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>KRX has amended the stock selection methodology for the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI2 INDEX</a> and <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDQ150 INDEX</a> and added 'Expert Judgement' as a criteria.</li>
<li>The qualitative and quantitative criteria and the detailed filtering standards will be described in the manual but will <strong>NOT</strong> be publicly disclosed.</li>
<li>There is no change from using full market cap to free float market cap in stock selection, so the stocks that could be added/deleted will be broadly same as forecasts.</li>
</ul>


KRX has amended the stock selection methodology for the KOSPI2 INDEX and KOSDQ150 INDEX and added 'Expert Judgement' as a criteria.
The qualitative and quantitative criteria and the detailed filtering standards will be described in the manual but will NOT be publicly disclosed.
There is no change from using full market cap to free float market cap in stock selection, so the stocks that could be added/deleted will be broadly same as forecasts.


KOSPI200/KOSDAQ150 Index Rebalances: KRX Increases Opacity on Stock Selection

<ul>
<li>With the review period nearly complete, we expect 7 changes 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> in December. Couple of changes are low probability though.</li>
<li>The Materials sector could be the biggest gainer at the rebalance while nearly all deletions could come from the Consumer Discretionary sector.</li>
<li>The impact on the potential inclusion ranges from 0.15-15 days of ADV while the impact on the potential deletions varies from 1.7-8.1 days of ADV.</li>
</ul>


With the review period nearly complete, we expect 7 changes to the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) in December. Couple of changes are low probability though.
The Materials sector could be the biggest gainer at the rebalance while nearly all deletions could come from the Consumer Discretionary sector.
The impact on the potential inclusion ranges from 0.15-15 days of ADV while the impact on the potential deletions varies from 1.7-8.1 days of ADV.


KOSPI200 Index Rebalance Preview: The Tail End

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

<ul>
<li>Korea Exchange is planning to change the criteria for rebalancing stocks in the KOSPI 200 index. </li>
<li>The purpose of this change is to prevent stocks that surge ahead of the actual KOSPI 200 inclusion but fall significantly after the inclusion announcement.</li>
<li>We think there is a 70-80%+ probability that POSCO DX and L&amp;F Co will be included in KOSPI 200 index in December 2023.</li>
</ul>


Korea Exchange is planning to change the criteria for rebalancing stocks in the KOSPI 200 index. 
The purpose of this change is to prevent stocks that surge ahead of the actual KOSPI 200 inclusion but fall significantly after the inclusion announcement.
We think there is a 70-80%+ probability that POSCO DX and L&amp;F Co will be included in KOSPI 200 index in December 2023.


KOSPI 200 Rebalance Candidates in December 2023 & Changes to the KOSPI 200 Rebalance Process

<ul>
<li>Nearly two-thirds of the way through the review period, we see nine potential changes for 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 December rebalance.</li>
<li>The potential adds are dominated by the Materials sector while the potential deletions are mainly from the Consumer Discretionary sector.</li>
<li>The impact on the potential inclusion ranges from 0.14-12 days of ADV while the impact on the potential deletions varies from 3.1-30 days of ADV.</li>
</ul>


Nearly two-thirds of the way through the review period, we see nine potential changes for the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) at the December rebalance.
The potential adds are dominated by the Materials sector while the potential deletions are mainly from the Consumer Discretionary sector.
The impact on the potential inclusion ranges from 0.14-12 days of ADV while the impact on the potential deletions varies from 3.1-30 days of ADV.


KOSPI200 Index Rebalance Preview: Increasing Number of Changes in December

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Korea Stock Exchange KOSPI 200 / Event-Driven

<ul>
<li>The <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200 INDEX</a> has reached a tipping point: the previous Bull run trend is cracking, there is a high chance the index will drop.</li>
<li>The current MRM WEEKLY pattern is bearish: if the index falls for more than 1 week it may tailspin into a 4-6 weeks correction in September.</li>
<li>Cover your LONG holdings, support can be found at 325 (Q2), 315 (Q3) and 297 (Inner Fence).</li>
</ul>


The KOSPI 200 INDEX has reached a tipping point: the previous Bull run trend is cracking, there is a high chance the index will drop.
The current MRM WEEKLY pattern is bearish: if the index falls for more than 1 week it may tailspin into a 4-6 weeks correction in September.
Cover your LONG holdings, support can be found at 325 (Q2), 315 (Q3) and 297 (Inner Fence).


EQD | KOSPI 200 Index's Decisive Week: New WEEKLY LONG Supports

South Korea

Young Poong Paper Manufacturing Co., Ltd. manufactures core paper used in synthetic paper manufacturing.  The Company also produces liner paper boards used in corrugated board boxes.  Young Poong Paper distributes its products to the domestic and overseas markets.

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Youngpoong Paper Mfg (006740 KS)

KOSPI200/KOSDAQ150 Index Rebalances: KRX Increases Opacity on Stock Selection

KRX has amended the stock selection for the KOSPI2/KOSDAQ150 and added 'Expert Judgement' as a criteria. The problem is that the criteria are not...

Brian Freitas

KOSPI200 Index Rebalance Preview: The Tail End

There could be 7 changes for the KOSPI200 in Dec. There could be changes driven by index methodology, section transfers, alleged stock manipulation...

Brian Freitas

KOSPI 200 Rebalance Candidates in December 2023 & Changes to the KOSPI 200 Rebalance Process

We believe there is a 70-80%+ probability that POSCO DX and L&F Co will be included in KOSPI 200 index in December 2023.

Douglas Kim

KOSPI200 Index Rebalance Preview: Increasing Number of Changes in December

Two-thirds through the review period, there could be 9 changes a side for the KOSPI200 in Dec. Most of the changes are high probability and the...

Brian Freitas

EQD | KOSPI 200 Index's Decisive Week: New WEEKLY LONG Supports

The KOSPI 200 Index may have reached the end of its 2023 rally: a correction is probable in September, read the MRM LONG support prices to know...

Nico Rosti

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