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 June rebalance of the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index</a> ended on Friday. We see 14 potential changes to the index - most are high probability. </li>
<li>The impact of passive trading is higher on the deletions than on the additions. Short interest on the potential adds is zero/negligible and a lot larger on the potential deletions.</li>
<li>Short interest on a couple of potential deletion exceeds the estimated passive selling, while there are others where short interest is three-quarters of the estimated passive selling.</li>
</ul>


The review period for the June rebalance of the KOSDAQ 150 Index ended on Friday. We see 14 potential changes to the index - most are high probability. 
The impact of passive trading is higher on the deletions than on the additions. Short interest on the potential adds is zero/negligible and a lot larger on the potential deletions.
Short interest on a couple of potential deletion exceeds the estimated passive selling, while there are others where short interest is three-quarters of the estimated passive selling.


KOSDAQ150 Index Rebalance Preview: 14 Potential Changes in June

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>The KOSDAQ 150 rebalancing in June will have nine adds and deletes, respectively.</li>
<li>Additions: <a href="https://www.smartkarma.com/entities/vidente-co-ltd" target="_blank" data-smartkarma-citation="entities:10357:1" rel="noopener">Vidente (121800)</a>, <a href="https://www.smartkarma.com/entities/golfzon-co-ltd" target="_blank" data-smartkarma-citation="entities:35645:1" rel="noopener">GOLFZON (215000)</a>, <a href="https://www.smartkarma.com/entities/hana-micron-inc" target="_blank" data-smartkarma-citation="entities:1464:1" rel="noopener">Hana Micron (067310)</a>, <a href="https://www.smartkarma.com/entities/danal-co-ltd" target="_blank" data-smartkarma-citation="entities:19682:1" rel="noopener">Danal (064260)</a>, <a href="https://www.smartkarma.com/entities/intellian-technologies-inc" target="_blank" data-smartkarma-citation="entities:34895:1" rel="noopener">Intellian Technologies (189300)</a>, <a href="https://www.smartkarma.com/entities/advanced-nano-products-co-lt" target="_blank" data-smartkarma-citation="entities:20170:1" rel="noopener">Advanced Nano (121600)</a>, Neoimmunetech (950220), NKMax (182400), &amp; WYSIWYG (299900) 
</li>
<li>Deletions: <a href="https://www.smartkarma.com/entities/toptec-co-ltd" target="_blank" data-smartkarma-citation="entities:7332:1" rel="noopener">Toptec (108230)</a>, <a href="https://www.smartkarma.com/entities/danawa-co-ltd" target="_blank" data-smartkarma-citation="entities:7191:1" rel="noopener">Danawa (119860)</a>, <a href="https://www.smartkarma.com/entities/optoelectronics-solutions-co" target="_blank" data-smartkarma-citation="entities:2098:1" rel="noopener">Optoelectronics Solutions (138080)</a>, <a href="https://www.smartkarma.com/entities/unison-co-ltd-south-korea" target="_blank" data-smartkarma-citation="entities:18617:1" rel="noopener">Unison (018000)</a>, <a href="https://www.smartkarma.com/entities/daea-ti-co-ltd" target="_blank" data-smartkarma-citation="entities:1473:1" rel="noopener">Daea Ti (045390)</a>, <a href="https://www.smartkarma.com/entities/advanced-process-systems-corporation" target="_blank" data-smartkarma-citation="entities:24087:1" rel="noopener">AP Systems (265520)</a>, <a href="https://www.smartkarma.com/entities/seojin-system-co-ltd" target="_blank" data-smartkarma-citation="entities:24032:1" rel="noopener">Seojin System (178320)</a>, <a href="https://www.smartkarma.com/entities/wonik-holdings-co-ltd" target="_blank" data-smartkarma-citation="entities:6485:1" rel="noopener">Wonik Holdings (030530)</a>, &amp; <a href="https://www.smartkarma.com/entities/rsupport-co-ltd" target="_blank" data-smartkarma-citation="entities:14783:1" rel="noopener">Rsupport (131370)</a> </li>
</ul>


The KOSDAQ 150 rebalancing in June will have nine adds and deletes, respectively.
Additions: Vidente (121800), GOLFZON (215000), Hana Micron (067310), Danal (064260), Intellian Technologies (189300), Advanced Nano (121600), Neoimmunetech (950220), NKMax (182400), &amp; WYSIWYG (299900) 

Deletions: Toptec (108230), Danawa (119860), Optoelectronics Solutions (138080), Unison (018000), Daea Ti (045390), AP Systems (265520), Seojin System (178320), Wonik Holdings (030530), &amp; Rsupport (131370) 


KOSDAQ 150 Rebalancing: Changes & Passive Impacts

<ul>
<li>With over 80% of the averaging in the review period complete, we see 15 potential changes to the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index (KOSDQ150 INDEX)</a> at the June rebalance.</li>
<li>11 of the 15 changes are high/medium probability and it will take large moves over the rest of the review period for these stocks to drop out of the list.</li>
<li>Four potential inclusions have more than 3 days of ADV to buy from passives, while nine potential deletions have more than 3 days of ADV to sell from passives.</li>
</ul>


With over 80% of the averaging in the review period complete, we see 15 potential changes to the KOSDAQ 150 Index (KOSDQ150 INDEX) at the June rebalance.
11 of the 15 changes are high/medium probability and it will take large moves over the rest of the review period for these stocks to drop out of the list.
Four potential inclusions have more than 3 days of ADV to buy from passives, while nine potential deletions have more than 3 days of ADV to sell from passives.


KOSDAQ150 Index Rebalance Preview (June): Potential Inclusions Starting to Outperform

<ul>
<li>One third of the way through the review period for the June rebalance, we see 14 potential changes to the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index (KOSDQ150 INDEX)</a>.</li>
<li>One-Way turnover is estimated at 6.29% and the impact on the expected deletions is a lot higher than the impact on the expected inclusions.</li>
<li>The potential inclusions have outperformed the potential deletions and are starting to lose some ground now. The potential inclusions are not short sell eligible and could move higher again.</li>
</ul>


One third of the way through the review period for the June rebalance, we see 14 potential changes to the KOSDAQ 150 Index (KOSDQ150 INDEX).
One-Way turnover is estimated at 6.29% and the impact on the expected deletions is a lot higher than the impact on the expected inclusions.
The potential inclusions have outperformed the potential deletions and are starting to lose some ground now. The potential inclusions are not short sell eligible and could move higher again.


KOSDAQ150 Index Rebalance Preview (June 2022): Lots of Changes Early in the Review Period

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Equity Capital Markets

<div class="content-highlight">Apple, Orange, Blackberry......and now Lemon. Yes, a Korean company called <a href="https://www.smartkarma.com/entities/lemon-co-ltd" target="_blank" data-smartkarma-citation="entities:28841:1" rel="noopener">Lemon (294140 KQ) </a>is getting ready to complete an IPO at the end of this month, which is likely to receive exceptional demand. The company's core products include EMI (electromagnetic interference) shielding products, Nano textile membrane, and protective masks. </div>The book-building for the institutional investors will start next week on 12 February 2020. The lead underwriters of this deal include Mirae Asset Daewoo Securities and Hyundai Motor Securities. The IPO price range is from 6,200 won to 7,200 won. The IPO deal size is from $21 million to $25 million.The company's masks (dust protection and regular protective), which were launched in December 2019 has been very timely since there has been a HUGE demand for high-quality masks in Korea, China, and all around the world due to the rapid spread of the novel Coronavirus.<div class="content-highlight">According to Lemon, the company has been operating its masks manufacturing facility at <a href="http://www.sentv.co.kr/news/view/567881" target="_blank" rel="noopener">100% capacity utilization</a> since February 3rd and can produce 4 million mask units per month. The company has already received 12 million mask units in new orders so it is fully booked.</div>

Apple, Orange, Blackberry......and now Lemon. Yes, a Korean company called Lemon (294140 KQ) is getting ready to complete an IPO at the end of this month, which is likely to receive exceptional demand. The company's core products include EMI (electromagnetic interference) shielding products, Nano textile membrane, and protective masks. The book-building for the institutional investors will start next week on 12 February 2020. The lead underwriters of this deal include Mirae Asset Daewoo Securities and Hyundai Motor Securities. The IPO price range is from 6,200 won to 7,200 won. The IPO deal size is from $21 million to $25 million.The company's masks (dust protection and regular protective), which were launched in December 2019 has been very timely since there has been a HUGE demand for high-quality masks in Korea, China, and all around the world due to the rapid spread of the novel Coronavirus.According to Lemon, the company has been operating its masks manufacturing facility at 100% capacity utilization since February 3rd and can produce 4 million mask units per month. The company has already received 12 million mask units in new orders so it is fully booked.

South Korea

Advanced Nano Products Co., Ltd. manufactures and supplies a wide range of nanomaterial products in the energy technology, nanotechnology, biotechnology, IT field.  The company mainly produces Memory/Non-memory semiconductors, solar cells, LCDs, PDPs and other material products.

Advanced Nano Products Co Ltd (121600 KS)

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Advanced Nano Products Co Ltd (121600 KS)

KOSDAQ150 Index Rebalance Preview: 14 Potential Changes in June

We forecast 14 potential changes to the KOSDAQ150 Index in June - most are high probability. Short interest on few potential deletions exceeds the...

Brian Freitas

KOSDAQ 150 Rebalancing: Changes & Passive Impacts

This post offers the changes (9 additions and deletions, respectively) and their passive impacts (x ADTV) in the KOSDAQ 150 rebalancing in June.

Sanghyun Park

KOSDAQ150 Index Rebalance Preview (June): Potential Inclusions Starting to Outperform

With 80% of the review period complete, there are 15 potential index changes. The potential inclusions have started to outperform the index and the...

Brian Freitas

KOSDAQ150 Index Rebalance Preview (June 2022): Lots of Changes Early in the Review Period

A third of the way through the review period, we see 14 potential changes to the KOSDAQ150 Index at the June rebalance. A reversal in performance...

Brian Freitas

Lemon IPO Preview

Apple, Orange, Blackberry......and now Lemon. Yes, a Korean company called Lemon (294140 KQ) is getting ready to complete an IPO at the end of this...

Douglas Kim

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