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>Hahn &amp; Co hold 79.9% of <a href="https://www.smartkarma.com/entities/ssangyong-cement-industrial-co-ltd" target="_blank" data-smartkarma-citation="entities:9345:1" rel="noopener">Ssangyong Cement Industrial (003410 KS)</a> and have made a tender offer to acquire the remaining 20.1% at KRW 7,000/share.</li>
<li>
<a href="https://www.smartkarma.com/entities/ssangyong-cement-industrial-co-ltd" target="_blank" data-smartkarma-citation="entities:9345:1" rel="noopener">Ssangyong Cement Industrial (003410 KS)</a> should be deleted from the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX)</a> once Hahn &amp; Co acquire 90% of the company.</li>
<li>
<a href="https://www.smartkarma.com/entities/aekyung-chemical-co-ltd" target="_blank" data-smartkarma-citation="entities:20295:1" rel="noopener">Aekyung Chemical (161000 KS)</a> is a potential addition to the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX)</a> but inclusion is dependent on Hahn &amp; Co reaching 90% of shares out.</li>
</ul>


Hahn &amp; Co hold 79.9% of Ssangyong Cement Industrial (003410 KS) and have made a tender offer to acquire the remaining 20.1% at KRW 7,000/share.

Ssangyong Cement Industrial (003410 KS) should be deleted from the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) once Hahn &amp; Co acquire 90% of the company.

Aekyung Chemical (161000 KS) is a potential addition to the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) but inclusion is dependent on Hahn &amp; Co reaching 90% of shares out.


KOSPI200 Index Adhoc Rebalance: Potential Replacements for SsangyongC&E

<ul>
<li>The review period for the March rebalance ended yesterday, the changes will be announced early March and implemented at the close of trading on 14 March.</li>
<li>We forecast one change for each of the Secondary Battery, Bio, Internet and Game indices. There could be two changes for the BBIG Index.</li>
<li>
<a href="https://www.smartkarma.com/entities/douzone-bizon-co-ltd" target="_blank" data-smartkarma-citation="entities:20161:1" rel="noopener">Douzone Bizon (012510 KS)</a> is up 65.5% in the last month and we'd look to lighten positions on this move higher.</li>
</ul>


The review period for the March rebalance ended yesterday, the changes will be announced early March and implemented at the close of trading on 14 March.
We forecast one change for each of the Secondary Battery, Bio, Internet and Game indices. There could be two changes for the BBIG Index.

Douzone Bizon (012510 KS) is up 65.5% in the last month and we'd look to lighten positions on this move higher.


KRX New Deal Index Rebalance Preview: Douzone Bizon Does It Again

<ul>
<li>There are a few stocks in Korea that have outperformed/ underperformed their peers and could be added to or deleted from global passive portfolios next month.</li>
<li>There could be buying in <a href="https://www.smartkarma.com/entities/ecopro-materials" target="_blank" data-smartkarma-citation="entities:36806:1" rel="noopener">EcoPro Materials</a> and <a href="https://www.smartkarma.com/entities/hanjin-kal-corp" target="_blank" data-smartkarma-citation="entities:19086:1" rel="noopener">Hanjin KAL</a> while <a href="https://www.smartkarma.com/entities/hotel-shilla-co-ltd" target="_blank" data-smartkarma-citation="entities:107:1" rel="noopener">Hotel Shilla</a>, <a href="https://www.smartkarma.com/entities/pearl-abyss-corp" target="_blank" data-smartkarma-citation="entities:24391:1" rel="noopener">Pearl Abyss</a>, <a href="https://www.smartkarma.com/entities/f-f-co-ltd-new" target="_blank" data-smartkarma-citation="entities:33479:1" rel="noopener">F&amp;F</a>, <a href="https://www.smartkarma.com/entities/hyundai-mipo-dockyard" target="_blank" data-smartkarma-citation="entities:2755:1" rel="noopener">Hyundai Mipo Dockyard</a>, <a href="https://www.smartkarma.com/entities/hanon-systems" target="_blank" data-smartkarma-citation="entities:11506:1" rel="noopener">Hanon Systems</a> and <a href="https://www.smartkarma.com/entities/jyp-entertainment-corp" target="_blank" data-smartkarma-citation="entities:17598:1" rel="noopener">Jyp Entertainment</a> could be sold.</li>
<li>There will be a lot of flow on the stocks and passive trackers will need to trade over 7 days of ADV in most stocks.</li>
</ul>


There are a few stocks in Korea that have outperformed/ underperformed their peers and could be added to or deleted from global passive portfolios next month.
There could be buying in EcoPro Materials and Hanjin KAL while Hotel Shilla, Pearl Abyss, F&amp;F, Hyundai Mipo Dockyard, Hanon Systems and Jyp Entertainment could be sold.
There will be a lot of flow on the stocks and passive trackers will need to trade over 7 days of ADV in most stocks.


Korea: Stocks with Near-Term Potential Passive Flows

<ul>
<li>The review period for the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY</a> family of indices, <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a>, <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50</a>, the KRX New Deal Index and a global index ends on 31 January.</li>
<li>The January rebalance of the IDX30 and LQ45 indices will be implemented at the close of trading on 31 January.</li>
<li>There have been huge inflows into the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> ETFs for another week. This will increase the impact on the index changes at the next rebalance.</li>
</ul>


The review period for the NIFTY family of indices, Nikkei 225, STAR50, the KRX New Deal Index and a global index ends on 31 January.
The January rebalance of the IDX30 and LQ45 indices will be implemented at the close of trading on 31 January.
There have been huge inflows into the CSI 300 Index ETFs for another week. This will increase the impact on the index changes at the next rebalance.


Index Rebalance & ETF Flow Recap: CSI300, CSI500, SSE50, ChiNext, KOSPI200, Renesas, IDX30/LQ45

<ul>
<li>KRX has announced that <a href="https://www.smartkarma.com/entities/posco-dx-co-ltd" target="_blank" data-smartkarma-citation="entities:5198:1" rel="noopener">Posco DX (022100 KS)</a> will replace <a href="https://www.smartkarma.com/entities/shinsegae-international-co" target="_blank" data-smartkarma-citation="entities:4454:1" rel="noopener">Shinsegae International Co (031430 KS)</a> in the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX)</a> at the close on 14 March.</li>
<li>Passive trackers will need to buy 0.5 days of ADV in <a href="https://www.smartkarma.com/entities/posco-dx-co-ltd" target="_blank" data-smartkarma-citation="entities:5198:1" rel="noopener">Posco DX (022100 KS)</a> while selling in <a href="https://www.smartkarma.com/entities/shinsegae-international-co" target="_blank" data-smartkarma-citation="entities:4454:1" rel="noopener">Shinsegae International (031430 KS)</a> is larger at over 7 days of ADV.</li>
<li>
<a href="https://www.smartkarma.com/entities/l-f-co-ltd" target="_blank" data-smartkarma-citation="entities:14300:1" rel="noopener">L&amp;F (066970 KS)</a> lists on the KOSPI market on 29 January; there is a possibility that the stock is also added to the index in March as a Fast Entry.</li>
</ul>


KRX has announced that Posco DX (022100 KS) will replace Shinsegae International Co (031430 KS) in the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) at the close on 14 March.
Passive trackers will need to buy 0.5 days of ADV in Posco DX (022100 KS) while selling in Shinsegae International (031430 KS) is larger at over 7 days of ADV.

L&amp;F (066970 KS) lists on the KOSPI market on 29 January; there is a possibility that the stock is also added to the index in March as a Fast Entry.


KOSPI200 Index Rebalance (March): Fast Entry for PoscoDX; Will L&F Make It Too?

South Korea

The KOSPI 200 Index is a capitalization-weighted index of 200 Korean stocks which make up 93% of the total market value of the Korea Stock Exchange. The index was developed with a base value of 100 as of January 3, 1990.

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

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Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

KOSPI200 Index Adhoc Rebalance: Potential Replacements for SsangyongC&E

HahnCo is looking to take SsangyongCE private. That will open up an index spot in the KOSPI200. AekyungChemical could be added to the index in...

Brian Freitas

KRX New Deal Index Rebalance Preview: Douzone Bizon Does It Again

There should be 1 change for each of the Battery, Bio, Internet and Game indices plus 2 changes for the BBIG Index. Douzone Bizon is repeating what...

Brian Freitas

Korea: Stocks with Near-Term Potential Passive Flows

There are 8 Korean stocks that could see trading activity from global passive trackers in the next few weeks. EcoPro Materials and Hanjin Kal could...

Brian Freitas

Index Rebalance & ETF Flow Recap: CSI300, CSI500, SSE50, ChiNext, KOSPI200, Renesas, IDX30/LQ45

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 (March): Fast Entry for PoscoDX; Will L&F Make It Too?

PoscoDX will be added to the KOSPI200 in March as a Fast Entry. Shinsegae Intl will be deleted. LnF lists on the KOSPI market on 29Jan and could...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)