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>
<a href="https://www.smartkarma.com/entities/hyundai-dept-store-co" target="_blank" data-smartkarma-citation="entities:19098:1" rel="noopener">Hyundai Dept Store Co (069960 KS)</a>, <a href="https://www.smartkarma.com/entities/hyundai-greenfood-co-ltd" target="_blank" data-smartkarma-citation="entities:19560:1" rel="noopener">Hyundai Greenfood (005440 KS)</a> and <a href="https://www.smartkarma.com/entities/oci-co-ltd" target="_blank" data-smartkarma-citation="entities:1904:1" rel="noopener">Oci Co Ltd (010060 KS)</a> will spin-off divisions and list them prior to the next rebalance in June.</li>
<li>The equity spin-offs will result in passive flows prior to the trading suspension as well as on relisting of the stocks post the spin-off.</li>
<li>We expect one change to 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> in April as one stock will be deleted due to low market cap following the spin-off.</li>
</ul>



Hyundai Dept Store Co (069960 KS), Hyundai Greenfood (005440 KS) and Oci Co Ltd (010060 KS) will spin-off divisions and list them prior to the next rebalance in June.
The equity spin-offs will result in passive flows prior to the trading suspension as well as on relisting of the stocks post the spin-off.
We expect one change to the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) in April as one stock will be deleted due to low market cap following the spin-off.


Korea Spin-Offs: Details and KOSPI200 Index Impact

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>KRX calculates floats fairly aggressively even in new IPOs. This was symbolically shown in the case of Kakao Pay, which received a 35% float rate.</li>
<li>So, we need a trading setup that raises the float rate prediction range in future KOSPI 200 Fast Entry cases.</li>
<li>Considering that rebalancing trading that occurs on the implementation day is now partially digested in regular trading hours, we need to consider getting out positions before the closing auction hours.</li>
</ul>


KRX calculates floats fairly aggressively even in new IPOs. This was symbolically shown in the case of Kakao Pay, which received a 35% float rate.
So, we need a trading setup that raises the float rate prediction range in future KOSPI 200 Fast Entry cases.
Considering that rebalancing trading that occurs on the implementation day is now partially digested in regular trading hours, we need to consider getting out positions before the closing auction hours.


KOSPI 200 New Entrants: KRX-Concluded Float Rates & Rebalancing Trading Pattern Today

<ul>
<li>The effective date for rebalancing KOSPI 200 and KOSDAQ 150 is this Friday. This is the first trading day that short selling is permitted on new stocks in these indexes.</li>
<li>From the 25th to today, immediately after the inclusion of these indexes was announced, the loan share balance of almost all stocks increased significantly.</li>
<li>Those stocks with substantial outperformance in price and relatively abundant liquidity have a high level of loan balance.</li>
</ul>


The effective date for rebalancing KOSPI 200 and KOSDAQ 150 is this Friday. This is the first trading day that short selling is permitted on new stocks in these indexes.
From the 25th to today, immediately after the inclusion of these indexes was announced, the loan share balance of almost all stocks increased significantly.
Those stocks with substantial outperformance in price and relatively abundant liquidity have a high level of loan balance.


Short Position Approach on the Index Entrants on December 10 in Korea

Myoung Shin Industrial Co.,Ltd / Event-Driven

Myoung Shin Industrial Co.,Ltd (009900 KS)

<ul>
<li>This post measures how far the rebalancing trading of passive funds is progressing at this point. This can be essential data for setting up positions close to the effective date.</li>
<li>For this purpose, each stock's net purchase data of Pension and Insurance were collected from November 25 to today (30th).</li>
<li>As we move closer to the effective date, we need to consider selecting those with the relatively slow progress of rebalancing trading among the regular rebalancing stocks.</li>
</ul>


This post measures how far the rebalancing trading of passive funds is progressing at this point. This can be essential data for setting up positions close to the effective date.
For this purpose, each stock's net purchase data of Pension and Insurance were collected from November 25 to today (30th).
As we move closer to the effective date, we need to consider selecting those with the relatively slow progress of rebalancing trading among the regular rebalancing stocks.


KOSPI 200 Rebalancing Trading Progress Checkup

<ul>
<li>KOSPI 200 rebalancing results are out - 7 Additions: 4 (regular) + 2 (Fast Entry) + 1 (split) &amp; 7 Deletions: 6 (regular) + 1 (Fast Entry) 
</li>
<li>The passive impact of all additions is pretty significant. In particular, Meritiz, SL, and Kakao Pay are relatively larger.</li>
<li>For the deletes, it is worth considering approaching these stocks as an equal-weighted basket. Since their share prices have not been significantly corrected recently.</li>
</ul>


KOSPI 200 rebalancing results are out - 7 Additions: 4 (regular) + 2 (Fast Entry) + 1 (split) &amp; 7 Deletions: 6 (regular) + 1 (Fast Entry) 

The passive impact of all additions is pretty significant. In particular, Meritiz, SL, and Kakao Pay are relatively larger.
For the deletes, it is worth considering approaching these stocks as an equal-weighted basket. Since their share prices have not been significantly corrected recently.


7 Adds & 7 Deletes in KOSPI 200 Rebalancing: Passive Impact & Trade Setups

South Korea

SL Corp. designs and manufactures head lamps, chassis, and power trains for autos and motorcycles.  The Company exports its products to overseas market such as North America and Australia.

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SL Corp (005850 KS)

Korea Spin-Offs: Details and KOSPI200 Index Impact

There are three KOSPI200 members that are doing an equity spin-off in the next few months. Two will re-enter the index while one will be deleted....

Brian Freitas

KOSPI 200 New Entrants: KRX-Concluded Float Rates & Rebalancing Trading Pattern Today

Kakao Pay eventually received a 35% float rate, meaning that KRX has included all of Alipay's non-locked stake in the float.

Sanghyun Park

Short Position Approach on the Index Entrants on December 10 in Korea

The effective date for rebalancing KOSPI 200 and KOSDAQ 150 is this Friday, meaning that this is the first trading day that short selling is...

Sanghyun Park

KOSPI 200 Rebalancing Trading Progress Checkup

This post measures how far the rebalancing trading of local passive funds is progressing at this point. This can be important data when we set up...

Sanghyun Park

7 Adds & 7 Deletes in KOSPI 200 Rebalancing: Passive Impact & Trade Setups

The KRX officially unveiled the results of the December rebalancing for KOSPI 200: 7 adds & 7 deletes. This post has the complete list as well as...

Sanghyun Park

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