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>
<a href="https://www.smartkarma.com/entities/hyundai-dept-store-co" target="_blank" data-smartkarma-citation="entities:19098:1" rel="noopener">Hyundai Dept Store Co (069960 KS)</a>, <a href="https://www.smartkarma.com/entities/hyundai-greenfood-co-ltd" target="_blank" data-smartkarma-citation="entities:19560:1" rel="noopener">Hyundai Greenfood (005440 KS)</a> and <a href="https://www.smartkarma.com/entities/oci-co-ltd" target="_blank" data-smartkarma-citation="entities:1904:1" rel="noopener">Oci Co Ltd (010060 KS)</a> will spin-off divisions and list them prior to the next rebalance in June.</li>
<li>The equity spin-offs will result in passive flows prior to the trading suspension as well as on relisting of the stocks post the spin-off.</li>
<li>We expect one change to the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200-index" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX)</a> in April as one stock will be deleted due to low market cap following the spin-off.</li>
</ul>



Hyundai Dept Store Co (069960 KS), Hyundai Greenfood (005440 KS) and Oci Co Ltd (010060 KS) will spin-off divisions and list them prior to the next rebalance in June.
The equity spin-offs will result in passive flows prior to the trading suspension as well as on relisting of the stocks post the spin-off.
We expect one change to the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) in April as one stock will be deleted due to low market cap following the spin-off.


Korea Spin-Offs: Details and KOSPI200 Index Impact

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>From a trading perspective, we should pay attention to the KOSPI 200 corporate actions in Hyundai Department Group's demerger events, as both companies are KOSPI 200 constituents.</li>
<li>Hyundai Green Food's surviving company won't beat the cutoff, resulting in a KOSPI 200 constituent change on April 10. Samyang Foods will be a new addition.</li>
<li>Even the size of KOSPI 200 ETFs that will likely go into mechanical trading on April 10 will cause a significant price impact from a day trading perspective.</li>
</ul>


From a trading perspective, we should pay attention to the KOSPI 200 corporate actions in Hyundai Department Group's demerger events, as both companies are KOSPI 200 constituents.
Hyundai Green Food's surviving company won't beat the cutoff, resulting in a KOSPI 200 constituent change on April 10. Samyang Foods will be a new addition.
Even the size of KOSPI 200 ETFs that will likely go into mechanical trading on April 10 will cause a significant price impact from a day trading perspective.


KOSPI 200 Ad-Hoc Change: Hyundai Greenfood Out & Samyang Foods Fresh Buy-In on April 10

<ul>
<li>End December was the end of the review cutoff for a lot of indices that will rebalance within the next couple of months.</li>
<li>
<a href="https://www.smartkarma.com/entities/pexa-group-ltd" target="_blank" data-smartkarma-citation="entities:34716:1" rel="noopener">PEXA Group (PXA AU)</a> replaces <a href="https://www.smartkarma.com/entities/pendal-group-ltd" target="_blank" data-smartkarma-citation="entities:15795:1" rel="noopener">Pendal Group (PDL AU)</a> in the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> at the close on 12 January.</li>
<li>There were big outflows from Hong Kong and China focused ETFs led by <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index-etf" target="_blank" data-smartkarma-citation="entities:25:1" rel="noopener">Hang Seng H Share Index ETF (2828 HK)</a> and <a href="https://www.smartkarma.com/entities/tracker-fund-of-hong-kong-ltd" target="_blank" data-smartkarma-citation="entities:29257:1" rel="noopener">Tracker Fund of Hong Kong Ltd (2800 HK)</a>.</li>
</ul>


End December was the end of the review cutoff for a lot of indices that will rebalance within the next couple of months.

PEXA Group (PXA AU) replaces Pendal Group (PDL AU) in the S&amp;P/ASX 200 (AS51 INDEX) at the close on 12 January.
There were big outflows from Hong Kong and China focused ETFs led by Hang Seng H Share Index ETF (2828 HK) and Tracker Fund of Hong Kong Ltd (2800 HK).


Index Rebalance & ETF Flow Recap: HSCEI, HSTECH, HSI, HSCI, KS200, KQ150, CSI300, SENSEX, LQ45, PSEi

<ul>
<li>A third of the way through the review period, we see three potential changes. There are a few stocks that are close to inclusion and could lead to more changes.</li>
<li>There should be a couple of index changes prior to the June review due to the merger of <a href="https://www.smartkarma.com/entities/meritz-financial-group-inc" target="_blank" data-smartkarma-citation="entities:11776:1" rel="noopener">Meritz Financial Group</a>, <a href="https://www.smartkarma.com/entities/meritz-securities-co-ltd" target="_blank" data-smartkarma-citation="entities:19692:1" rel="noopener">Meritz Securities</a> and <a href="https://www.smartkarma.com/entities/meritz-fire-marine-insurance-co-ltd" target="_blank" data-smartkarma-citation="entities:20468:1" rel="noopener">Meritz Fire &amp; Marine Insurance</a>.</li>
<li>Passive trackers need to trade between KRW 5-23bn on the stocks and short interest is quite low on the potential inclusions and exclusions.</li>
</ul>


A third of the way through the review period, we see three potential changes. There are a few stocks that are close to inclusion and could lead to more changes.
There should be a couple of index changes prior to the June review due to the merger of Meritz Financial Group, Meritz Securities and Meritz Fire &amp; Marine Insurance.
Passive trackers need to trade between KRW 5-23bn on the stocks and short interest is quite low on the potential inclusions and exclusions.


KOSPI200 Index Rebalance Preview (June): Changes from Now to June

<ul>
<li>One name is screened to newly join the index. That is Kum Yang (001570 KS). With a YTD performance of over 400%, it is currently in very safe territory.</li>
<li>Two constituents stand out as likely deletes at this point: Zinus (013890 KS) and Hwaseung Enterprise (241590 KS). The market cap gap with the next ones in line isn't small.</li>
<li>Kum Yang's passive impact is substantially low due to the recent surge in TV. But if it moves sideways and TV stabilizes downward, we should build preemptive flow trade setups. </li>
</ul>


One name is screened to newly join the index. That is Kum Yang (001570 KS). With a YTD performance of over 400%, it is currently in very safe territory.
Two constituents stand out as likely deletes at this point: Zinus (013890 KS) and Hwaseung Enterprise (241590 KS). The market cap gap with the next ones in line isn't small.
Kum Yang's passive impact is substantially low due to the recent surge in TV. But if it moves sideways and TV stabilizes downward, we should build preemptive flow trade setups. 


KOSPI 200 Rebalancing Early Preview: Few Names Stand Out

South Korea

Hwaseung Enterprise Co., Ltd. manufactures athletic shoes through Original Development Manufacturing(ODM) and Original Equipment Manufacturing(OEM). The Company supplies its products to Adidas and Reebok.

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Hwaseung Enterprise (241590 KS)

Korea Spin-Offs: Details and KOSPI200 Index Impact

There are three KOSPI200 members that are doing an equity spin-off in the next few months. Two will re-enter the index while one will be deleted....

Brian Freitas

KOSPI 200 Ad-Hoc Change: Hyundai Greenfood Out & Samyang Foods Fresh Buy-In on April 10

This post investigates KOSPI 200 ad-hoc change possibility resulting from Hyundai Greenfood's failure to meet the cutoff, which will lead to the...

Sanghyun Park

Index Rebalance & ETF Flow Recap: HSCEI, HSTECH, HSI, HSCI, KS200, KQ150, CSI300, SENSEX, LQ45, PSEi

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

Brian Freitas

KOSPI200 Index Rebalance Preview (June): Changes from Now to June

There could be two changes in Jan & April and then another 3 changes in June. Impact on the stocks is not excessive and short interest is minimal....

Brian Freitas

KOSPI 200 Rebalancing Early Preview: Few Names Stand Out

This post provides an early preview of the KOSPI 200 rebalancing. Several names stand out as likely constituent changes, including Kum Yang,...

Sanghyun Park

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