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>The review period for the March rebalance of the KOSPI Size Indices commences on 1 December and will end on 28 February.</li>
<li>We see 5 migrations from MidCap to LargeCap, 1 new addition to LargeCap, 8 stocks moving from SmallCap to MidCap and 1 new addition to MidCap.</li>
<li>The migrations from MidCap to LargeCap have outperformed the other migration categories. Four potential LargeCap to MidCap migrations will be deleted from a global index later this month.</li>
</ul>


The review period for the March rebalance of the KOSPI Size Indices commences on 1 December and will end on 28 February.
We see 5 migrations from MidCap to LargeCap, 1 new addition to LargeCap, 8 stocks moving from SmallCap to MidCap and 1 new addition to MidCap.
The migrations from MidCap to LargeCap have outperformed the other migration categories. Four potential LargeCap to MidCap migrations will be deleted from a global index later this month.


KOSPI Size Indices: Global Index Selling Leads to Potential Downward Migration

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.

Index Rebalance

<ul>
<li>The September KOSPI Size Index rebalancing could bring back the typical price impacts seen over the past decade, unlike the March rebalancing.</li>
<li>The previous rebalancing had anomalies due to newly listed stocks in LARGE and a stronger downward trend in LARGE-to-MID transitions, disrupting the expected price impact.</li>
<li>For September's rebalancing, fewer distortions are expected compared to March. The NPS Mid to Small Cap fund, a key influence, shows no significant changes in benchmark or AUM.</li>
</ul>


The September KOSPI Size Index rebalancing could bring back the typical price impacts seen over the past decade, unlike the March rebalancing.
The previous rebalancing had anomalies due to newly listed stocks in LARGE and a stronger downward trend in LARGE-to-MID transitions, disrupting the expected price impact.
For September's rebalancing, fewer distortions are expected compared to March. The NPS Mid to Small Cap fund, a key influence, shows no significant changes in benchmark or AUM.


Examining the September Reshuffle of the KOSPI Size Index Series

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Douglas Research Advisory

Equity Bottom-Up

<ul>
<li>On 14 August, Shift Up (462870 KS) reported its 2Q 2024 results, which was the first earnings report post its IPO. </li>
<li>Shift Up reported sales of 65.2 billion won (up 65.4% YoY and 19.5% below consensus) and OP of 45.1 billion won (up 49% YoY and 21.4% below consensus) in 2Q24. </li>
<li>The company is preparing for a PC release of Stellar Blade in the near future to continue its strong popularity and it expects better results on PC than on console.</li>
</ul>


On 14 August, Shift Up (462870 KS) reported its 2Q 2024 results, which was the first earnings report post its IPO. 
Shift Up reported sales of 65.2 billion won (up 65.4% YoY and 19.5% below consensus) and OP of 45.1 billion won (up 49% YoY and 21.4% below consensus) in 2Q24. 
The company is preparing for a PC release of Stellar Blade in the near future to continue its strong popularity and it expects better results on PC than on console.


<ul>
<li>We discuss the potential additions and deletions to KOSPI 200 in December 2024 amid big declines in share prices of many stocks in KOSPI in the past week.</li>
<li>The eight potential additions are up on average 8.5% from end of 2023. The eight potential deletion candidates are down on average 39.1% YTD.</li>
<li>The average market cap of the seven potential additions is 1.9 trillion won. The average market cap of the seven potential deletion candidates is 0.6 trillion won.</li>
</ul>


We discuss the potential additions and deletions to KOSPI 200 in December 2024 amid big declines in share prices of many stocks in KOSPI in the past week.
The eight potential additions are up on average 8.5% from end of 2023. The eight potential deletion candidates are down on average 39.1% YTD.
The average market cap of the seven potential additions is 1.9 trillion won. The average market cap of the seven potential deletion candidates is 0.6 trillion won.


Potential Additions and Deletions to KOSPI 200 in December 2024 Amid Market Downturn

<ul>
<li>The KRX BBIG's concentrated weight and top three replacements still attract significant flow trading interest despite a decline in AUM.</li>
<li>In the Battery Sector, Posco Future M will replace Ecopro BM, while in the Bio Sector, Alteogen will replace SK Biopharmaceuticals.</li>
<li>A significant single-day passive flow is expected, especially for SK Biopharm. Additionally, a day trading setup with Posco Future M and Ecopro BM will likely attract substantial interest.</li>
</ul>


The KRX BBIG's concentrated weight and top three replacements still attract significant flow trading interest despite a decline in AUM.
In the Battery Sector, Posco Future M will replace Ecopro BM, while in the Bio Sector, Alteogen will replace SK Biopharmaceuticals.
A significant single-day passive flow is expected, especially for SK Biopharm. Additionally, a day trading setup with Posco Future M and Ecopro BM will likely attract substantial interest.


KRX’s September Major Rebalancing Events: Why We Should Focus on KRX BBIG

South Korea

Shift Up is an all-in -one game design and development studio that crosses a wide range of fields from game production to promotional video and music production, based on original illustration and solid planning and programming skills.

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Shift Up (462870 KS)

KOSPI Size Indices: Global Index Selling Leads to Potential Downward Migration

There could be 29 migrations for the KOSPI Size indices in March, plus 1 LargeCap and 1 MidCap inclusion. The MidCap to LargeCap migrations have...

Brian Freitas

Examining the September Reshuffle of the KOSPI Size Index Series

This post examines the potential for flow trading setups targeting the September rebalancing of the KOSPI Size Index Series.

Sanghyun Park

Shift Up: 2Q 2024 Results Analysis

Shift Up reported sales of 65.2 billion won (up 65.4% YoY and 19.5% below consensus) and OP of 45.1 billion won (up 49% YoY and 21.4% below...

Douglas Kim

Potential Additions and Deletions to KOSPI 200 in December 2024 Amid Market Downturn

We discuss the potential additions and deletions to KOSPI 200 in December 2024 amid big declines in share prices of many stocks in KOSPI in the...

Douglas Kim

KRX’s September Major Rebalancing Events: Why We Should Focus on KRX BBIG

This post examines flow trading opportunities arising from the KRX BBIG's September rebalancing, focusing on the impact of four stocks in the top...

Sanghyun Park

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