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 September rebalance of the KOSPI Size Indices commenced on 1 June and will end on 31 August.</li>
<li>We see 8 migrations from MidCap to LargeCap, 1 new addition to LargeCap, 11 stocks moving from SmallCap to MidCap and 3 new additions to MidCap.</li>
<li>There are a few stocks that are expected to have passive flows from global and local index trackers over the next few months and that will add to the impact.</li>
</ul>


The review period for the September rebalance of the KOSPI Size Indices commenced on 1 June and will end on 31 August.
We see 8 migrations from MidCap to LargeCap, 1 new addition to LargeCap, 11 stocks moving from SmallCap to MidCap and 3 new additions to MidCap.
There are a few stocks that are expected to have passive flows from global and local index trackers over the next few months and that will add to the impact.


KOSPI Size Indices: Outperformance Slows on Momentum Stalls

<ul>
<li>The review period for the September rebalance of the KOSPI Size Indices will run from 1 June to 31 August.</li>
<li>We see 6 migrations from MidCap to LargeCap, 1 new addition to LargeCap, 6 stocks moving from SmallCap to MidCap and 3 new additions to MidCap.</li>
<li>Stocks migrating upward have outperformed stocks migrating lower. But there are still stocks trading at a Price to Book of less than 1.</li>
</ul>


The review period for the September rebalance of the KOSPI Size Indices will run from 1 June to 31 August.
We see 6 migrations from MidCap to LargeCap, 1 new addition to LargeCap, 6 stocks moving from SmallCap to MidCap and 3 new additions to MidCap.
Stocks migrating upward have outperformed stocks migrating lower. But there are still stocks trading at a Price to Book of less than 1.


KOSPI Size Indices: Potential Migrations in September Are Moving

Head of ESG Rating (ESGCB), Who's Good

Ju Yeon Lee

Head of ESG Rating (ESGCB)

ASIA’S FIRST AI-DRIVEN ESG INSIGHT PROVIDER

Who's Good

Using AI technologies and public data, Who’s Good provides objective and up-to-date corporate ESG insights on Asian companies.

WHY WHO'S GOOD

* Time-sensitive: Time is the essence in finance. Artificial Intelligence (AI) can process vast amount of information in a short span of time. Our powerful algorithm offers real-time in-depth corporate ESG analysis with out compromising its quality.
* Objective: We turned to public big data and news big data as source to base our analysis on and to preserve impartiality. We leverage 350 public big data sources and 93 news data sources in Korea to uncover insights.
* Insightful: Who’s Good ESG analysis coverage extends to all listed and non-listed companies in Korea. This allows us to provide a comprehensive insight into the Korean market.
* Global approach to ESG: Our ESG research framework is built on international standards and principles including UN Global Compact, ISO 26000, ICGN and CFA Guidelines on Corporate Governance to meet the global standards.

<ul>
<li>Protests against unfair labor exploitation and labor union suppression by workers continue gaining traction by civil society and leading to the boycott of SPC SAMLIP CO.,LTD(005610).</li>
<li>France's leading labor union organization, the CGT (Confédération Générale du Travail), held a rally in front of the Paris Baguette store in Paris condemning SPC partners' unfair labor practices. </li>
<li>Dunkin's headquarters, run by SPC affiliate BR Korea Co, Ltd has been known to be engaged in unfair practices against franchisees.</li>
</ul>


Protests against unfair labor exploitation and labor union suppression by workers continue gaining traction by civil society and leading to the boycott of SPC SAMLIP CO.,LTD(005610).
France's leading labor union organization, the CGT (Confédération Générale du Travail), held a rally in front of the Paris Baguette store in Paris condemning SPC partners' unfair labor practices. 
Dunkin's headquarters, run by SPC affiliate BR Korea Co, Ltd has been known to be engaged in unfair practices against franchisees.


ESG Analysis: How Labor Issues and Unfair Practices Led to the Boycott of SPC SAMLIP CO.,LTD.

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.

What would be a real-world passive money size tracking KOSPI 200?My latest estimation is ₩80 trillion, and here is a breakdown of my estimation.ETFsWe currently have 17 local ETFs mirroring KOSPI 200, including KODEX 200 (₩5.5T) and TIGER 200 (₩2.3T). Their combined market value amounts to ₩16.5T.







Local ETFs directly mirroring KOSPI 200
Ticker
Market cap as of today (June 1, 2021)


YURIE TREX 200 ETF
108590
₩13.0B


Kiwoom KOSEF200 Total Return ETF
294400
₩493.3B


Kyobo AXA Power K200 ETF
152870
₩28.6B


Samsung KODEX 200 Total Return ETF
278530
₩1,470.5B


Mirae Asset TIGER Leverage ETF
123320
₩32.1B


KIM KINDEX Leverage ETF
152500
₩11.1B


HANWHA Arirang 200 ETF
152100
₩853.6B


Samsung KODEX 200 ETF
069500
₩5,446.8B


Kiwoom KOSEF200 ETF
069660
₩542.8B


Mirae Asset TIGER200 ETF
102110
₩2,283.6B


KIM KINDEX 200 ETF
105190
₩751.7B


Samsung KODEX Leverage Derivatives ETF
122630
₩1,722.2B


KB KBSTAR 200 Securities ETF
148020
₩1,168.8B


NH-Amundi HANARO 200 ETF
293180
₩655.5B


NH-Amundi HANARO 200TR ETF
332930
₩222.4B


KIM KINDEX 200TotalReturn ETF
332500
₩340.5B


Shinhan SMART 200 Total Return ETF
295040
₩449.9B


- Total
-
₩16,486.4B

Source: KRX

Index funds39 local index funds are currently tracking KOSPI 200, including the Kyobo AXA Power Index with an AUM of ₩1.3T. Their combined AUM totals ₩3.7T.






Local Index funds directly mirroring KOSPI 200
Assets under management as of today (June 1, 2021)


Kiwoom New Frontier Index Plus αF- 1 [Equity-Derivative] A1
₩17.5B


Kiwoom e-Alpha Index 1 [Equity]
₩11.0B


Kiwoom Korea Index 1 [Equity] C-e
₩28.1B


Kiwoom Korea Happy Pension Index 1 [Equity]
₩16.6B


Korea Investment Index Plus 1 [Equity-Derivative] (A)
₩28.4B


BNKK200 Index (Equity-Derivative) ClassA
₩25.4B


KB Star Power Index Korea [Equity-Derivative] C-E
₩18.3B


Hungkuk Index Alpha [Equity-Derivative] C-f
₩17.9B


Daishin Index Value [Equity] ClassC-F
₩130.5B


Mirae Asset Market Plus [Equity] Type F
₩11.8B


Consus Moebius 1 200 Index (Equity-Derivative) Class C
₩11.0B


IBKKOSPI200 Index 1 [Equity] Type A
₩39.8B


Truston Index Alpha s [Equity-Derivative] C
₩14.5B


Hyundai KOSPI 200 Index Type C-f
₩10.2B


DGB Index Plus 1 [Equity-Derivative] A
₩27.6B


Woori KOSPI200 Index 1 (Equity-Derivative) ClassC-e
₩49.1B


Kyobo AXA Power Index 2 [Equity] ClassA1
₩22.5B


East Spring Korea Index [Equity] Class C-F
₩207.0B


Mirae KOSPI 200 Index 1 [Equity] Type C-e
₩164.0B


Kyobo AXA Power Index 1 [Equity] Class A 1
₩332.0B


Kyobo AXA Power Index 3 [Equity] ClassA
₩12.6B


Daishin KOSPI200 Index [Equity-Derivative] ClassC1
₩64.1B


Kyobo AXA Power Index 1 (Equity-Derivative) ClassA
₩1,277.0B


DB Index Haeohreum Alpha [Equity-Derivative] ClassA
₩15.5B


Hana UBS Umbrella New Index K- 1 [Equity-Derivative] ClassC
₩12.9B


Samsung Retirement Pension Index 1 [Equity] C
₩138.7B


Korea Investment &amp; Cruise F2.8 Index [Equity] (A)
₩14.1B


KB Index Annuity [Equity] C
₩20.6B


Samsung Index Alpha 1 [Equity-Derivative] (A)
₩18.6B


Samsung Pension Korea Index [Equity-Derivative]
₩34.6B


Samsung Classic Index Pensions 1 [Equity] _C
₩180.6B


KB Star Korea Index [Equity] C-E class
₩88.8B


Samsung Premium Index A [Equity-Derivative]
₩74.2B


Hanwha Smart ++ Index [Equity] C / C2β
₩240.4B


Feynman Index Premium 2 [Equity-Derivative]
₩18.8B


Samsung Index Plus 1 [Equity-Derivative] (C 1)
₩49.7B


KB Star Korea Index [Equity-Derivative] C
₩54.1B


NH-Amundi Premier Index [Equity-Derivative] ClassA
₩26.7B


Hyundai Investment Index 1 Alpha [Equity-Derivative] C-I
₩135.5B


- Total
₩3,660.7B

Source: KG Zeroin

National Pension Service (NPS)Now, we need to add NPS. In 2019, the internal (direct) management accounted for 54.15% of the domestic equity, whereas the external (consignment) management was responsible for 45.85%. Only the internal management operates passive funds, which accounted for 33.75% of the total domestic equity.The total domestic equity at March-end of this year was ₩178.7T. Assuming the same 33.75% weight for the passive in the domestic equity churns out ₩60.3T for the local passive funds within the NPS. An assumed 70% of this ₩60.3T would be ₩42.2T, supposedly tracking KOSPI 200. 70% should be a conservative assumption as their BM index for domestic equity is KOSPI.









NPS asset allocation
FY2019, amount
FY2019, weight
FY2021 March, amount
Directly mirroring KOSPI 200 at an assumed 70% of the total passive funds


Internal (direct) management
₩71,612.1B





- Active
₩26,976.9B
20.40%




- Passive
₩44,635.2B
33.75%
₩60,301.4B
₩42,211.0B


External (consignment) management
₩60,641.9B





- Active
₩60,641.9B
45.85%




- Passive
₩0.0B
0.00%




Total domestic Equity
₩132,254.0B

₩178,673.0B


Source: NPS

Variable insurance index fundsLastly, we have variable insurance index funds. A vast majority of the local variable insurance index funds are tracking KOSPI 200. I don't have the latest figure, but the FY2019 year-end data (compiled by YONHAP INFOMAX) shows that the combined AUM of these funds amounted to about ₩17~18T.Given the relatively flat yearly growth among the local insurance companies, I don't expect to see a substantial change in the combined AUM last year. So, ₩18T would be a safe estimate.Adding all four spits out ₩80.4T, supposedly total local passive money mirroring KOSPI 200 at this point.
₩80T estimation breakdown

ETFs
₩16.5T


Index funds
₩3.7T


National Pension Service - Passive
₩42.2T


Variable Insurance Index funds
₩18.0T


 - Total
₩80.4T

Source: KG Zeroin, KRX, NPS, &amp; YONHAP INFOMAX


Why I Estimate Total Local Passive Money Tracking KOSPI 200 at ₩80T? Here Is a Breakdown

Index Rebalance

<p>The KRX has announced the list of inclusions and exclusions 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> today. The rebalance is effective after the close of trading on 10 June.</p><p>There are 5 inclusions and 7 exclusions at the June 2021 review. If <a href="https://www.smartkarma.com/entities/sk-ie-technology" target="_blank" data-smartkarma-citation="entities:29207:1" rel="noopener">SK IE Technology (361610 KS)</a> meets the criteria for index Fast Entry, then <a href="https://www.smartkarma.com/entities/hdc-holdings-co-ltd" target="_blank" data-smartkarma-citation="entities:7699:1" rel="noopener">HDC Holdings (012630 KS)</a> will be deleted and the announcement will be made on 2 June.</p><p>So, there could be a total of 6 inclusions and 8 exclusions at the review with a one-way turnover of 0.77%.</p><p>The inclusions and exclusions are:</p><table class="table table-striped">
<colgroup>
<col>
<col>
<col>
<col>
</colgroup>
<tbody>
<tr>
<td colspan="2" style="text-align: center; width: 222pt;"><h3>Inclusions</h3></td>
<td colspan="2" style="text-align: center; width: 273pt;"><h3>Exclusions</h3></td>
</tr>
<tr>
<td><strong>Code</strong></td>
<td><strong>Name</strong></td>
<td><strong>Code</strong></td>
<td><strong>Name</strong></td>
</tr>
<tr>
<td>302440.KS</td>
<td>SK Bioscience Co Ltd</td>
<td>005180.KS</td>
<td>Binggrae Co Ltd</td>
</tr>
<tr>
<td>006040.KS</td>
<td>Dongwon Industries Co Ltd</td>
<td>005610.KS</td>
<td>SPC Samlip Co Ltd</td>
</tr>
<tr>
<td>298050.KS</td>
<td>Hyosung Advanced Materials Corp</td>
<td>006390.KS</td>
<td>Hanil Hyundai Cement Co Ltd</td>
</tr>
<tr>
<td>298020.KS</td>
<td>Hyosung TNC Corp</td>
<td>008350.KS</td>
<td>Namsun Aluminium Co Ltd</td>
</tr>
<tr>
<td><em><strong>361610.KS</strong></em></td>
<td><em><strong>SK IE Technology Co Ltd</strong></em></td>
<td>009410.KS</td>
<td>Taeyoung Engineering &amp; Construction Co Ltd</td>
</tr>
<tr>
<td>001440.KS</td>
<td>Taihan Electric Wire Co Ltd</td>
<td>018250.KS</td>
<td>Aekyung Industrial Co Ltd</td>
</tr>
<tr>
<td></td>
<td></td>
<td>145990.KS</td>
<td>Samyang Corp</td>
</tr>
<tr>
<td></td>
<td></td>
<td><em><strong>012630.KS</strong></em></td>
<td><em><strong>HDC Holdings Co Ltd</strong></em></td>
</tr>
</tbody>
</table><p>There are 12 trading days to implementation of the changes and there are a lot of deletions that have over 1 day of ADV to trade. The impact on the inclusions is smaller but there will be a lot of active funds looking to buy the stocks so they don't deviate too much from their benchmark.</p><p>With short selling limited to the constituents of 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>, shorting the inclusions will be tough while selling/shorting the deletions is a lot easier since they are current index constituents. The inclusions could outperform the deletions till a couple of days before implementation date, while there could be a high risk/reward reverse trade if the outperformance is significant.</p>

The KRX has announced the list of inclusions and exclusions to the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) today. The rebalance is effective after the close of trading on 10 June.There are 5 inclusions and 7 exclusions at the June 2021 review. If SK IE Technology (361610 KS) meets the criteria for index Fast Entry, then HDC Holdings (012630 KS) will be deleted and the announcement will be made on 2 June.So, there could be a total of 6 inclusions and 8 exclusions at the review with a one-way turnover of 0.77%.The inclusions and exclusions are:








Inclusions
Exclusions


Code
Name
Code
Name


302440.KS
SK Bioscience Co Ltd
005180.KS
Binggrae Co Ltd


006040.KS
Dongwon Industries Co Ltd
005610.KS
SPC Samlip Co Ltd


298050.KS
Hyosung Advanced Materials Corp
006390.KS
Hanil Hyundai Cement Co Ltd


298020.KS
Hyosung TNC Corp
008350.KS
Namsun Aluminium Co Ltd


361610.KS
SK IE Technology Co Ltd
009410.KS
Taeyoung Engineering &amp; Construction Co Ltd


001440.KS
Taihan Electric Wire Co Ltd
018250.KS
Aekyung Industrial Co Ltd




145990.KS
Samyang Corp




012630.KS
HDC Holdings Co Ltd


There are 12 trading days to implementation of the changes and there are a lot of deletions that have over 1 day of ADV to trade. The impact on the inclusions is smaller but there will be a lot of active funds looking to buy the stocks so they don't deviate too much from their benchmark.With short selling limited to the constituents of the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX), shorting the inclusions will be tough while selling/shorting the deletions is a lot easier since they are current index constituents. The inclusions could outperform the deletions till a couple of days before implementation date, while there could be a high risk/reward reverse trade if the outperformance is significant.

South Korea

SPC Samlip Ltd. manufactures variety of breads, snacks, frozen sweets, and noodles.

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SPC Samlip (005610 KS)

KOSPI Size Indices: Outperformance Slows on Momentum Stalls

There could be 41 stocks migrating between size segments in September. The upward migrations have outperformed the downward migrations but the...

Brian Freitas

KOSPI Size Indices: Potential Migrations in September Are Moving

There are many changes expected for the KOSPI size indices in September. The potential upward migrations have outperformed the potential downward...

Brian Freitas

ESG Analysis: How Labor Issues and Unfair Practices Led to the Boycott of SPC SAMLIP CO.,LTD.

The insight explains ESG risks of SPC Samlip(005610), major F&B company in Korea, that has multiple labor issues and unfair practices led to...

Ju Yeon Lee

Why I Estimate Total Local Passive Money Tracking KOSPI 200 at ₩80T? Here Is a Breakdown

This post provides a detailed breakdown of how I arrive at an estimated ₩80 trillion for the passive money tracking KOSPI 200.

Sanghyun Park

KOSPI200 Index Rebalance: Spot On!

There are 5 adds and 7 deletes for the KOSPI200 (as we forecast). There could be another add/delete if SK IE Tech gets index Fast Entry. Inclusions...

Brian Freitas

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