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 are 11 inclusions and 11 exclusions for 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 to be implemented at the close on 8 December.</li>
<li>We had forecast most of the changes (10 adds and 9 deletes), so there are a few surprises. The inclusion of <a href="https://www.smartkarma.com/entities/sillajen-inc" target="_blank" data-smartkarma-citation="entities:22838:1" rel="noopener">SillaJen Inc (215600 KS)</a> is the biggest one.</li>
<li>The adds to the index become short sell eligible from the open of trading on 9 December while the deletions will not be short sell eligible from the same time.</li>
</ul>


There are 11 inclusions and 11 exclusions for the KOSDAQ 150 Index (KOSDQ150 INDEX) at the December rebalance to be implemented at the close on 8 December.
We had forecast most of the changes (10 adds and 9 deletes), so there are a few surprises. The inclusion of SillaJen Inc (215600 KS) is the biggest one.
The adds to the index become short sell eligible from the open of trading on 9 December while the deletions will not be short sell eligible from the same time.


KOSDAQ150 Index Rebalance: 11 Changes with a Couple of Surprises

<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>
<a href="https://www.smartkarma.com/entities/hpsp-co-ltd" target="_blank" data-smartkarma-citation="entities:36004:1" rel="noopener">HPSP (403870 KS)</a> and <a href="https://www.smartkarma.com/entities/sungeel-hitech-co-ltd" target="_blank" data-smartkarma-citation="entities:36028:1" rel="noopener">Sungeel Hitech (365340 KS)</a> are the candidates for Early Entry in the December rebalancing as they sit comfortably within the Early Entry zone.</li>
<li>
<a href="https://www.smartkarma.com/entities/rsupport-co-ltd" target="_blank" data-smartkarma-citation="entities:14783:1" rel="noopener">Rsupport (131370 KS)</a> and Kona I (052400 KS) are safe deletion bets. If they are not deleted through the rebalancing process, they will most likely be excluded by Early Entry.</li>
<li>
HPSP and SungEel should see an inflow equivalent to 0.9x and 0.8x ADTVs, respectively. Rsupport and Kona I will likely suffer an outflow of 3.4x and 3.8x ADTVs, respectively.</li>
</ul>



HPSP (403870 KS) and Sungeel Hitech (365340 KS) are the candidates for Early Entry in the December rebalancing as they sit comfortably within the Early Entry zone.

Rsupport (131370 KS) and Kona I (052400 KS) are safe deletion bets. If they are not deleted through the rebalancing process, they will most likely be excluded by Early Entry.

HPSP and SungEel should see an inflow equivalent to 0.9x and 0.8x ADTVs, respectively. Rsupport and Kona I will likely suffer an outflow of 3.4x and 3.8x ADTVs, respectively.


KOSDAQ 150 Early Entry Candidates for December Rebalancing

South Korea

Rsupport Co., Ltd. develops remote support and remote access software. The Company provides web-icon connection methods which allow homes and businesses to remotely access computers. Rsupport offers its products and services around the world.

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Rsupport Co Ltd (131370 KS)

KOSDAQ150 Index Rebalance: 11 Changes with a Couple of Surprises

There are 11 changes at the Dec rebal: mostly in line with forecasts. SillaJen is a surprise add; Devsisters is a surprise delete. Short interest...

Brian Freitas

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

KOSDAQ 150 Early Entry Candidates for December Rebalancing

This post investigates the Early Entry candidates and the resulting exclusion names fo the KOSDA 150 rebalancing in December.

Sanghyun Park

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