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 will be 2 additions and 2 deletions for 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> at the June rebalance that will be implemented on 8 June.</li>
<li>
<a href="https://www.smartkarma.com/entities/kum-yang-co-ltd" target="_blank" data-smartkarma-citation="entities:10364:1" rel="noopener">Kum Yang (001570 KS)</a> and <a href="https://www.smartkarma.com/entities/cosmochemical-co-ltd" target="_blank" data-smartkarma-citation="entities:3747:1" rel="noopener">Cosmochemical (005420 KS)</a>, both high probability names, are inclusions while <a href="https://www.smartkarma.com/entities/hwaseung-enterprise-co-ltd" target="_blank" data-smartkarma-citation="entities:35611:1" rel="noopener">Hwaseung Enterprise (241590 KS)</a> and <a href="https://www.smartkarma.com/entities/dongwon-industries-co-ltd" target="_blank" data-smartkarma-citation="entities:1783:1" rel="noopener">Dongwon Industries (006040 KS)</a> are deletions.</li>
<li>Not surpisingly, there is almost no short interest on the adds. Short interest on the deletes is higher and rising. Expect short covering on the deletes prior to implementation.</li>
</ul>


There will be 2 additions and 2 deletions for the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) at the June rebalance that will be implemented on 8 June.

Kum Yang (001570 KS) and Cosmochemical (005420 KS), both high probability names, are inclusions while Hwaseung Enterprise (241590 KS) and Dongwon Industries (006040 KS) are deletions.
Not surpisingly, there is almost no short interest on the adds. Short interest on the deletes is higher and rising. Expect short covering on the deletes prior to implementation.


KOSPI200 Index Rebalance: Two Sets of Changes

<ul>
<li>With 4 trading days left in the review period, we see three potential changes for 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 June.</li>
<li>
<a href="https://www.smartkarma.com/entities/kum-yang-co-ltd" target="_blank" data-smartkarma-citation="entities:10364:1" rel="noopener">Kum Yang (001570 KS)</a>, <a href="https://www.smartkarma.com/entities/cosmochemical-co-ltd" target="_blank" data-smartkarma-citation="entities:3747:1" rel="noopener">Cosmochemical (005420 KS)</a> and <a href="https://www.smartkarma.com/entities/youlchon-chemical-co-ltd" target="_blank" data-smartkarma-citation="entities:2649:1" rel="noopener">Youlchon Chemical (008730 KS)</a> could replace <a href="https://www.smartkarma.com/entities/dongwon-industries-co-ltd" target="_blank" data-smartkarma-citation="entities:1783:1" rel="noopener">Dongwon Industries (006040 KS)</a>, <a href="https://www.smartkarma.com/entities/hwaseung-enterprise-co-ltd" target="_blank" data-smartkarma-citation="entities:35611:1" rel="noopener">Hwaseung Enterprise (241590 KS)</a> and <a href="https://www.smartkarma.com/entities/hyundai-home-shopping-network-corp" target="_blank" data-smartkarma-citation="entities:2357:1" rel="noopener">Hyundai Home Shopping Network (057050 KS)</a>. </li>
<li>If approved by shareholders, the <a href="https://www.smartkarma.com/entities/dongkuk-steel-mill-co-ltd" target="_blank" data-smartkarma-citation="entities:7293:1" rel="noopener">Dongkuk Steel Mill (001230 KS)</a> split increases the probability of <a href="https://www.smartkarma.com/entities/youlchon-chemical-co-ltd" target="_blank" data-smartkarma-citation="entities:2649:1" rel="noopener">Youlchon Chemical (008730 KS)</a> inclusion and <a href="https://www.smartkarma.com/entities/hyundai-home-shopping-network-corp" target="_blank" data-smartkarma-citation="entities:2357:1" rel="noopener">Hyundai Home Shopping Network (057050 KS)</a> could avoid deletion.</li>
</ul>


With 4 trading days left in the review period, we see three potential changes for the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) in June.

Kum Yang (001570 KS), Cosmochemical (005420 KS) and Youlchon Chemical (008730 KS) could replace Dongwon Industries (006040 KS), Hwaseung Enterprise (241590 KS) and Hyundai Home Shopping Network (057050 KS). 
If approved by shareholders, the Dongkuk Steel Mill (001230 KS) split increases the probability of Youlchon Chemical (008730 KS) inclusion and Hyundai Home Shopping Network (057050 KS) could avoid deletion.


KOSPI200 Index Rebalance Preview: Materials to Replace Consumer Stocks

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>Dongwon Industries’ float rate is less than 10% (1 - 63.15% - 27.65% = 9.20%), which makes it ineligible for KOSPI 200. KRX will reflect this in the June review.</li>
<li>The passive outflow size due to K200 deletion is expected to be about 50 billion won, which will cause an impact of about 28x ADTV.</li>
<li>Considering this deletion has not been sufficiently exposed in the market, the actual price impact may be even more significant and preemptive.</li>
</ul>


Dongwon Industries’ float rate is less than 10% (1 - 63.15% - 27.65% = 9.20%), which makes it ineligible for KOSPI 200. KRX will reflect this in the June review.
The passive outflow size due to K200 deletion is expected to be about 50 billion won, which will cause an impact of about 28x ADTV.
Considering this deletion has not been sufficiently exposed in the market, the actual price impact may be even more significant and preemptive.


Aggressive Shorting on Dongwon Industries, Which Has Not Been Noticed as a K200 Deletion

<ul>
<li>Through the regular rebalancing, Kum Yang and Cosmo Chemical will be included in KOSPI 200, and Youlchon Chemical will be included as an ad-hoc change due to Dongkuk Steel's deletion.</li>
<li>We should prepare for an aggressive long position on Youlchon Chemical from a day trading perspective, targeting May 15th, the day after Dongkuk Steel's general meeting.</li>
<li>If the meeting is scheduled for the morning, we should consider entering the position in the afternoon of the 12th.</li>
</ul>


Through the regular rebalancing, Kum Yang and Cosmo Chemical will be included in KOSPI 200, and Youlchon Chemical will be included as an ad-hoc change due to Dongkuk Steel's deletion.
We should prepare for an aggressive long position on Youlchon Chemical from a day trading perspective, targeting May 15th, the day after Dongkuk Steel's general meeting.
If the meeting is scheduled for the morning, we should consider entering the position in the afternoon of the 12th.


Target May 15th for LONG Youlchon Chemical with Dongkuk Steel's Split Approval

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

<ul>
<li>In this insight, we discuss the potential new inclusions in KOSPI 200 rebalance in May 2023.</li>
<li>The five stocks that are potential inclusions in KOSPI 200 rebalance in May 2023 include Kumyang, Cosmo Chemical, Dentium, Jeju Air, and Youlchon Chemical. </li>
<li>Kumyang and Cosmo Chemical are up on average 177% YTD. We would not chase these two stocks as their share prices have already risen considerably. </li>
</ul>


In this insight, we discuss the potential new inclusions in KOSPI 200 rebalance in May 2023.
The five stocks that are potential inclusions in KOSPI 200 rebalance in May 2023 include Kumyang, Cosmo Chemical, Dentium, Jeju Air, and Youlchon Chemical. 
Kumyang and Cosmo Chemical are up on average 177% YTD. We would not chase these two stocks as their share prices have already risen considerably. 


Additional Potential Inclusions in KOSPI 200 Rebalance in May 2023

South Korea

Youlchon Chemical Co., Ltd. develops and manufactures packaging materials such as single and multilayer oriented polypropylene films and corrugated cardboards for use in consumer product labeling and packaging applications.  The Company also produces laminated tubes to pack toothpaste, cosmetics, and adhesives.  In addition, Youlchon manufactures carrier tapes which carry electronic parts.

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Youlchon Chemical (008730 KS)

KOSPI200 Index Rebalance: Two Sets of Changes

Kumyang & CosmoChem will be added to the KOSPI200 in June. Both stocks ran up a lot and are now correcting - they become short sell eligible from...

Brian Freitas

KOSPI200 Index Rebalance Preview: Materials to Replace Consumer Stocks

There could be 3 changes for the KOSPI20 in June with Youlchon Chemical sitting at the cusp. The impact on the deletes will be higher and short...

Brian Freitas

Aggressive Shorting on Dongwon Industries, Which Has Not Been Noticed as a K200 Deletion

This post presents the shorting opportunity on Dongwon Industries, which will likely be deleted in the KOSPI 200 June review, as its free-float...

Sanghyun Park

Target May 15th for LONG Youlchon Chemical with Dongkuk Steel's Split Approval

This post investigates the potential ad-hoc change in KOSPI 200 due to Dongkuk Steel's split and examines the Long position entry timing for the...

Sanghyun Park

Additional Potential Inclusions in KOSPI 200 Rebalance in May 2023

The five stocks that are potential inclusions in KOSPI 200 rebalance in May 2023 include Kumyang, Cosmo Chemical, Dentium, Jeju Air, and Youlchon...

Douglas Kim

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