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

HD Hyundai Marine Solution  / Index Rebalance

<ul>
<li>Halfway through the review period, there could be 6 changes for 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 KOSPI200 (KOSPI2 INDEX)</a> in June. The <a href="https://www.smartkarma.com/entities/lg-cns-co-ltd" target="_blank" data-smartkarma-citation="entities:35945:1" rel="noopener">LG CNS (LGCNSZ KS)</a> listing could increase that number.</li>
<li>The impact on the potential inclusions ranges from 2.1-26 days of ADV while the impact on the potential deletions varies from 5-11 days of ADV.</li>
<li>The forecast adds have outperformed the forecast deletes over the last few months and the performance gap is near its widest point.</li>
</ul>


Halfway through the review period, there could be 6 changes for the Korea Stock Exchange KOSPI200 (KOSPI2 INDEX) in June. The LG CNS (LGCNSZ KS) listing could increase that number.
The impact on the potential inclusions ranges from 2.1-26 days of ADV while the impact on the potential deletions varies from 5-11 days of ADV.
The forecast adds have outperformed the forecast deletes over the last few months and the performance gap is near its widest point.


KOSPI200 Index Rebalance Preview: 6 Potential Changes in June; LG CNS Listing Could Increase That

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Douglas Research Advisory

Cross Asset Strategy

<ul>
<li>In this analysis, we provide a back testing analysis of the end of mandatory lock-up periods monthly data in Korea in the past six months.</li>
<li>All in all, this end of mandatory lock-up period monthly data continues to provide some alpha generating results.</li>
<li>In the past six months, they have tended to work better in periods when KOSPI declines rather than in periods when KOSPI rises. </li>
</ul>


In this analysis, we provide a back testing analysis of the end of mandatory lock-up periods monthly data in Korea in the past six months.
All in all, this end of mandatory lock-up period monthly data continues to provide some alpha generating results.
In the past six months, they have tended to work better in periods when KOSPI declines rather than in periods when KOSPI rises. 


Back Testing the End of Mandatory Lock-Up Periods Monthly Data in Korea

Event-Driven

<ul>
<li>We discuss the end of the mandatory lock-up periods for 53 stocks in Korea in February 2024, among which 3 are in KOSPI and 50 are in KOSDAQ.</li>
<li>These 53 stocks on average could be subject to further selling pressures in February and could underperform relative to the market.</li>
<li>The top five market cap stocks including those with 1% or higher A/B ratio include the following: Sam A Aluminum, Jeio, HLB Therapeutics,  Polaris Office, and Mirae Asset Venture Investment. </li>
</ul>


We discuss the end of the mandatory lock-up periods for 53 stocks in Korea in February 2024, among which 3 are in KOSPI and 50 are in KOSDAQ.
These 53 stocks on average could be subject to further selling pressures in February and could underperform relative to the market.
The top five market cap stocks including those with 1% or higher A/B ratio include the following: Sam A Aluminum, Jeio, HLB Therapeutics,  Polaris Office, and Mirae Asset Venture Investment. 


End of Mandatory Lock-Up Periods for 53 Companies in Korea in February 2024

HDC Hyundai Development Co-Engineering & Construction / Index Rebalance

HDC Hyundai Development Co-Engineering & Construction

<ul>
<li>There will be 7 additions and 7 deletions for 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 EQUITY)</a> at the December rebalance that will be implemented on 14 December.</li>
<li>The rebalance is on expected lines, though the index committee decided not to add <a href="https://www.smartkarma.com/entities/youngpoong-paper-mfg-co-ltd" target="_blank" data-smartkarma-citation="entities:3467:1" rel="noopener">Youngpoong Paper (006740 KS)</a> to the index. Not really a big surprise given the price move.</li>
<li>
<a href="https://www.smartkarma.com/entities/hdc-hyundai-development-co-engineering-construction" target="_blank" data-smartkarma-citation="entities:27397:1" rel="noopener">HDC Hyundai Development Co-Engineering &amp; Construction (294870 KS)</a> is a surprise delete and there is not much short interest that could cover against the passive selling.</li>
</ul>


There will be 7 additions and 7 deletions for the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY) at the December rebalance that will be implemented on 14 December.
The rebalance is on expected lines, though the index committee decided not to add Youngpoong Paper (006740 KS) to the index. Not really a big surprise given the price move.

HDC Hyundai Development Co-Engineering &amp; Construction (294870 KS) is a surprise delete and there is not much short interest that could cover against the passive selling.


KOSPI200 Index Rebalance: Mostly Expected Though Some Discretion Used

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.

<ul>
<li>Although not explicitly outlined, it appears practical to interpret that we should filter out stocks that have entered a trading suspension among those receiving a WARNING designation.</li>
<li>The dynamics of KOSPI 200 flow trading have become notably tumultuous due to the abrupt short selling ban and additional liquidity halts imposed on market makers in the futures market.</li>
<li>The manifestation of price impact due to passive flows may be significantly delayed. So, we should prepare for this week's announcement day setup targeting the delayed impact of passive flows.</li>
</ul>


Although not explicitly outlined, it appears practical to interpret that we should filter out stocks that have entered a trading suspension among those receiving a WARNING designation.
The dynamics of KOSPI 200 flow trading have become notably tumultuous due to the abrupt short selling ban and additional liquidity halts imposed on market makers in the futures market.
The manifestation of price impact due to passive flows may be significantly delayed. So, we should prepare for this week's announcement day setup targeting the delayed impact of passive flows.


KOSPI 200 December Rebalancing: Rule Change Clarifications & Possible Delay in Price Impact

South Korea

Sam-A Aluminum Co., Ltd. manufactures aluminum foils for cigarette and food packaging, window frames, and related products.  The Company also produces aluminum powder used for painting ships, automobiles, and bridges.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Sam A Aluminum (006110 KS)

KOSPI200 Index Rebalance Preview: 6 Potential Changes in June; LG CNS Listing Could Increase That

There could be 6 changes for the KOSPI200 in June. The LG CNS listing tomorrow could increase that number. The forecast adds have outperformed the...

Brian Freitas

Back Testing the End of Mandatory Lock-Up Periods Monthly Data in Korea

In this analysis, we provide a back testing analysis of the end of mandatory lock-up periods monthly data in Korea in the past six months....

Douglas Kim

End of Mandatory Lock-Up Periods for 53 Companies in Korea in February 2024

We discuss the end of the mandatory lock-up periods for 53 stocks in Korea in February 2024, among which 3 are in KOSPI and 50 are in KOSDAQ.

Douglas Kim

KOSPI200 Index Rebalance: Mostly Expected Though Some Discretion Used

There are 7 changes for the KOSPI200 in December. While most changes are expected, there are a few surprises. Impact is large on most stocks and...

Brian Freitas

KOSPI 200 December Rebalancing: Rule Change Clarifications & Possible Delay in Price Impact

This post clarifies recent rule changes in the KOSPI 200 and examines trading opportunities that may arise from a potential delay in price impact...

Sanghyun Park

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)