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 China equity markets have continued to slide and the lower market caps and free float market caps will see a lot of stocks deleted from passive portfolios in February.</li>
<li>We currently estimate selling of around US$1.66bn across 74 stocks listed on the mainland, in HK and the U.S., and that number could increase as markets continue to underperform.</li>
<li>The potential deletes have dropped a lot over the last 4 months and there has been a marked underperformance versus the headline indices over the last month.</li>
</ul>


The China equity markets have continued to slide and the lower market caps and free float market caps will see a lot of stocks deleted from passive portfolios in February.
We currently estimate selling of around US$1.66bn across 74 stocks listed on the mainland, in HK and the U.S., and that number could increase as markets continue to underperform.
The potential deletes have dropped a lot over the last 4 months and there has been a marked underperformance versus the headline indices over the last month.


China: Sliding Market Leads to Passive Selling

<ul>
<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 Co Ltd (066970 KS)</a> will move from the KOSDAQ Market to the KOSPI Market on 29 January. That means <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index</a> deletion at the close on 26 January.</li>
<li>As the highest ranked non-constituent from the Information Technology sector at the December rebalance, <a href="https://www.smartkarma.com/entities/seronics-co-ltd" target="_blank" data-smartkarma-citation="entities:13269:1" rel="noopener">Seronics Co Ltd (042600 KS)</a> will be added to the index.</li>
<li>Short interest on <a href="https://www.smartkarma.com/entities/l-f-co-ltd" target="_blank" data-smartkarma-citation="entities:14300:1" rel="noopener">L&amp;F Co (066970 KS)</a> is 1.8m shares (KRW 364bn; 4.98% of shares outstanding; 7.24% of float; 2.4x ADV). There could be recalls from passives and forced covering.</li>
</ul>



L&amp;F Co Ltd (066970 KS) will move from the KOSDAQ Market to the KOSPI Market on 29 January. That means KOSDAQ 150 Index deletion at the close on 26 January.
As the highest ranked non-constituent from the Information Technology sector at the December rebalance, Seronics Co Ltd (042600 KS) will be added to the index.
Short interest on L&amp;F Co (066970 KS) is 1.8m shares (KRW 364bn; 4.98% of shares outstanding; 7.24% of float; 2.4x ADV). There could be recalls from passives and forced covering.


KOSDAQ150 Adhoc Index Rebalance: Seronics to Replace L&F

<ul>
<li>The review period for a global index commenced last week and will run through this week as well.</li>
<li>The announcement of the changes for the LQ45 Index should be announced in the coming week and will be implemented at the close on 31 January.</li>
<li>Huge inflows to <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> trackers during the week while there was a big outflow from <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 (2800 HK)</a>. </li>
</ul>


The review period for a global index commenced last week and will run through this week as well.
The announcement of the changes for the LQ45 Index should be announced in the coming week and will be implemented at the close on 31 January.
Huge inflows to CSI 300 Index trackers during the week while there was a big outflow from Tracker Fund of Hong Kong (2800 HK). 


Index Rebalance & ETF Flow Recap: ASX, KS200, KQ150, HSIII, STTF, L&F, Costa Group, Japan, Bud APAC

<ul>
<li>The review period for the March rebalance ends on 31 January, the changes will be announced early March and implemented at the close of trading on 14 March.</li>
<li>There is one change currently for each of the Secondary Battery, Bio, Internet and Game indices. There are two changes for the BBIG Index.</li>
<li>There will be big flow on <a href="https://www.smartkarma.com/entities/ecopro-bm-co-ltd" target="_blank" data-smartkarma-citation="entities:27873:1" rel="noopener">Ecopro BM (247540 KS)</a> and <a href="https://www.smartkarma.com/entities/posco-future-m-co-ltd" target="_blank" data-smartkarma-citation="entities:12421:1" rel="noopener">Posco Future M (003670 KS)</a> and big impact on <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> and <a href="https://www.smartkarma.com/entities/dearu-co-ltd" target="_blank" data-smartkarma-citation="entities:34381:1" rel="noopener">DearU (376300 KS)</a>. </li>
</ul>


The review period for the March rebalance ends on 31 January, the changes will be announced early March and implemented at the close of trading on 14 March.
There is one change currently for each of the Secondary Battery, Bio, Internet and Game indices. There are two changes for the BBIG Index.
There will be big flow on Ecopro BM (247540 KS) and Posco Future M (003670 KS) and big impact on Douzone Bizon (012510 KS) and DearU (376300 KS). 


KRX New Deal Index Rebalance Preview: Changes with Flow & Impact

<ul>
<li>The review period for the March rebalance of the KOSPI Size Indices started 1 December and will end 29 February. The changes will be implemented at the close 14 March.</li>
<li>We currently see 3 migrations from MidCap to LargeCap, 3 new adds to LargeCap, 6 migrations from LargeCap to MidCap, and 11 migrations from SmallCap to MidCap.</li>
<li>Historically, stocks migrating from SmallCap to MidCap have outperformed stocks that are migrating between other categories.</li>
</ul>


The review period for the March rebalance of the KOSPI Size Indices started 1 December and will end 29 February. The changes will be implemented at the close 14 March.
We currently see 3 migrations from MidCap to LargeCap, 3 new adds to LargeCap, 6 migrations from LargeCap to MidCap, and 11 migrations from SmallCap to MidCap.
Historically, stocks migrating from SmallCap to MidCap have outperformed stocks that are migrating between other categories.


KOSPI Size Indices - The Outperformance Continues

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)

China: Sliding Market Leads to Passive Selling

A rapidly falling market could be upwards of 74 China stocks being deleted from passive portfolios. These stocks have underperformed the headline...

Brian Freitas

KOSDAQ150 Adhoc Index Rebalance: Seronics to Replace L&F

Seronics will replace L&F in the KOSDAQ150 Index at the close on 26 January. There is still a lot of short interest on L&F and there could be...

Brian Freitas

Index Rebalance & ETF Flow Recap: ASX, KS200, KQ150, HSIII, STTF, L&F, Costa Group, Japan, Bud APAC

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

Brian Freitas

KRX New Deal Index Rebalance Preview: Changes with Flow & Impact

With just over a week to go in the review period, the potential changes to the index are moving. Douzone Bizon is up 39% in two weeks and appears...

Brian Freitas

KOSPI Size Indices - The Outperformance Continues

We see 34 migrations and 6 new inclusions for the KOSPI Size indices. Stocks migrating higher have outperformed stocks migrating lower. Some stocks...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)