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>Nearly two-thirds of the way through the review period, we see nine potential 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 KOSPI 200 (KOSPI2 INDEX)</a> at the December rebalance.</li>
<li>The potential adds are dominated by the Materials sector while the potential deletions are mainly from the Consumer Discretionary sector.</li>
<li>The impact on the potential inclusion ranges from 0.14-12 days of ADV while the impact on the potential deletions varies from 3.1-30 days of ADV.</li>
</ul>


Nearly two-thirds of the way through the review period, we see nine potential changes for the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) at the December rebalance.
The potential adds are dominated by the Materials sector while the potential deletions are mainly from the Consumer Discretionary sector.
The impact on the potential inclusion ranges from 0.14-12 days of ADV while the impact on the potential deletions varies from 3.1-30 days of ADV.


KOSPI200 Index Rebalance Preview: Increasing Number of Changes in December

<ul>
<li>There were a couple of ad hoc rebalances in Korea last week 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> and <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 EQUITY)</a>. </li>
<li>Coming Friday will mark the end of the review period for the next rebalance of the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">HSTECH</a>, HSCI, LQ45, <a href="https://www.smartkarma.com/entities/philippines-stock-exchange-psei-index" target="_blank" data-smartkarma-citation="entities:22912:1" rel="noopener">PCOMP</a> as well as the <a href="https://www.smartkarma.com/entities/stock-exchange-of-thailand-set-50-index" target="_blank" data-smartkarma-citation="entities:31493:1" rel="noopener">SET50</a> June implementation.</li>
<li>With Japan indices moving higher, the largest inflows went into ETFs tracking the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> and other local/global indices.</li>
</ul>


There were a couple of ad hoc rebalances in Korea last week for the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY) and KOSDAQ 150 Index (KOSDQ150 INDEX EQUITY). 
Coming Friday will mark the end of the review period for the next rebalance of the HSI, HSCEI, HSTECH, HSCI, LQ45, PCOMP as well as the SET50 June implementation.
With Japan indices moving higher, the largest inflows went into ETFs tracking the Nikkei 225 (NKY INDEX) and other local/global indices.


Index Rebalance & ETF Flow Recap: NKY, KOSPI2, New Deal, SET50, MOG Digitech, Syngenta IPO

<ul>
<li>Just over a quarter of the way through the review period, we see six changes 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.</li>
<li>There are a few stocks that are close adds at the current time and a move higher can take them into inclusion zone leading to more deletions.</li>
<li>While there is little to no short interest on the potential inclusions, short interest on the potential deletions ranges from 4.3-12.2 days of ADV and 0.5-3.5% of free float.</li>
</ul>


Just over a quarter of the way through the review period, we see six changes for the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) at the December rebalance.
There are a few stocks that are close adds at the current time and a move higher can take them into inclusion zone leading to more deletions.
While there is little to no short interest on the potential inclusions, short interest on the potential deletions ranges from 4.3-12.2 days of ADV and 0.5-3.5% of free float.


KOSPI200 Index Rebalance Preview: A Busy December Rebalance

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>Based on the average daily full market cap up until the last close, the following additions have been identified as high-probability candidates: Sam A Aluminum, Dentium, and Dongwon Industries.</li>
<li>Three constituents will likely leave as they rank at the bottom in descending order of full market cap among those failing the screening: Cuckoo Homesys, Zinus, and Hyundai Home Shopping.</li>
<li>Dongwon Industries seems to be the most attractive, but given the uncertainty surrounding its inclusion, it may be more appropriate to target Dentium.</li>
</ul>


Based on the average daily full market cap up until the last close, the following additions have been identified as high-probability candidates: Sam A Aluminum, Dentium, and Dongwon Industries.
Three constituents will likely leave as they rank at the bottom in descending order of full market cap among those failing the screening: Cuckoo Homesys, Zinus, and Hyundai Home Shopping.
Dongwon Industries seems to be the most attractive, but given the uncertainty surrounding its inclusion, it may be more appropriate to target Dentium.


Early Targetable Names in KOSPI 200 December Rebalancing

<ul>
<li>The review period for the March rebalance of the KOSPI Size Indices ends 28 February. The results will be announced early March and implemented at the close on 9 March.</li>
<li>We see 5 migrations between MidCap and LargeCap, 8 migrations from SmallCap to MidCap, 3 new adds to MidCap, and 11 migrations from MidCap to SmallCap.</li>
<li>Stocks migrating from SmallCap to MidCap have outperformed stocks that are migrating between other categories.</li>
</ul>


The review period for the March rebalance of the KOSPI Size Indices ends 28 February. The results will be announced early March and implemented at the close on 9 March.
We see 5 migrations between MidCap and LargeCap, 8 migrations from SmallCap to MidCap, 3 new adds to MidCap, and 11 migrations from MidCap to SmallCap.
Stocks migrating from SmallCap to MidCap have outperformed stocks that are migrating between other categories.


KOSPI Size Indices - Potential Changes in March

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.

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Sam A Aluminum (006110 KS)

KOSPI200 Index Rebalance Preview: Increasing Number of Changes in December

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Index Rebalance & ETF Flow Recap: NKY, KOSPI2, New Deal, SET50, MOG Digitech, Syngenta IPO

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

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KOSPI200 Index Rebalance Preview: A Busy December Rebalance

We currently see 6 changes for the KOSPI200 in December. The potential adds (mostly Materials) have been running up while the potential deletes...

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Early Targetable Names in KOSPI 200 December Rebalancing

This post highlights the names that may be targeted for potential constituent changes in the upcoming December review of KOSPI 200.

Sanghyun Park

KOSPI Size Indices - Potential Changes in March

The review period for the March rebal of the KOSPI Size Indices ends on 28 February. We see quite a lot of potential migrations. Some stocks could...

Brian Freitas

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