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 changes at the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a> September rebalance were announced on 4 September. The rebalance of the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">HSTECH</a> and HSCI was implemented on the same day.</li>
<li>The changes to the MVIS indices were announced on 8 September and will be implemented at the close on 15 September. The S&amp;P/ASX family will also rebalance on 15 September.</li>
<li>After a month and a half of big inflows to onshore China ETFs, there were small outflows from a lot of ETFs during the week.</li>
</ul>


The changes at the Nikkei 225 September rebalance were announced on 4 September. The rebalance of the HSI, HSCEI, HSTECH and HSCI was implemented on the same day.
The changes to the MVIS indices were announced on 8 September and will be implemented at the close on 15 September. The S&amp;P/ASX family will also rebalance on 15 September.
After a month and a half of big inflows to onshore China ETFs, there were small outflows from a lot of ETFs during the week.


Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, KOSDAQ150, Yuanta ETFs, MVA, MVW, SMH

<ul>
<li>Over two-thirds of the way through the review period, we see 14 potential changes for 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 could be index changes even before the December rebalance if there are delistings and stocks migrate from the KOSDAQ Market to the KOSPI Market.</li>
<li>Momentum in Korea has been strong. The potential adds have outperformed the potential deletes over the last few months and there could be further outperformance.</li>
</ul>


Over two-thirds of the way through the review period, we see 14 potential changes for the KOSDAQ 150 Index (KOSDQ150 INDEX) at the December rebalance.
There could be index changes even before the December rebalance if there are delistings and stocks migrate from the KOSDAQ Market to the KOSPI Market.
Momentum in Korea has been strong. The potential adds have outperformed the potential deletes over the last few months and there could be further outperformance.


KOSDAQ150 Index Rebalance Preview: Strong Momentum Leads to Outperformance

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 effective date for rebalancing KOSPI 200 and KOSDAQ 150 is this Friday. This is the first trading day that short selling is permitted on new stocks in these indexes.</li>
<li>From the 25th to today, immediately after the inclusion of these indexes was announced, the loan share balance of almost all stocks increased significantly.</li>
<li>Those stocks with substantial outperformance in price and relatively abundant liquidity have a high level of loan balance.</li>
</ul>


The effective date for rebalancing KOSPI 200 and KOSDAQ 150 is this Friday. This is the first trading day that short selling is permitted on new stocks in these indexes.
From the 25th to today, immediately after the inclusion of these indexes was announced, the loan share balance of almost all stocks increased significantly.
Those stocks with substantial outperformance in price and relatively abundant liquidity have a high level of loan balance.


Short Position Approach on the Index Entrants on December 10 in Korea

<ul>
<li>The KRX officially unveiled the results of the December rebalancing for KOSDAQ 150. We have a total of 15 additions and 15 deletions from the regular rebalancing.</li>
<li>The following trade-suitable stocks among the additions are Bioneer Corp, TK Chemical, AptaBio Therapeutics, Cellid, and Ecopro HN.</li>
<li>Among the deletions, these are worthy of our attention: SK Materials, Crystal Genomics, G-TreeBNT, and Icure Pharmaceutical
</li>
</ul>


The KRX officially unveiled the results of the December rebalancing for KOSDAQ 150. We have a total of 15 additions and 15 deletions from the regular rebalancing.
The following trade-suitable stocks among the additions are Bioneer Corp, TK Chemical, AptaBio Therapeutics, Cellid, and Ecopro HN.
Among the deletions, these are worthy of our attention: SK Materials, Crystal Genomics, G-TreeBNT, and Icure Pharmaceutical



15 Adds & 15 Deletes in KOSDAQ 150 Rebalancing: Passive Impact & Trade Approaches

<ul>
<li>There are 15 inclusions and 15 exclusions for 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 next rebalance to be implemented at the close on 9 December.</li>
<li>The inclusions were expected but there are a few surprises among the deletions as the Information Technology sector was spared at the expense of the Health Care sector.</li>
<li>Over the last couple of months, the inclusions have given up their early gains versus the deletions. With the announcement made, the inclusions could outperform over the next few weeks.</li>
</ul>


There are 15 inclusions and 15 exclusions for the KOSDAQ 150 Index (KOSDQ150 INDEX) at the next rebalance to be implemented at the close on 9 December.
The inclusions were expected but there are a few surprises among the deletions as the Information Technology sector was spared at the expense of the Health Care sector.
Over the last couple of months, the inclusions have given up their early gains versus the deletions. With the announcement made, the inclusions could outperform over the next few weeks.


KOSDAQ150 Index Rebalance: Pullback Done; Buy Adds & Sell Deletes

South Korea

Coocon Corporation operates as a business information provider. The Company provides business information collecting, connecting, and organizing services. Coocon offers services worldwide.

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Coocon Corp (294570 KS)

Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, KOSDAQ150, Yuanta ETFs, MVA, MVW, SMH

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

KOSDAQ150 Index Rebalance Preview: Strong Momentum Leads to Outperformance

There could be 14 changes for the KOSDAQ150 in Dec. There could be changes even prior to Dec due to delistings/section transfers. Momentum in Korea...

Brian Freitas

Short Position Approach on the Index Entrants on December 10 in Korea

The effective date for rebalancing KOSPI 200 and KOSDAQ 150 is this Friday, meaning that this is the first trading day that short selling is...

Sanghyun Park

15 Adds & 15 Deletes in KOSDAQ 150 Rebalancing: Passive Impact & Trade Approaches

The KOSDAQ 150 December rebalancing features a total of 15 additions and 15 deletions. This post details the results as well as the passive impact...

Sanghyun Park

KOSDAQ150 Index Rebalance: Pullback Done; Buy Adds & Sell Deletes

There are 15 changes for the KOSDAQ150 index in December. The impact on the deletions is larger than that on the inclusions. A long adds/short...

Brian Freitas

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