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 Appraisal rights exercise period ends on 13 November. If the NPS and other large shareholders exercise their rights in <a href="https://www.smartkarma.com/entities/celltrion-inc" target="_blank" data-smartkarma-citation="entities:991:1" rel="noopener">Celltrion Inc (068270 KS)</a>, the merger could be in trouble.</li>
<li>Both stocks are trading close to their exercise price and could be supported due to the companies buying back their shares.</li>
<li>There will be passive flows from local and global trackers and there does not appear to be pre-positioning. That is likely due to the risk of potential merger cancellation.</li>
</ul>


The Appraisal rights exercise period ends on 13 November. If the NPS and other large shareholders exercise their rights in Celltrion Inc (068270 KS), the merger could be in trouble.
Both stocks are trading close to their exercise price and could be supported due to the companies buying back their shares.
There will be passive flows from local and global trackers and there does not appear to be pre-positioning. That is likely due to the risk of potential merger cancellation.


Celltrion Merger: Appraisal Rights & Passive Flows

<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> has applied to the KRX for a transfer from the KOSDAQ market to the KOSPI market.</li>
<li>Based on history, the approval for the transfer and the listing change could take place some time in December.</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> will not be short-sell eligible for 6 months or longer. That means short covering prior to index deletion and a possible overshoot in the stock price.</li>
</ul>



L&amp;F Co Ltd (066970 KS) has applied to the KRX for a transfer from the KOSDAQ market to the KOSPI market.
Based on history, the approval for the transfer and the listing change could take place some time in December.

L&amp;F (066970 KS) will not be short-sell eligible for 6 months or longer. That means short covering prior to index deletion and a possible overshoot in the stock price.


L&F (066970 KS): Index Implications of KOSDAQ to KOSPI Transfer

<ul>
<li>The coming week has a lot of review periods ending - <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a>, <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150</a>, <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300</a>, <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500</a>, <a href="https://www.smartkarma.com/entities/shanghai-stock-exchange-sse-50-a-share-index" target="_blank" data-smartkarma-citation="entities:31073:1" rel="noopener">SSE50</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>, <a href="https://www.smartkarma.com/entities/chinext-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">ChiNext</a> and <a href="https://www.smartkarma.com/entities/s-p-bse-sensex-index" target="_blank" data-smartkarma-citation="entities:31494:1" rel="noopener">SENSEX</a>, among others.</li>
<li>The <a href="https://www.smartkarma.com/entities/tokyo-stock-exchange-tokyo-price-index-topix" target="_blank" data-smartkarma-citation="entities:22910:1" rel="noopener">TOPIX</a> rebalance will be implemented on Monday while the <a href="https://www.smartkarma.com/entities/global-x-lithium-battery-tech-etf" target="_blank" data-smartkarma-citation="entities:32745:1" rel="noopener">Global X Lithium &amp; Battery Tech ETF (LIT US)</a> and IDX indices will rebalance at the close on Tuesday.</li>
<li>There were outflows from Emerging Market ETFs including <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets" target="_blank" data-smartkarma-citation="entities:438:1" rel="noopener">iShares Emerging Markets (EEM)</a>, <a href="https://www.smartkarma.com/entities/ishares-core-msci-emerging-mar" target="_blank" data-smartkarma-citation="entities:32967:1" rel="noopener">iShares Core Emerging Mar (IEMG),</a> <a href="https://www.smartkarma.com/entities/schwab-emerging-markets-equi" target="_blank" data-smartkarma-citation="entities:32879:1" rel="noopener">Schwab Emerging Markets Equi (SCHE)</a> and <a href="https://www.smartkarma.com/entities/ishares-edge-msci-min-vol-emerging-markets-etf" target="_blank" data-smartkarma-citation="entities:725:1" rel="noopener">IShares Edge Min Vol Emerging Markets ETF (EEMV)</a>.</li>
</ul>


The coming week has a lot of review periods ending - KOSPI 200, KOSDAQ 150, CSI 300, CSI 500, SSE50, STAR50, ChiNext and SENSEX, among others.
The TOPIX rebalance will be implemented on Monday while the Global X Lithium &amp; Battery Tech ETF (LIT US) and IDX indices will rebalance at the close on Tuesday.
There were outflows from Emerging Market ETFs including iShares Emerging Markets (EEM), iShares Core Emerging Mar (IEMG), Schwab Emerging Markets Equi (SCHE) and IShares Edge Min Vol Emerging Markets ETF (EEMV).


Index Rebalance & ETF Flow Recap: KS200, KQ150, Yuanta Div+, LIT, HSCI, IDX, Japan Positioning

<ul>
<li>KRX has amended the stock selection methodology for the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI2 INDEX</a> and <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDQ150 INDEX</a> and added 'Expert Judgement' as a criteria.</li>
<li>The qualitative and quantitative criteria and the detailed filtering standards will be described in the manual but will <strong>NOT</strong> be publicly disclosed.</li>
<li>There is no change from using full market cap to free float market cap in stock selection, so the stocks that could be added/deleted will be broadly same as forecasts.</li>
</ul>


KRX has amended the stock selection methodology for the KOSPI2 INDEX and KOSDQ150 INDEX and added 'Expert Judgement' as a criteria.
The qualitative and quantitative criteria and the detailed filtering standards will be described in the manual but will NOT be publicly disclosed.
There is no change from using full market cap to free float market cap in stock selection, so the stocks that could be added/deleted will be broadly same as forecasts.


KOSPI200/KOSDAQ150 Index Rebalances: KRX Increases Opacity on Stock Selection

<ul>
<li>
<a href="https://www.smartkarma.com/entities/celltrion-inc" target="_blank" data-smartkarma-citation="entities:991:1" rel="noopener">Celltrion Inc (068270 KS)</a> and <a href="https://www.smartkarma.com/entities/celltrion-healthcare-co-ltd" target="_blank" data-smartkarma-citation="entities:23641:1" rel="noopener">Celltrion Healthcare (091990 KS)</a> will merge later this year. <a href="https://www.smartkarma.com/entities/celltrion-pharm-inc" target="_blank" data-smartkarma-citation="entities:992:1" rel="noopener">Celltrion Pharm (068760 KS)</a> has been left out for now; it could be merged next year.</li>
<li>For each share of <a href="https://www.smartkarma.com/entities/celltrion-healthcare-co-ltd" target="_blank" data-smartkarma-citation="entities:23641:1" rel="noopener">Celltrion Healthcare (091990 KS)</a> held, shareholders will receive 0.449262 shares of <a href="https://www.smartkarma.com/entities/celltrion-inc" target="_blank" data-smartkarma-citation="entities:991:1" rel="noopener">Celltrion Inc (068270 KS)</a>.</li>
<li>There will be implications for the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-index" target="_blank" data-smartkarma-citation="entities:22911:1" rel="noopener">Korea Stock Exchange Kospi Index (KOSPI INDEX)</a> and <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> with funding flows and index replacements.</li>
</ul>



Celltrion Inc (068270 KS) and Celltrion Healthcare (091990 KS) will merge later this year. Celltrion Pharm (068760 KS) has been left out for now; it could be merged next year.
For each share of Celltrion Healthcare (091990 KS) held, shareholders will receive 0.449262 shares of Celltrion Inc (068270 KS).
There will be implications for the Korea Stock Exchange Kospi Index (KOSPI INDEX) and KOSDAQ 150 Index (KOSDQ150 INDEX) with funding flows and index replacements.


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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52-week Range	0.00 - 0.00
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Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

Celltrion Merger: Appraisal Rights & Passive Flows

The appraisal rights exercise period ends 13 Nov. Both companies are buying back shares. The last traded price is close to the appraisal price....

Brian Freitas

L&F (066970 KS): Index Implications of KOSDAQ to KOSPI Transfer

LnF could move from the KOSDAQ to KOSPI market in Dec. That means deletion from the KOSDAQ150 in Dec and a potential inclusion in the KS200 in...

Brian Freitas

Index Rebalance & ETF Flow Recap: KS200, KQ150, Yuanta Div+, LIT, HSCI, IDX, Japan Positioning

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

Brian Freitas

KOSPI200/KOSDAQ150 Index Rebalances: KRX Increases Opacity on Stock Selection

KRX has amended the stock selection for the KOSPI2/KOSDAQ150 and added 'Expert Judgement' as a criteria. The problem is that the criteria are not...

Brian Freitas

Celltrion Merger: Index Implications

Celltrion Inc (068270 KS) and Celltrion Healthcare (091990 KS) shareholders have approved the merger. The last trading day is expected to be 28...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)