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>With the review period complete, we see 11 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 December rebalance.</li>
<li>Most of the potential changes are high probability ones, but there are some stocks that are very close to market cap and liquidity cutoffs.</li>
<li>The impact of passive trading will be much higher on the potential deletes as compared to the potential inclusions, though trade notionals are higher for the potential adds.</li>
</ul>


With the review period complete, we see 11 potential changes to the KOSDAQ 150 Index (KOSDQ150 INDEX) at the December rebalance.
Most of the potential changes are high probability ones, but there are some stocks that are very close to market cap and liquidity cutoffs.
The impact of passive trading will be much higher on the potential deletes as compared to the potential inclusions, though trade notionals are higher for the potential adds.


KOSDAQ150 Index Rebalance Preview: Big Churn in IT, Healthcare Stocks

<ul>
<li>With 85% of the review period complete, we see 10 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 December rebalance.</li>
<li>There are a few stocks that are close adds/deletes on market cap and liquidity and could make it into the final list depending on price/volume over the next few weeks.</li>
<li>The potential adds have outperformed the potential deletes over the last month and pre-positioning could continue till the end of the review period.</li>
</ul>


With 85% of the review period complete, we see 10 potential changes to the KOSDAQ 150 Index (KOSDQ150 INDEX) at the December rebalance.
There are a few stocks that are close adds/deletes on market cap and liquidity and could make it into the final list depending on price/volume over the next few weeks.
The potential adds have outperformed the potential deletes over the last month and pre-positioning could continue till the end of the review period.


KOSDAQ150 Index Rebalance Preview: Moving in the Right Direction

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>KOSDAQ 150's December rebalancing will feature seven regular changes and two special entries.</li>
<li>Among the additions, we should focus on Dear U and ISC, which have a balanced level of liquidity and flow, rather than those theme stocks with high volatility.</li>
<li>As for Nature Holdings, Eoflow, and Nextin, I suggest a more aggressive entry point due to low trading volume. Then, I'd basket-trade the deletions on equal weight.</li>
</ul>


KOSDAQ 150's December rebalancing will feature seven regular changes and two special entries.
Among the additions, we should focus on Dear U and ISC, which have a balanced level of liquidity and flow, rather than those theme stocks with high volatility.
As for Nature Holdings, Eoflow, and Nextin, I suggest a more aggressive entry point due to low trading volume. Then, I'd basket-trade the deletions on equal weight.


KOSDAQ 150 Rebalancing: 7 Regular Changes + 2 Special Entries

<ul>
<li>One third of the way through the review period for the June rebalance, we see 11 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 3.88% and the impact on the expected deletions is a lot higher than the impact on the expected inclusions.</li>
<li>The potential adds have outperformed the potential deletes over the last few months. With the potential adds not short sell eligible, there could be more to go here.</li>
</ul>


One third of the way through the review period for the June rebalance, we see 11 potential changes to the KOSDAQ 150 Index (KOSDQ150 INDEX). 
One-Way turnover is estimated at 3.88% and the impact on the expected deletions is a lot higher than the impact on the expected inclusions.
The potential adds have outperformed the potential deletes over the last few months. With the potential adds not short sell eligible, there could be more to go here.


KOSDAQ150 Index Rebalance Preview (Dec 2022): Changes Galore Early in the Review Period

South Korea

Sunjin Co., Ltd. is an animal feedstuffs manufacturing company.  The Company's products include feeds for hogs, dairy cows, cattle, poultry, and dogs.  Sunjin also produces meat and processed meat products.

Farmstory Co., Ltd. processes, manufactures, and markets assorted feed, especial ly for pigs.  The Company markets its products through a membership sales system .  Dodram also breeds hogs and operates a hog raising association.

CJ Seafood Corp. produces processed seafood products such as fish cakes, crab meat, and fish fillets. Samho F&G exports its products to the United States, China, and Europe.

Silla Co., Ltd. is a deep-sea fishing company.  The Company processes and exports seafood products.  The Company also manufactures textiles and operates golf resort through its subsidiary.

Hanil Feed Co., Ltd. manufactures and markets formulated animal feedstuff. The Company's products include mixed feeds, single grain feeds, and feed supplements for cattle, dairy cows, hogs, and poultry.

Sajo Industries Co., Ltd. is a deep-sea fishing company, which catches, processes, and sells fish including blue fin, albacore, skip jack, sword fish, and black marlin.  The Company  manufactures canned tuna, frozen fish, popcorn, dried seaweed, hot pepper paste and bean paste.  Sajo also operates in the hog meat processing industry.

Haitai Confectionery & Foods Co., Ltd. manufactures and markets confectionery products.  The Company offers candies, ice creams, snacks, biscuits, chocolates, and chewing gums as well as provides frozen foods such as dumplings, pizza, fried foods, and patties.

Daehan Flour Mills Co., Ltd. processes, manufactures, and sells wheat flour under the brand name Gompyo.  The Company supplies its products to the baking goods, noodle, and animal feed manufacturers.  In addition, Daehan Flour Mills produces coffee cream, pasta, and baking mixes.

Dongaone Co., Ltd. is a flour mill and animal feed company.  The Company's production involves the manufacturing, development, and distribution of its bakery flour and powder, primarily through business-to-business markets.  DongA One's animal feed industry is divided into feed for chickens, pigs, dogs, fish and pets with facilities in Dangjin and Wonju South Korea.

Nong Woo Bio Co., Ltd. specializes in producing vegetable seeds and saplings. The Company researches, develops, processes, and distributes a variety of seeds such as peppers, watermelons, radishes, cabbages, and squashes.  Nong Woo Bio operates research facilities in China, Indonesia, and the United States.

Lifecore Biomedical, Inc. operates as a contract development and manufacturing company. The Company offers sterile injectable pharmaceutical products in syringes and vials as well as the manufactures pharmaceutical-grade sodium hyaluronate. Lifecore Biomedical serves customers worldwide.

TH Plantations Bhd is an investment holding company. The Company also cultivates palm oil, processes FFB, Markets CPO, PO, and FFB, as well as provides management services.

AOHATA Corporation produces and sells processed foods including various types of jams, sources, canned fruits, and desserts.  The Company mainly sells those products through Q.P. Corp. and Nakashimato Co., Ltd..

PT Austindo Nusantara Jaya Tbk ("ANJ") is a food and renewable energy company. The Company engages principally in palm oil and sago palm production and processing for food. As for renewable energy, it engages in power generation from geothermal and bio-gas. Austindo Nusantara Jaya also has less than 10% of its investments remaining in legacy businesses.

TIPCO Foods PCL produces and bottles fruit juices and other beverages.  The Company produces orange, mixed fruit and vegetable juices; spring water; and mineral water.

Lotus Chocolate Co. Ltd. manufactures cocoa and chocolate products. The Company sells its products domestically in India and abroad.

Teo Seng Capital Bhd. is an investment holding company principally involved in poultry farming. The Company is also involved in the manufacture and marketing of paper egg trays and animal feeds, along with the distribution of animal health products.

Rimbunan Sawit Bhd cultivates oil palms and process palm oil.  The Company owns about 13,500ha of plantation land and operates its palm oil mill.

NAKAMURAYA CO., LTD. produces and sells Japanese cakes and crackers.  The Company also provides processed foods including Indian curry, pasta sauce and canned food under the NAKAMURAYA brand.

Del Monte Pacific Limited produces and markets packaged vegetable and fruit, beverage and culinary products. The Group has the exclusive right to use the Del Monte brand for packaged products in the USA, South America, Philippines, the Indian subcontinent and Myanmar, and the S&W brand for both packaged and fresh products globally except Australia and New Zealand.

CANARIABIO Inc. operates as a new anticancer drugs development biotechnology company. The Company develops ovarian cancer, pancreatic cancer, gynecological cancer, and metastatic breast cancer immunotherapy drugs. CANARIABIO also produces sheep, pig, hog, poultry, and sweetened feed products.

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CanariaBio (016790 KS)

KOSDAQ150 Index Rebalance Preview: Big Churn in IT, Healthcare Stocks

There could be 11 changes at the Dec rebalance. Most changes are high probability and will result in a big churn in the IT & Healthcare sectors....

Brian Freitas

KOSDAQ150 Index Rebalance Preview: Moving in the Right Direction

There could be 10 changes to the KOSDAQ150 Index in December. There are a few stocks that are close adds/deletes. The potential adds have...

Brian Freitas

KOSDAQ 150 Rebalancing: 7 Regular Changes + 2 Special Entries

KOSDAQ 150 rebalancing in December will feature 7 regular changes and 2 special entries. This post details the screening results and the resulting...

Sanghyun Park

KOSDAQ150 Index Rebalance Preview (Dec 2022): Changes Galore Early in the Review Period

One third of the way through the review period, we see 11 potential changes. The potential adds have outperformed the potential deletes and there...

Brian Freitas

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