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/ecopro-bm-co-ltd" target="_blank" data-smartkarma-citation="entities:27873:1" rel="noopener">Ecopro BM (247540 KS)</a>'s Board has approved the delisting of the stock from the KOSDAQ market and to list on the KOSPI market. The shareholder meeting is on 26 March. </li>
<li>Historically, the KRX has taken an average of 64 days from application to approve the listing to transfer from the KOSDAQ market to the KOSPI market.</li>
<li>
<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> will be deleted from the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index</a> on its last trading day and inclusion in the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200 Index</a> could take place in September.</li>
</ul>



Ecopro BM (247540 KS)'s Board has approved the delisting of the stock from the KOSDAQ market and to list on the KOSPI market. The shareholder meeting is on 26 March. 
Historically, the KRX has taken an average of 64 days from application to approve the listing to transfer from the KOSDAQ market to the KOSPI market.

Ecopro BM (247540 KS) will be deleted from the KOSDAQ 150 Index on its last trading day and inclusion in the KOSPI 200 Index could take place in September.


Ecopro BM (247540 KS): Index Impact of KOSDAQ to KOSPI Transfer

Head of Research and Global Chief Strategist, Steno Research

Andreas Steno

Head of Research and Global Chief Strategist

Macro and Geopolitical Research House

Steno Research

Steno Research is a new macro and geopolitical research house. We are based out of Copenhagen, Denmark, but have an international team and a strong network of sources and partners around the world. The team is lead by Andreas Steno, previous global head of strategy at Nordea Bank, and Mikkel Rosenvold, former chief consultant in the Danish Ministry of Finance.

Cross Asset Strategy

<ul><li>Hello everyone, and welcome back to our weekly positioning watch! We have been all about the possibility of a cyclical rebound with the US economy showing great signs at the moment, and China is also potentially looking to beat the fairly bearish expectations (and why barely anyone has been net long cyclicals in all asset spaces).</li><li>This leaves markets with a great divergence, as Europe is yet to show the same signs of momentum, and inflation expectations (between USD and EUR) are also starting to diverge, but positioning has not followed accordingly.</li><li>Let’s rerun our current trades to kick things off: Equities: Long Materials and Long Korea (as a China proxy).</li></ul>

Hello everyone, and welcome back to our weekly positioning watch! We have been all about the possibility of a cyclical rebound with the US economy showing great signs at the moment, and China is also potentially looking to beat the fairly bearish expectations (and why barely anyone has been net long cyclicals in all asset spaces).This leaves markets with a great divergence, as Europe is yet to show the same signs of momentum, and inflation expectations (between USD and EUR) are also starting to diverge, but positioning has not followed accordingly.Let’s rerun our current trades to kick things off: Equities: Long Materials and Long Korea (as a China proxy).

Positioning Watch – Commodities Are Finally Moving

<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 see 3 migrations from MidCap to LargeCap, 4 new adds to LargeCap, 7 migrations from LargeCap to MidCap, and 11 migrations from SmallCap to MidCap.</li>
<li>On average, stocks migrating from SmallCap to MidCap have the lowest price to book value and have historically outperformed stocks 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 see 3 migrations from MidCap to LargeCap, 4 new adds to LargeCap, 7 migrations from LargeCap to MidCap, and 11 migrations from SmallCap to MidCap.
On average, stocks migrating from SmallCap to MidCap have the lowest price to book value and have historically outperformed stocks migrating between other categories.


KOSPI Size Indices - Potential Migrations as Focus Is on Price to Book

<ul>
<li>
<a href="https://www.smartkarma.com/entities/isc-co-ltd" target="_blank" data-smartkarma-citation="entities:13560:1" rel="noopener">ISC Co Ltd (095340 KS)</a> could replace <a href="https://www.smartkarma.com/entities/wonik-ips-co-ltd-5d7417b7-5438-41d4-a6e4-8016d24d818a" target="_blank" data-smartkarma-citation="entities:26912:1" rel="noopener">Wonik Ips (240810 KS)</a> in the FnGuide Semiconductor Top10 Index at the April rebalance.</li>
<li>
<a href="https://www.smartkarma.com/entities/jusung-engineering-co-ltd" target="_blank" data-smartkarma-citation="entities:12277:1" rel="noopener">Jusung Engineering (036930 KS)</a> is ranked just behind <a href="https://www.smartkarma.com/entities/isc-co-ltd" target="_blank" data-smartkarma-citation="entities:13560:1" rel="noopener">ISC Co Ltd (095340 KS)</a> and could be added to the index instead depending on relative price performance.</li>
<li>Shorts on <a href="https://www.smartkarma.com/entities/isc-co-ltd" target="_blank" data-smartkarma-citation="entities:13560:1" rel="noopener">ISC Co (095340 KS)</a> have been stable over the last few months while there has been big covering on <a href="https://www.smartkarma.com/entities/wonik-ips-co-ltd-5d7417b7-5438-41d4-a6e4-8016d24d818a" target="_blank" data-smartkarma-citation="entities:26912:1" rel="noopener">Wonik Ips (240810 KS)</a> and <a href="https://www.smartkarma.com/entities/jusung-engineering-co-ltd" target="_blank" data-smartkarma-citation="entities:12277:1" rel="noopener">Jusung Engineering (036930 KS)</a>. </li>
</ul>



ISC Co Ltd (095340 KS) could replace Wonik Ips (240810 KS) in the FnGuide Semiconductor Top10 Index at the April rebalance.

Jusung Engineering (036930 KS) is ranked just behind ISC Co Ltd (095340 KS) and could be added to the index instead depending on relative price performance.
Shorts on ISC Co (095340 KS) have been stable over the last few months while there has been big covering on Wonik Ips (240810 KS) and Jusung Engineering (036930 KS). 


FnGuide Semiconductor Top10 Index Rebalance Preview: One Change Likely; Close Among Potential Adds

<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 Equal Weight Index and has an AUM of US$241m.</li>
<li>We expect <a href="https://www.smartkarma.com/entities/celltrion-inc" target="_blank" data-smartkarma-citation="entities:991:1" rel="noopener">Celltrion Inc (068270 KS)</a> will replace <a href="https://www.smartkarma.com/entities/samsung-sdi-co-ltd" target="_blank" data-smartkarma-citation="entities:503:1" rel="noopener">Samsung SDI (006400 KS)</a> in the index at the March rebalance.</li>
<li>There will be 0.26x ADV to buy 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> while passives will need to sell 0.17x ADV of <a href="https://www.smartkarma.com/entities/samsung-sdi-co-ltd" target="_blank" data-smartkarma-citation="entities:503:1" rel="noopener">Samsung SDI (006400 KS)</a>. </li>
</ul>


The Samsung KODEX Fn Top10 Equal Weight ETF (395170 KS) tracks the FnGuide Top 10 Equal Weight Index and has an AUM of US$241m.
We expect Celltrion Inc (068270 KS) will replace Samsung SDI (006400 KS) in the index at the March rebalance.
There will be 0.26x ADV to buy in Celltrion Inc (068270 KS) while passives will need to sell 0.17x ADV of Samsung SDI (006400 KS). 


FnGuide Top10 Equal Weight Index Rebalance Preview: Celltrion Could Replace Samsung SDI

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)

Ecopro BM (247540 KS): Index Impact of KOSDAQ to KOSPI Transfer

Ecopro BM's Board has approved the KOSDAQ delisting and KOSPI listing. The shareholder meeting is on 26 March and KRX approval could come mid-May...

Brian Freitas

Positioning Watch – Commodities Are Finally Moving

Hello everyone, and welcome back to our weekly positioning watch!We have been all about the possibility of a cyclical rebound with the US economy...

Steno Research

KOSPI Size Indices - Potential Migrations as Focus Is on Price to Book

We see 35 migrations and 7 new inclusions for the KOSPI Size indices. Stocks migrating higher have outperformed stocks migrating lower. Some stocks...

Brian Freitas

FnGuide Semiconductor Top10 Index Rebalance Preview: One Change Likely; Close Among Potential Adds

ISC could replace Wonik Ips in the FnGuide Semiconductor Top10 Index at the April rebalance. However, Jusung Engg is not far behind ISC and could...

Brian Freitas

FnGuide Top10 Equal Weight Index Rebalance Preview: Celltrion Could Replace Samsung SDI

Celltrion could replace Samsung SDI in the FnGuide Top10 Equal Weight index at the March rebalance. There could be a second change depending on...

Brian Freitas