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/posco-dx-co-ltd" target="_blank" data-smartkarma-citation="entities:5198:1" rel="noopener">Posco DX (022100 KS)</a> rallied 50% following approval of its application to transfer from the KOSDAQ to the KOSPI market. Then the stock dropped 20% following completion of the transfer.</li>
<li>With <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> applying for a section transfer a couple of weeks after <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>, approval could be imminent. </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 Co Ltd (066970 KS)</a> is up 46% since the start of November, but the stock has performed in line with the average of its peers.</li>
</ul>



Posco DX (022100 KS) rallied 50% following approval of its application to transfer from the KOSDAQ to the KOSPI market. Then the stock dropped 20% following completion of the transfer.
With L&amp;F Co Ltd (066970 KS) applying for a section transfer a couple of weeks after Posco DX (022100 KS), approval could be imminent. 

L&amp;F Co Ltd (066970 KS) is up 46% since the start of November, but the stock has performed in line with the average of its peers.


L&F (066970 KS): Will the Stock Move Like PoscoDX Following the KOSDAQ to KOSPI Transfer?

<ul>
<li>Less than halfway through the review period, we see four changes for 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 June rebalance.</li>
<li>The impact on the potential inclusion ranges from 0.14-6 days of ADV while the impact on the potential deletions varies from 3.6-12 days of ADV.</li>
<li>There are small shorts on the potential inclusions while short interest on the potential deletions varies from 5-10 days of ADV and 1.7-8.2% of free float.</li>
</ul>


Less than halfway through the review period, we see four changes for the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) at the June rebalance.
The impact on the potential inclusion ranges from 0.14-6 days of ADV while the impact on the potential deletions varies from 3.6-12 days of ADV.
There are small shorts on the potential inclusions while short interest on the potential deletions varies from 5-10 days of ADV and 1.7-8.2% of free float.


KOSPI200 Index Rebalance Preview: Four Potential Changes in June

<ul>
<li>
<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 move from the KOSDAQ Market to the KOSPI Market on 2 January. That means <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ150 Index (KOSDQ150 INDEX)</a> deletion at the close on 28 December.</li>
<li>In line with our forecast, <a href="https://www.smartkarma.com/entities/temc-inc" target="_blank" data-smartkarma-citation="entities:36608:1" rel="noopener">Temc (425040 KS)</a> will be added to 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> as a replacement.</li>
<li>Short interest increased 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> following its inclusion in a global index and there should continue to be unwinding over the next week.</li>
</ul>



Posco DX (022100 KS) will move from the KOSDAQ Market to the KOSPI Market on 2 January. That means KOSDAQ150 Index (KOSDQ150 INDEX) deletion at the close on 28 December.
In line with our forecast, Temc (425040 KS) will be added to the KOSDAQ 150 Index (KOSDQ150 INDEX) as a replacement.
Short interest increased in Posco DX (022100 KS) following its inclusion in a global index and there should continue to be unwinding over the next week.


KOSDAQ150 Adhoc Index Rebalance: TEMC Added; Short Covering Expected in PoscoDX

<ul>
<li>The KRX has preliminarily approved <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>'s listing transfer from the KOSDAQ Market to the KOSPI Market.</li>
<li>
<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> has announced that its stock will start trading on the KOSPI Market from the open on 2 January.</li>
<li>We expect <a href="https://www.smartkarma.com/entities/temc-inc" target="_blank" data-smartkarma-citation="entities:36608:1" rel="noopener">Temc (425040 KS)</a> to replace <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> in 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 close on 28 December.</li>
</ul>


The KRX has preliminarily approved Posco DX (022100 KS)'s listing transfer from the KOSDAQ Market to the KOSPI Market.

Posco DX (022100 KS) has announced that its stock will start trading on the KOSPI Market from the open on 2 January.
We expect Temc (425040 KS) to replace Posco DX (022100 KS) in the KOSDAQ 150 Index (KOSDQ150 INDEX) at the close on 28 December.


KOSDAQ150 Index Rebalance Preview: Posco DX Listing Transfer

<ul>
<li>The <a href="https://www.smartkarma.com/entities/samsung-kodex-fn-top10-equal-weight-etf" target="_blank" data-smartkarma-citation="entities:40203:1" rel="noopener">Samsung KODEX Fn Top10 Equal Weight ETF (395170 KS)</a> tracks the FnGuide Top 10 Index and has an AUM of US$264m.</li>
<li>We expect <a href="https://www.smartkarma.com/entities/kia-corp" target="_blank" data-smartkarma-citation="entities:156:1" rel="noopener">Kia Corp (000270 KS)</a> to replace <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> in the index at the December rebalance.</li>
<li>There will be 0.4x ADV to buy in <a href="https://www.smartkarma.com/entities/kia-corp" target="_blank" data-smartkarma-citation="entities:156:1" rel="noopener">Kia Corp (000270 KS)</a> while passives will need to sell 0.1x ADV of <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>. </li>
</ul>


The Samsung KODEX Fn Top10 Equal Weight ETF (395170 KS) tracks the FnGuide Top 10 Index and has an AUM of US$264m.
We expect Kia Corp (000270 KS) to replace Posco Future M (003670 KS) in the index at the December rebalance.
There will be 0.4x ADV to buy in Kia Corp (000270 KS) while passives will need to sell 0.1x ADV of Posco Future M (003670 KS). 


FnGuide Top10 Equal Weight Index Rebalance Preview: Kia Corp Could Replace Posco Future M

South Korea

The KOSPI Index is a capitalization-weighted index of all common shares on the Korean Stock Exchanges. The Index was developed with a base value of 100 as of January 4, 1980. Note: The preferred shares are excluded in calculating the KOSPI Index from June 14, 2002. 

Korea Stock Exchange Kospi Index (KOSPI INDEX)

Korea Stock Exchange Kospi Index (KOSPI INDEX)

L&F (066970 KS): Will the Stock Move Like PoscoDX Following the KOSDAQ to KOSPI Transfer?

The approval of L&F's transfer to the KOSPI market could come shortly. The stock is +46% since November but has performed in line with peers. Short...

Brian Freitas

KOSPI200 Index Rebalance Preview: Four Potential Changes in June

There could be 4 changes for the KOSPI200 in June. Most of the potential inclusions are newly eligible. Impact on the potential deletions is higher...

Brian Freitas

KOSDAQ150 Adhoc Index Rebalance: TEMC Added; Short Covering Expected in PoscoDX

As expected, TEMC will replace PoscoDX in the KOSDAQ150 at the close on 28 Dec. Short covering has commenced in PoscoDX and could continue over the...

Brian Freitas

KOSDAQ150 Index Rebalance Preview: Posco DX Listing Transfer

Posco DX (022100 KS) is up 14% today. There could be another week of trading on the KOSDAQ market before the listing transfer to the KOSPI market....

Brian Freitas

FnGuide Top10 Equal Weight Index Rebalance Preview: Kia Corp Could Replace Posco Future M

Kia Corp could replace Posco Future M in the FnGuide Top10 Equal Weight index in Dec - that would reverse the Sep change. There is 0.4x ADV to buy...

Brian Freitas