Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Highly experienced ex-Delta One trader with 17 years of experience trading arbitrage and related strategies across Asian markets.

Exempt Financial Adviser (EFA) under CrossASEAN Research Pte Ltd.

It is important to note that the information provided by Periscope Analytics is based on publicly available data and own knowledge, which has been gathered and synthesized from a variety of sources. While every effort has been made to ensure the accuracy and completeness of the information provided, it is not guaranteed to be free from errors or omissions.

All forecasts and estimates are based on information that has been obtained from public sources that are considered to be reliable. The sources include, but are not limited to, company announcements, exchange filings, ETF and other passive investment vehicle holdings, and free float and volume data from third-party data providers. Periscope Analytics does not guarantee the accuracy and completeness of the forecasts, estimates and/or other information.

Pan-Asia Index Rebalances/ Events/ Delta One

KOSPI Size Indices: Small-To-Mid Migrations Running Up

KOSPI Size Indices: Overlap Between Global Passive Selling & Downward Migrations

KOSPI Size Indices: Passive Flows for Many Active Changes

KOSPI Size Indices: Lots of Change as Averaging Starts

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

Index Rebalance

<ul>
<li>The review period for the March rebalance of the KOSPI Size Indices commenced on 1 December and will end on 28 February. We're gone through 80% of the trading days.</li>
<li>We currently forecast 42 stocks migrating between the size segments. Among new listings, 1 stock could be added to LargeCap, 3 to MidCap, 1 to SmallCap.</li>
<li>The upward migrations have outperformed the downward migrations by a lot over the last few months. The recent market volatility has led to a narrowing of that gap.</li>
</ul>


The review period for the March rebalance of the KOSPI Size Indices commenced on 1 December and will end on 28 February. We're gone through 80% of the trading days.
We currently forecast 42 stocks migrating between the size segments. Among new listings, 1 stock could be added to LargeCap, 3 to MidCap, 1 to SmallCap.
The upward migrations have outperformed the downward migrations by a lot over the last few months. The recent market volatility has led to a narrowing of that gap.


Ildong Pharmaceutical Co, Ltd. (249420 KS)

Taeyoung Engineering & Construction (009410 KS)

Korea Stock Exchange Kospi Index (KOSPI INDEX)

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

KOSPIサイズ指数：市場のボラティリティがスプレッドを縮小（若干）

Hanmi Pharm

KOSPIサイズ指数：市場のボラティリティがスプレッドを縮小（若干）