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>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

Korea / Special Sits, Pairs, Index Rebalancing, Clepsydra Capital

Sanghyun Park

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

<ul>
<li>For KOSDAQ 150, SillaJen and WCP made it to the index. As for deletions, Intron Biotechnology, Ebest I&amp;S, and Devsisters are additional names to leave the index through regular review.</li>
<li>Lotte Confectionery and Samyang Holdings do not have sizeable DTV. And they were fully expected. Nevertheless, the passive impact is so significant that the LONG/SHORT approach still seems valid.</li>
<li>We should focus on KOSDAQ 150 inclusions whose return has been high due to the inflow to secure a borrow pool for short-selling on top of the preemptive rebalancing flow.</li>
</ul>


For KOSDAQ 150, SillaJen and WCP made it to the index. As for deletions, Intron Biotechnology, Ebest I&amp;S, and Devsisters are additional names to leave the index through regular review.
Lotte Confectionery and Samyang Holdings do not have sizeable DTV. And they were fully expected. Nevertheless, the passive impact is so significant that the LONG/SHORT approach still seems valid.
We should focus on KOSDAQ 150 inclusions whose return has been high due to the inflow to secure a borrow pool for short-selling on top of the preemptive rebalancing flow.


KOSPI 200 & KOSDAQ 150 Constituent Changes: Several Surprises

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

<ul>
<li>Korea Exchange announced the KOSPI 200, KOSDAQ 150, and KRX 300 rebalance changes today. Lotte Confectionery will be added and Samyang Holdings will be deleted from the KOSPI 200 index.</li>
<li>The rebalances of these Korean indices are regularly updated twice a year. The changes to these indices will be effective starting 9 December. </li>
<li>The potential exclusion candidates for KOSPI 200 in 2023 include K Car, Handsome, HS Enterprise, Zinus, and Hyundai Home Shopping. </li>
</ul>


Korea Exchange announced the KOSPI 200, KOSDAQ 150, and KRX 300 rebalance changes today. Lotte Confectionery will be added and Samyang Holdings will be deleted from the KOSPI 200 index.
The rebalances of these Korean indices are regularly updated twice a year. The changes to these indices will be effective starting 9 December. 
The potential exclusion candidates for KOSPI 200 in 2023 include K Car, Handsome, HS Enterprise, Zinus, and Hyundai Home Shopping. 


KOSPI 200 & KOSDAQ 150 Rebalance Changes + KOSPI 200 & KOSDAQ 150 Exclusion Candidates in 2023

<ul>
<li>We discuss end of the mandatory lock-up periods for 54 stocks in Korea in November 2022, among which 2 are in KOSPI and 52 are in KOSDAQ.</li>
<li>These 54 stocks on average could be subject to further selling pressures in November and could underperform relative to the market. </li>
<li>Among these 54 stocks, the top 5 market cap stocks include Enchem, Sebit Chem, DearU, Sillajen, and Sampyo Cement. They could be exposed to greater selling pressures in November. </li>
</ul>


We discuss end of the mandatory lock-up periods for 54 stocks in Korea in November 2022, among which 2 are in KOSPI and 52 are in KOSDAQ.
These 54 stocks on average could be subject to further selling pressures in November and could underperform relative to the market. 
Among these 54 stocks, the top 5 market cap stocks include Enchem, Sebit Chem, DearU, Sillajen, and Sampyo Cement. They could be exposed to greater selling pressures in November. 


End of Mandatory Lock-Up Periods for 54 Companies in Korea in November 2022

<ul>
<li>The 2nd screening only deals with those who have passed the 1st screening. The 2nd screening does NOT include the first company to cross the threshold.</li>
<li>Lotte Confectionery will be the only addition to the KOSPI 200. Samyang Holdings or Hyundai Home Shopping Network will leave the index.</li>
<li>There will be ten changes in the KOSDAQ 150: eight regular &amp; two special entries. WCP's special entry still seems uncertain due to the GICS classification issue.</li>
</ul>


The 2nd screening only deals with those who have passed the 1st screening. The 2nd screening does NOT include the first company to cross the threshold.
Lotte Confectionery will be the only addition to the KOSPI 200. Samyang Holdings or Hyundai Home Shopping Network will leave the index.
There will be ten changes in the KOSDAQ 150: eight regular &amp; two special entries. WCP's special entry still seems uncertain due to the GICS classification issue.


KOSPI 200 & KOSDAQ 150: Rule Clarifications & Rebalancing Predictions

South Korea

SillaJen, Inc. provides medical research and development services. The Company researches and develops treatment of cancer based on genetic recombination virus. SillaJen conducts its business in South Korea and the United States.

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SillaJen Inc (215600 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

KOSPI 200 & KOSDAQ 150 Constituent Changes: Several Surprises

This post details the constituent changes of the KOSPI 200 and KOSDAQ 150 and highlights several surprises along with the passive flow estimations.

Sanghyun Park

KOSPI 200 & KOSDAQ 150 Rebalance Changes + KOSPI 200 & KOSDAQ 150 Exclusion Candidates in 2023

Korea Exchange announced the KOSPI 200, KOSDAQ 150, and KRX 300 rebalance changes today. Lotte Confectionery will be added and Samyang Holdings...

Douglas Kim

End of Mandatory Lock-Up Periods for 54 Companies in Korea in November 2022

We discuss end of the mandatory lock-up periods for 54 stocks in Korea in November 2022, among which 2 are in KOSPI and 52 are in KOSDAQ.

Douglas Kim

KOSPI 200 & KOSDAQ 150: Rule Clarifications & Rebalancing Predictions

This post clarifies some vague rules of the KOSPI 200 & KOSDAQ 150 rebalancing and discusses the constituent changes in the December review.

Sanghyun Park

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