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>Hahn &amp; Co hold 79.9% of <a href="https://www.smartkarma.com/entities/ssangyong-cement-industrial-co-ltd" target="_blank" data-smartkarma-citation="entities:9345:1" rel="noopener">Ssangyong Cement Industrial (003410 KS)</a> and have made a tender offer to acquire the remaining 20.1% at KRW 7,000/share.</li>
<li>
<a href="https://www.smartkarma.com/entities/ssangyong-cement-industrial-co-ltd" target="_blank" data-smartkarma-citation="entities:9345:1" rel="noopener">Ssangyong Cement Industrial (003410 KS)</a> should be deleted from 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> once Hahn &amp; Co acquire 90% of the company.</li>
<li>
<a href="https://www.smartkarma.com/entities/aekyung-chemical-co-ltd" target="_blank" data-smartkarma-citation="entities:20295:1" rel="noopener">Aekyung Chemical (161000 KS)</a> is a potential addition to 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> but inclusion is dependent on Hahn &amp; Co reaching 90% of shares out.</li>
</ul>


Hahn &amp; Co hold 79.9% of Ssangyong Cement Industrial (003410 KS) and have made a tender offer to acquire the remaining 20.1% at KRW 7,000/share.

Ssangyong Cement Industrial (003410 KS) should be deleted from the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) once Hahn &amp; Co acquire 90% of the company.

Aekyung Chemical (161000 KS) is a potential addition to the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) but inclusion is dependent on Hahn &amp; Co reaching 90% of shares out.


KOSPI200 Index Adhoc Rebalance: Potential Replacements for SsangyongC&E

Index Rebalance

<ul>
<li>The review period for the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY</a> family of indices, <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a>, <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50</a>, the KRX New Deal Index and a global index ends on 31 January.</li>
<li>The January rebalance of the IDX30 and LQ45 indices will be implemented at the close of trading on 31 January.</li>
<li>There have been huge inflows into the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> ETFs for another week. This will increase the impact on the index changes at the next rebalance.</li>
</ul>


The review period for the NIFTY family of indices, Nikkei 225, STAR50, the KRX New Deal Index and a global index ends on 31 January.
The January rebalance of the IDX30 and LQ45 indices will be implemented at the close of trading on 31 January.
There have been huge inflows into the CSI 300 Index ETFs for another week. This will increase the impact on the index changes at the next rebalance.


Index Rebalance & ETF Flow Recap: CSI300, CSI500, SSE50, ChiNext, KOSPI200, Renesas, IDX30/LQ45

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>I confirmed that Posco DX will be incorporated into the KOSPI 200 IT Sector Index. The implementation date for this is also scheduled for March 15th.</li>
<li>The direct flow size from the KOSPI 200 IT into Posco DX is approximately 0.3x ADTV, implying a noteworthy price impact on March 14th, concentrated from 2:00 PM to close. </li>
<li>When designing Posco DX's March 14 KOSPI 200 inclusion flow setup, we must also proactively design strategies to capture flows from the KOSPI 200 IT within a narrow time window.</li>
</ul>


I confirmed that Posco DX will be incorporated into the KOSPI 200 IT Sector Index. The implementation date for this is also scheduled for March 15th.
The direct flow size from the KOSPI 200 IT into Posco DX is approximately 0.3x ADTV, implying a noteworthy price impact on March 14th, concentrated from 2:00 PM to close. 
When designing Posco DX's March 14 KOSPI 200 inclusion flow setup, we must also proactively design strategies to capture flows from the KOSPI 200 IT within a narrow time window.


Posco DX Included in KOSPI 200 IT Sector Index: Exploring Flow Trading Implications

<ul>
<li>KRX has announced that <a href="https://www.smartkarma.com/entities/posco-dx-co-ltd" target="_blank" data-smartkarma-citation="entities:5198:1" rel="noopener">Posco DX (022100 KS)</a> will replace <a href="https://www.smartkarma.com/entities/shinsegae-international-co" target="_blank" data-smartkarma-citation="entities:4454:1" rel="noopener">Shinsegae International Co (031430 KS)</a> in 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 close on 14 March.</li>
<li>Passive trackers will need to buy 0.5 days of ADV in <a href="https://www.smartkarma.com/entities/posco-dx-co-ltd" target="_blank" data-smartkarma-citation="entities:5198:1" rel="noopener">Posco DX (022100 KS)</a> while selling in <a href="https://www.smartkarma.com/entities/shinsegae-international-co" target="_blank" data-smartkarma-citation="entities:4454:1" rel="noopener">Shinsegae International (031430 KS)</a> is larger at over 7 days of ADV.</li>
<li>
<a href="https://www.smartkarma.com/entities/l-f-co-ltd" target="_blank" data-smartkarma-citation="entities:14300:1" rel="noopener">L&amp;F (066970 KS)</a> lists on the KOSPI market on 29 January; there is a possibility that the stock is also added to the index in March as a Fast Entry.</li>
</ul>


KRX has announced that Posco DX (022100 KS) will replace Shinsegae International Co (031430 KS) in the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) at the close on 14 March.
Passive trackers will need to buy 0.5 days of ADV in Posco DX (022100 KS) while selling in Shinsegae International (031430 KS) is larger at over 7 days of ADV.

L&amp;F (066970 KS) lists on the KOSPI market on 29 January; there is a possibility that the stock is also added to the index in March as a Fast Entry.


KOSPI200 Index Rebalance (March): Fast Entry for PoscoDX; Will L&F Make It Too?

Budweiser Brewing  APAC  / Index Rebalance

<ul>
<li>The review period for a global index commenced last week and will run through this week as well.</li>
<li>The announcement of the changes for the LQ45 Index should be announced in the coming week and will be implemented at the close on 31 January.</li>
<li>Huge inflows to <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> trackers during the week while there was a big outflow from <a href="https://www.smartkarma.com/entities/tracker-fund-of-hong-kong-ltd" target="_blank" data-smartkarma-citation="entities:29257:1" rel="noopener">Tracker Fund of Hong Kong (2800 HK)</a>. </li>
</ul>


The review period for a global index commenced last week and will run through this week as well.
The announcement of the changes for the LQ45 Index should be announced in the coming week and will be implemented at the close on 31 January.
Huge inflows to CSI 300 Index trackers during the week while there was a big outflow from Tracker Fund of Hong Kong (2800 HK). 


Index Rebalance & ETF Flow Recap: ASX, KS200, KQ150, HSIII, STTF, L&F, Costa Group, Japan, Bud APAC

South Korea

Shinsegae International Co., Ltd. was spun off from Shinsegae in 1996.  The company imports and distributes famous foreign brands and manufactures/distribut es domestic brand.  The Company's line of business includes the wholesale distribution of men's and women's apparel.

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Shinsegae International Co (031430 KS)

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KOSPI200 Index Rebalance (March): Fast Entry for PoscoDX; Will L&F Make It Too?

PoscoDX will be added to the KOSPI200 in March as a Fast Entry. Shinsegae Intl will be deleted. LnF lists on the KOSPI market on 29Jan and could...

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Index Rebalance & ETF Flow Recap: ASX, KS200, KQ150, HSIII, STTF, L&F, Costa Group, Japan, Bud APAC

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Brian Freitas

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