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 nearly complete, we see 15 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 prolonged trading suspensions and stocks migrate from the KOSDAQ Market to the KOSPI Market.</li>
<li>The potential adds have sold off hard over the last six weeks, similar to the performance at the June rebalance.</li>
</ul>


With the review period nearly complete, we see 15 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 prolonged trading suspensions and stocks migrate from the KOSDAQ Market to the KOSPI Market.
The potential adds have sold off hard over the last six weeks, similar to the performance at the June rebalance.


KOSDAQ150 Index Rebalance Preview: Big Sell Off Among Potential Inclusions as Momentum Fades

<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>According to Chosun, KRX plans to list the single-stock futures of all constituents of KOSPI 200 and KOSDAQ 150 within 2-3 years.</li>
<li>This information comes from a KRX official, who directly confirmed it. As Chosun is the most well-established news outlet in Korea, the credibility of this article is quite high.</li>
<li>We should consider screening those with a high proportion of short-selling positions and devising a positioning strategy in conjunction with the new listing event of single stock futures in July.</li>
</ul>


According to Chosun, KRX plans to list the single-stock futures of all constituents of KOSPI 200 and KOSDAQ 150 within 2-3 years.
This information comes from a KRX official, who directly confirmed it. As Chosun is the most well-established news outlet in Korea, the credibility of this article is quite high.
We should consider screening those with a high proportion of short-selling positions and devising a positioning strategy in conjunction with the new listing event of single stock futures in July.


KRX Plans to List Single-Stock Futures of All KS200 & KQ150 Constituents

<ul>
<li>A rather unusual price movement came out on February 20 for HLB. On the first trading day after the board of directors' decision, the price reached the upper daily limit.</li>
<li>The short covering got to a temporarily excessive level in the process of securing appraisal rights should be the reason that led to the upper limit.</li>
<li>We should design a trading setup targeting excessive short covering-triggered price overheating in split-off events. At this point, the most likely candidate to pursue a split-off is DB Hitek.</li>
</ul>


A rather unusual price movement came out on February 20 for HLB. On the first trading day after the board of directors' decision, the price reached the upper daily limit.
The short covering got to a temporarily excessive level in the process of securing appraisal rights should be the reason that led to the upper limit.
We should design a trading setup targeting excessive short covering-triggered price overheating in split-off events. At this point, the most likely candidate to pursue a split-off is DB Hitek.


Never-Seen Price Pattern Detected in a Split-Off Event Granting Appraisal Rights in Korea

<ul>
<li>This post will specifically examine arb trade opportunities during the subscription rights trading period, with the recent HLB and Lotte Chemical cases.</li>
<li>HLB gave an arb yield of 8%. As for Lotte Chemical, the size (₩1.1T) is much bigger, and it carries single-stock futures, a powerful incentive for arb traders.</li>
<li>Another thing for Lotte Chemical is that it is unclear whether the major shareholders will participate in the subscription, which can lead to a widening of our arb spread.</li>
</ul>


This post will specifically examine arb trade opportunities during the subscription rights trading period, with the recent HLB and Lotte Chemical cases.
HLB gave an arb yield of 8%. As for Lotte Chemical, the size (₩1.1T) is much bigger, and it carries single-stock futures, a powerful incentive for arb traders.
Another thing for Lotte Chemical is that it is unclear whether the major shareholders will participate in the subscription, which can lead to a widening of our arb spread.


A Guide to Arb Trade in Rights Offer: Feat. HLB & Lotte Chemical

South Korea

HLB Inc. operates cord blood banking and clinical demonstration service. The Company also produces industrial valves, and iron manufacturing machines.  The Company's subsidiaries are engaged in a wide range of businesses including manufacturing of electric field instruments, lifeboats and agent services.

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HLB Inc (028300 KS)

KOSDAQ150 Index Rebalance Preview: Big Sell Off Among Potential Inclusions as Momentum Fades

With momentum fading in Korea, the selloff has hit the potential adds to the KOSDAQ150 especially hard. There could be a few constituent changes...

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

KRX Plans to List Single-Stock Futures of All KS200 & KQ150 Constituents

Chosun exclusively reports that KRX will list the single-stock futures of all KOSPI 200 and KOSDAQ 150 constituents. This post examines the trading...

Sanghyun Park

Never-Seen Price Pattern Detected in a Split-Off Event Granting Appraisal Rights in Korea

This post tries to explain what led to HLB hitting the daily limit on Feb 20 and discusses trading implications for similar split-off events in the...

Sanghyun Park

A Guide to Arb Trade in Rights Offer: Feat. HLB & Lotte Chemical

This post guides the arb trade opportunities during the subscription rights trading period in a rights offer event in Korea by looking at the...

Sanghyun Park

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