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>End December was the end of the review cutoff for a lot of indices that will rebalance within the next couple of months.</li>
<li>
<a href="https://www.smartkarma.com/entities/pexa-group-ltd" target="_blank" data-smartkarma-citation="entities:34716:1" rel="noopener">PEXA Group (PXA AU)</a> replaces <a href="https://www.smartkarma.com/entities/pendal-group-ltd" target="_blank" data-smartkarma-citation="entities:15795:1" rel="noopener">Pendal Group (PDL AU)</a> in the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> at the close on 12 January.</li>
<li>There were big outflows from Hong Kong and China focused ETFs led by <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index-etf" target="_blank" data-smartkarma-citation="entities:25:1" rel="noopener">Hang Seng H Share Index ETF (2828 HK)</a> and <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 Ltd (2800 HK)</a>.</li>
</ul>


End December was the end of the review cutoff for a lot of indices that will rebalance within the next couple of months.

PEXA Group (PXA AU) replaces Pendal Group (PDL AU) in the S&amp;P/ASX 200 (AS51 INDEX) at the close on 12 January.
There were big outflows from Hong Kong and China focused ETFs led by Hang Seng H Share Index ETF (2828 HK) and Tracker Fund of Hong Kong Ltd (2800 HK).


Index Rebalance & ETF Flow Recap: HSCEI, HSTECH, HSI, HSCI, KS200, KQ150, CSI300, SENSEX, LQ45, PSEi

<ul>
<li>One third of the way through the review period for the June rebalance, we see 9 potential changes 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>. </li>
<li>One way turnover is estimated at 3.3% and the impact on the expected deletions is a lot higher than the impact on the expected inclusions.</li>
<li>The potential adds have massively outperformed the potential deletes over the last year. We'd wait for a reversal before entering a trade here - worth monitoring.</li>
</ul>


One third of the way through the review period for the June rebalance, we see 9 potential changes to the KOSDAQ 150 Index (KOSDQ150 INDEX). 
One way turnover is estimated at 3.3% and the impact on the expected deletions is a lot higher than the impact on the expected inclusions.
The potential adds have massively outperformed the potential deletes over the last year. We'd wait for a reversal before entering a trade here - worth monitoring.


KOSDAQ150 Index Rebalance Preview (June): Changes Keep Rolling In

<ul>
<li>A third of the way through the review period, we see three potential changes. There are a few stocks that are close to inclusion and could lead to more changes.</li>
<li>There should be a couple of index changes prior to the June review due to the merger of <a href="https://www.smartkarma.com/entities/meritz-financial-group-inc" target="_blank" data-smartkarma-citation="entities:11776:1" rel="noopener">Meritz Financial Group</a>, <a href="https://www.smartkarma.com/entities/meritz-securities-co-ltd" target="_blank" data-smartkarma-citation="entities:19692:1" rel="noopener">Meritz Securities</a> and <a href="https://www.smartkarma.com/entities/meritz-fire-marine-insurance-co-ltd" target="_blank" data-smartkarma-citation="entities:20468:1" rel="noopener">Meritz Fire &amp; Marine Insurance</a>.</li>
<li>Passive trackers need to trade between KRW 5-23bn on the stocks and short interest is quite low on the potential inclusions and exclusions.</li>
</ul>


A third of the way through the review period, we see three potential changes. There are a few stocks that are close to inclusion and could lead to more changes.
There should be a couple of index changes prior to the June review due to the merger of Meritz Financial Group, Meritz Securities and Meritz Fire &amp; Marine Insurance.
Passive trackers need to trade between KRW 5-23bn on the stocks and short interest is quite low on the potential inclusions and exclusions.


KOSPI200 Index Rebalance Preview (June): Changes from Now to June

<ul>
<li>There are 11 inclusions and 11 exclusions for 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 December rebalance to be implemented at the close on 8 December.</li>
<li>We had forecast most of the changes (10 adds and 9 deletes), so there are a few surprises. The inclusion of <a href="https://www.smartkarma.com/entities/sillajen-inc" target="_blank" data-smartkarma-citation="entities:22838:1" rel="noopener">SillaJen Inc (215600 KS)</a> is the biggest one.</li>
<li>The adds to the index become short sell eligible from the open of trading on 9 December while the deletions will not be short sell eligible from the same time.</li>
</ul>


There are 11 inclusions and 11 exclusions for the KOSDAQ 150 Index (KOSDQ150 INDEX) at the December rebalance to be implemented at the close on 8 December.
We had forecast most of the changes (10 adds and 9 deletes), so there are a few surprises. The inclusion of SillaJen Inc (215600 KS) is the biggest one.
The adds to the index become short sell eligible from the open of trading on 9 December while the deletions will not be short sell eligible from the same time.


KOSDAQ150 Index Rebalance: 11 Changes with a Couple of Surprises

<ul>
<li>There will be 1 addition and 1 deletion for the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200-index" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX)</a> at the December rebalance that will be implemented on 8 December.</li>
<li>
<a href="https://www.smartkarma.com/entities/lotte-confectionery-co-ltd-1feb0155-08b6-44eb-bdbd-8d67cf757dac" target="_blank" data-smartkarma-citation="entities:25993:1" rel="noopener">Lotte Confectionery (280360 KS)</a> was a high probability add while <a href="https://www.smartkarma.com/entities/samyang-holdings-corp" target="_blank" data-smartkarma-citation="entities:13761:1" rel="noopener">Samyang Holdings (000070 KS)</a> was the second delete on the list. <a href="https://www.smartkarma.com/entities/hyundai-home-shopping-network-corp" target="_blank" data-smartkarma-citation="entities:2357:1" rel="noopener">Hyundai Home Shopping Network (057050 KS)</a> avoided deletion.</li>
<li>Passive trackers will need to buy around 14 days of ADV on <a href="https://www.smartkarma.com/entities/lotte-confectionery-co-ltd-1feb0155-08b6-44eb-bdbd-8d67cf757dac" target="_blank" data-smartkarma-citation="entities:25993:1" rel="noopener">Lotte Confectionery (280360 KS)</a> and sell nearly 13 days of ADV on <a href="https://www.smartkarma.com/entities/samyang-holdings-corp" target="_blank" data-smartkarma-citation="entities:13761:1" rel="noopener">Samyang Holdings (000070 KS)</a>.</li>
</ul>


There will be 1 addition and 1 deletion for the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) at the December rebalance that will be implemented on 8 December.

Lotte Confectionery (280360 KS) was a high probability add while Samyang Holdings (000070 KS) was the second delete on the list. Hyundai Home Shopping Network (057050 KS) avoided deletion.
Passive trackers will need to buy around 14 days of ADV on Lotte Confectionery (280360 KS) and sell nearly 13 days of ADV on Samyang Holdings (000070 KS).


KOSPI200 Index Rebalance: Just One Change

South Korea

KOSDAQ 150 Index is a base index for futures trading to hedge risks in KOSDAQ market. Base period and base index : Jan 4, 2010, 1,000p

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KOSDAQ 150 Index (KOSDQ150 INDEX EQUITY)

Index Rebalance & ETF Flow Recap: HSCEI, HSTECH, HSI, HSCI, KS200, KQ150, CSI300, SENSEX, LQ45, PSEi

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

Brian Freitas

KOSDAQ150 Index Rebalance Preview (June): Changes Keep Rolling In

Early in the review period, we see 9 potential changes for the KOSDAQ150 in June. The potential adds have outperformed the potential deletes by a...

Brian Freitas

KOSPI200 Index Rebalance Preview (June): Changes from Now to June

There could be two changes in Jan & April and then another 3 changes in June. Impact on the stocks is not excessive and short interest is minimal....

Brian Freitas

KOSDAQ150 Index Rebalance: 11 Changes with a Couple of Surprises

There are 11 changes at the Dec rebal: mostly in line with forecasts. SillaJen is a surprise add; Devsisters is a surprise delete. Short interest...

Brian Freitas

KOSPI200 Index Rebalance: Just One Change

Lotte Confectionary replaces Samyang Holdings in the KOSPI200 at the close on 8 Dec. Passives need to trade over 12 days ADV on both stocks. There...

Brian Freitas

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