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>There will be 1 addition and 1 deletion for the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200-index" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX)</a> at the December rebalance that will be implemented on 8 December.</li>
<li>
<a href="https://www.smartkarma.com/entities/lotte-confectionery-co-ltd-1feb0155-08b6-44eb-bdbd-8d67cf757dac" target="_blank" data-smartkarma-citation="entities:25993:1" rel="noopener">Lotte Confectionery (280360 KS)</a> was a high probability add while <a href="https://www.smartkarma.com/entities/samyang-holdings-corp" target="_blank" data-smartkarma-citation="entities:13761:1" rel="noopener">Samyang Holdings (000070 KS)</a> was the second delete on the list. <a href="https://www.smartkarma.com/entities/hyundai-home-shopping-network-corp" target="_blank" data-smartkarma-citation="entities:2357:1" rel="noopener">Hyundai Home Shopping Network (057050 KS)</a> avoided deletion.</li>
<li>Passive trackers will need to buy around 14 days of ADV on <a href="https://www.smartkarma.com/entities/lotte-confectionery-co-ltd-1feb0155-08b6-44eb-bdbd-8d67cf757dac" target="_blank" data-smartkarma-citation="entities:25993:1" rel="noopener">Lotte Confectionery (280360 KS)</a> and sell nearly 13 days of ADV on <a href="https://www.smartkarma.com/entities/samyang-holdings-corp" target="_blank" data-smartkarma-citation="entities:13761:1" rel="noopener">Samyang Holdings (000070 KS)</a>.</li>
</ul>


There will be 1 addition and 1 deletion for the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) at the December rebalance that will be implemented on 8 December.

Lotte Confectionery (280360 KS) was a high probability add while Samyang Holdings (000070 KS) was the second delete on the list. Hyundai Home Shopping Network (057050 KS) avoided deletion.
Passive trackers will need to buy around 14 days of ADV on Lotte Confectionery (280360 KS) and sell nearly 13 days of ADV on Samyang Holdings (000070 KS).


KOSPI200 Index Rebalance: Just One Change

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>We have seven constituents of KOSPI 200, which are subject to a float rate adjustment due to major shareholder stake sales and lockup release in the upcoming rebalancing in December</li>
<li>In terms of passive impact x ADTV, LG Energy Solution, KT Corp, and Shinhan Financial are expected to receive the most attention from flow traders.</li>
<li>The preemptive setups of flow traders will likely be more inclined toward these float rate changes since this December rebalance will have the lowest number of constituent changes ever.</li>
</ul>


We have seven constituents of KOSPI 200, which are subject to a float rate adjustment due to major shareholder stake sales and lockup release in the upcoming rebalancing in December
In terms of passive impact x ADTV, LG Energy Solution, KT Corp, and Shinhan Financial are expected to receive the most attention from flow traders.
The preemptive setups of flow traders will likely be more inclined toward these float rate changes since this December rebalance will have the lowest number of constituent changes ever.


KOSPI 200 Index Review: Names Subject to Float Rate Adjustment

<ul>
<li>With the review period complete, we see 1 high probability change and 1 lower probability change for the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200-index" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX)</a> in December.</li>
<li>We estimate passive trackers will need to trade over 10 days of ADV on the high probability names. There are indications that there are pre-positions built on the stocks.</li>
<li>With short-sell eligibility flipping post implementation of the changes, a lot of pre-positions will be unwound prior to implementation and there will be trading opportunities on the reverse side.</li>
</ul>


With the review period complete, we see 1 high probability change and 1 lower probability change for the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) in December.
We estimate passive trackers will need to trade over 10 days of ADV on the high probability names. There are indications that there are pre-positions built on the stocks.
With short-sell eligibility flipping post implementation of the changes, a lot of pre-positions will be unwound prior to implementation and there will be trading opportunities on the reverse side.


KOSPI200 Index Rebalance Preview: Potential Changes, Excess Volumes & Pre-Positioning

Event-Driven

<ul>
<li>The 2nd screening only deals with those who have passed the 1st screening. The 2nd screening does NOT include the first company to cross the threshold.</li>
<li>Lotte Confectionery will be the only addition to the KOSPI 200. Samyang Holdings or Hyundai Home Shopping Network will leave the index.</li>
<li>There will be ten changes in the KOSDAQ 150: eight regular &amp; two special entries. WCP's special entry still seems uncertain due to the GICS classification issue.</li>
</ul>


The 2nd screening only deals with those who have passed the 1st screening. The 2nd screening does NOT include the first company to cross the threshold.
Lotte Confectionery will be the only addition to the KOSPI 200. Samyang Holdings or Hyundai Home Shopping Network will leave the index.
There will be ten changes in the KOSDAQ 150: eight regular &amp; two special entries. WCP's special entry still seems uncertain due to the GICS classification issue.


KOSPI 200 & KOSDAQ 150: Rule Clarifications & Rebalancing Predictions

<ul>
<li>90% of the way through the review period of the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200-index" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Kospi 200 Index</a> December rebalance, we see two potential changes to the index. There is another potential inclusion failing liquidity.</li>
<li>This rebalance is expected to have the lowest turnover as compared to any of the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200-index" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Kospi 200 Index</a> rebalances over the last few years. Partly lower markets, partly no IPOs.</li>
<li>That said, passive trackers are estimated to need to trade over 10 days of ADV on one of the potential adds and both potential deletes.</li>
</ul>


90% of the way through the review period of the Kospi 200 Index December rebalance, we see two potential changes to the index. There is another potential inclusion failing liquidity.
This rebalance is expected to have the lowest turnover as compared to any of the Kospi 200 Index rebalances over the last few years. Partly lower markets, partly no IPOs.
That said, passive trackers are estimated to need to trade over 10 days of ADV on one of the potential adds and both potential deletes.


KOSPI200 Index Rebalance Preview: Few Changes, Big Impact

South Korea

Lotte Confectionery Co., Ltd. operates as a snack food manufacturing company. The Company produces and sells chewing gum, candy, biscuits, chocolates, pies, snacks, and other products. Lotte Confectionery markets its products worldwide.

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Lotte Confectionery (280360 KS)

KOSPI200 Index Rebalance: Just One Change

Lotte Confectionary replaces Samyang Holdings in the KOSPI200 at the close on 8 Dec. Passives need to trade over 12 days ADV on both stocks. There...

Brian Freitas

KOSPI 200 Index Review: Names Subject to Float Rate Adjustment

This post investigates the names subject to a free float rate adjustment in the upcoming rebalancing of the KOSPI 200 in December.

Sanghyun Park

KOSPI200 Index Rebalance Preview: Potential Changes, Excess Volumes & Pre-Positioning

There could be 2 changes to the KOSPI200 in December. Passive trackers will need to trade over 10x ADV on a few stocks. Excess volume & short...

Brian Freitas

KOSPI 200 & KOSDAQ 150: Rule Clarifications & Rebalancing Predictions

This post clarifies some vague rules of the KOSPI 200 & KOSDAQ 150 rebalancing and discusses the constituent changes in the December review.

Sanghyun Park

KOSPI200 Index Rebalance Preview: Few Changes, Big Impact

There should be two changes at the December rebalance. There could be a third if the stock passes the liquidity test. Passive trackers are...

Brian Freitas

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