making cathode active materials for rechargeable batteries.</li>
<li>Despite this positive move, we believe the valuations of L&amp;F have become too high. Its operating margins also worsened from 9.6% in 1Q 2022 to 3.0% in 1Q 2023. </li>
</ul>


On 19 July, there were local media accounts that L&amp;F Co Ltd (066970 KS) is considering on switching its listing from KOSDAQ to KOSPI. 
L&amp;F's main business involves making cathode active materials for rechargeable batteries.
Despite this positive move, we believe the valuations of L&amp;F have become too high. Its operating margins also worsened from 9.6% in 1Q 2022 to 3.0% in 1Q 2023. 


L&F Considering On Switching Listing from KOSDAQ to KOSPI

<ul>
<li>
<a href="https://www.smartkarma.com/entities/posco-dx-co-ltd" target="_blank" data-smartkarma-citation="entities:5198:1" rel="noopener">Posco DX (022100 KS)</a> rallied 50% following approval of its application to transfer from the KOSDAQ to the KOSPI market. Then the stock dropped 20% following completion of the transfer.</li>
<li>With <a href="https://www.smartkarma.com/entities/l-f-co-ltd" target="_blank" data-smartkarma-citation="entities:14300:1" rel="noopener">L&amp;F Co Ltd (066970 KS)</a> applying for a section transfer a couple of weeks after <a href="https://www.smartkarma.com/entities/posco-dx-co-ltd" target="_blank" data-smartkarma-citation="entities:5198:1" rel="noopener">Posco DX (022100 KS)</a>, approval could be imminent. </li>
<li>
<a href="https://www.smartkarma.com/entities/l-f-co-ltd" target="_blank" data-smartkarma-citation="entities:14300:1" rel="noopener">L&amp;F Co Ltd (066970 KS)</a> is up 46% since the start of November, but the stock has performed in line with the average of its peers.</li>
</ul>



Posco DX (022100 KS) rallied 50% following approval of its application to transfer from the KOSDAQ to the KOSPI market. Then the stock dropped 20% following completion of the transfer.
With L&amp;F Co Ltd (066970 KS) applying for a section transfer a couple of weeks after Posco DX (022100 KS), approval could be imminent. 

L&amp;F Co Ltd (066970 KS) is up 46% since the start of November, but the stock has performed in line with the average of its peers.


L&F (066970 KS): Will the Stock Move Like PoscoDX Following the KOSDAQ to KOSPI Transfer?

Korea / Special Sits, Pairs, Index Rebalancing, Clepsydra Capital

Sanghyun Park

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

<ul>
<li>In the past year, four KOSPI transfer listings showed similar patterns, with pre-listing price increases and substantial corrections in the first five trading days post-listing.</li>
<li>ChatGPTAmid a sideways market and a 54.2% YoY growth in the local ETF market last year, the impact of passive flow imbalances may have been more significant than before.</li>
<li>A key factor is the short-selling ban. Posco DX's SSFs showed significant backwardation pre-KOSPI listing, concentrating proactive short positions, requiring caution in adjusting pre-listing short position costs.</li>
</ul>


In the past year, four KOSPI transfer listings showed similar patterns, with pre-listing price increases and substantial corrections in the first five trading days post-listing.
ChatGPTAmid a sideways market and a 54.2% YoY growth in the local ETF market last year, the impact of passive flow imbalances may have been more significant than before.
A key factor is the short-selling ban. Posco DX's SSFs showed significant backwardation pre-KOSPI listing, concentrating proactive short positions, requiring caution in adjusting pre-listing short position costs.


Event Trading on KOSPI Transfer Listings: Notable Post-Listing Price Patterns

South Korea

L&F Co., Ltd. develops and manufactures battery materials. The Company produces and sells cathode active materials, anode materials, electrolyte, separator, and other products. L&F markets its products throughout Korea.

L&F (066970 KS)

KOSPI200 Index Rebalance (March): Fast Entry for PoscoDX; Will L&F Make It Too?

PoscoDX will be added to the KOSPI200 in March as a Fast Entry. Shinsegae Intl will be deleted. LnF lists on the KOSPI market on 29Jan and could...

Brian Freitas

KOSDAQ150 Adhoc Index Rebalance: Seronics to Replace L&F

Seronics will replace L&F in the KOSDAQ150 Index at the close on 26 January. There is still a lot of short interest on L&F and there could be...

Brian Freitas

L&F Considering On Switching Listing from KOSDAQ to KOSPI

Korea Exchange announced today that L&F has met the listing requirement for KOSPI. As a result, the listing of L&F will be changed from KOSDAQ to...

Douglas Kim

L&F (066970 KS): Will the Stock Move Like PoscoDX Following the KOSDAQ to KOSPI Transfer?

The approval of L&F's transfer to the KOSPI market could come shortly. The stock is +46% since November but has performed in line with peers. Short...

Brian Freitas

Event Trading on KOSPI Transfer Listings: Notable Post-Listing Price Patterns

This post delves into significant post-listing price patterns observed in KOSPI transfer listings, aiming to provide insights for event-driven...

Sanghyun Park