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 review period for the June rebalance ended on Friday. The changes will be announced in around 3 weeks and will be effective after the close on 9 June.</li>
<li>We see 7 changes for the index with most of them being high probability. The potential adds have outperformed the potential deletions, but have given up some gains in April.</li>
<li>Short interest on some of the potential deletions has risen sharply over the last month and now almost equals the estimated passive selling.</li>
</ul>


The review period for the June rebalance ended on Friday. The changes will be announced in around 3 weeks and will be effective after the close on 9 June.
We see 7 changes for the index with most of them being high probability. The potential adds have outperformed the potential deletions, but have given up some gains in April.
Short interest on some of the potential deletions has risen sharply over the last month and now almost equals the estimated passive selling.


KOSPI200 Index Rebalance Preview (June): Review Period Ends as Reversion Kicks In

<ul>
<li>With over 80% of the averaging in the review period complete, we see 15 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> at the June rebalance.</li>
<li>11 of the 15 changes are high/medium probability and it will take large moves over the rest of the review period for these stocks to drop out of the list.</li>
<li>Four potential inclusions have more than 3 days of ADV to buy from passives, while nine potential deletions have more than 3 days of ADV to sell from passives.</li>
</ul>


With over 80% of the averaging in the review period complete, we see 15 potential changes to the KOSDAQ 150 Index (KOSDQ150 INDEX) at the June rebalance.
11 of the 15 changes are high/medium probability and it will take large moves over the rest of the review period for these stocks to drop out of the list.
Four potential inclusions have more than 3 days of ADV to buy from passives, while nine potential deletions have more than 3 days of ADV to sell from passives.


KOSDAQ150 Index Rebalance Preview (June): Potential Inclusions Starting to Outperform

<ul>
<li>Over 3/4th of the way through the review period for the June rebalance, we see 7 potential changes to the KOSPI200 Index. Most are high probability changes.</li>
<li>Potential inclusions: F&amp;F (383220 KS), SD Biosensor (137310 KS), Meritz Fire &amp; Marine (000060 KS), Iljin Hysolus (271940 KS), K Car (381970 KS), Hanil Cement (300720 KS), Hana Tour (039130).</li>
<li>Potential deletions: Cuckoo Holdings (192400 KS), S&amp;T Motiv (064960 KS), Nexen Tire (002350 KS), Hyundai Home Shopping (057050 KS), Cuckoo Homesys (284740 KS), Sk Discovery (006120), Grand Korea Leisure (114090).</li>
</ul>


Over 3/4th of the way through the review period for the June rebalance, we see 7 potential changes to the KOSPI200 Index. Most are high probability changes.
Potential inclusions: F&amp;F (383220 KS), SD Biosensor (137310 KS), Meritz Fire &amp; Marine (000060 KS), Iljin Hysolus (271940 KS), K Car (381970 KS), Hanil Cement (300720 KS), Hana Tour (039130).
Potential deletions: Cuckoo Holdings (192400 KS), S&amp;T Motiv (064960 KS), Nexen Tire (002350 KS), Hyundai Home Shopping (057050 KS), Cuckoo Homesys (284740 KS), Sk Discovery (006120), Grand Korea Leisure (114090).


KOSPI200 June Index Rebalance Preview: 7 Changes as Adds Outperform Deletes

<ul>
<li>The announced changes are exactly in line with our forecasts with one change each for the Secondary Battery, Bio and Game Index. There are three changes to the Internet Index.</li>
<li>There are two changes to the BBIG Index with <a href="https://www.smartkarma.com/entities/lg-energy-solution" target="_blank" data-smartkarma-citation="entities:33464:1" rel="noopener">LG Energy Solution (373220 KS)</a> replacing <a href="https://www.smartkarma.com/entities/lg-chem-ltd" target="_blank" data-smartkarma-citation="entities:3583:1" rel="noopener">LG Chem Ltd (051910 KS)</a> and <a href="https://www.smartkarma.com/entities/afreecatv-co-ltd" target="_blank" data-smartkarma-citation="entities:20163:1" rel="noopener">AfreecaTV (067160 KS)</a> replacing <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>. </li>
<li>The largest buying impact will be on <a href="https://www.smartkarma.com/entities/afreecatv-co-ltd" target="_blank" data-smartkarma-citation="entities:20163:1" rel="noopener">AfreecaTV (067160 KS)</a> while the largest selling impact will be 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>, <a href="https://www.smartkarma.com/entities/soulbrain-co-ltd-4208cf78-7fa9-4449-af35-bd0bde9d4726" target="_blank" data-smartkarma-citation="entities:35407:1" rel="noopener">Soulbrain (357780)</a> and <a href="https://www.smartkarma.com/entities/lg-chem-ltd" target="_blank" data-smartkarma-citation="entities:3583:1" rel="noopener">LG Chem Ltd (051910 KS)</a>.</li>
</ul>


The announced changes are exactly in line with our forecasts with one change each for the Secondary Battery, Bio and Game Index. There are three changes to the Internet Index.
There are two changes to the BBIG Index with LG Energy Solution (373220 KS) replacing LG Chem Ltd (051910 KS) and AfreecaTV (067160 KS) replacing Douzone Bizon (012510 KS). 
The largest buying impact will be on AfreecaTV (067160 KS) while the largest selling impact will be on Douzone Bizon (012510 KS), Soulbrain (357780) and LG Chem Ltd (051910 KS).


KRX New Deal Index Rebalance: No Surprises as LG Chem Not Deleted from Battery Index

<ul>
<li>Hang Seng announced the results of the March rebalance post market close Friday. Two adds for the HSI, one set of changes for HSCEI, three sets for HSTECH.</li>
<li>An ad hoc rebalance was announced for the KOSDAQ150 following Osstem being designated an 'Administrative Issue'. In IPO world, we have LIC in India and SBI Sumishin NetBank coming up.</li>
<li>Friday was the review cutoff date for the March rebalance of the ASX200 Index. The ATO has provided Aventus with the tax ruling and that creates a timing issue.</li>
</ul>


Hang Seng announced the results of the March rebalance post market close Friday. Two adds for the HSI, one set of changes for HSCEI, three sets for HSTECH.
An ad hoc rebalance was announced for the KOSDAQ150 following Osstem being designated an 'Administrative Issue'. In IPO world, we have LIC in India and SBI Sumishin NetBank coming up.
Friday was the review cutoff date for the March rebalance of the ASX200 Index. The ATO has provided Aventus with the tax ruling and that creates a timing issue.


Index Rebalance & ETF Flow Recap: HSI, HSCEI, HSTECH, HSCI, S&P/ASX, SET50, LIC, SBI Sumishin, Crown

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)

KOSPI200 Index Rebalance Preview (June): Review Period Ends as Reversion Kicks In

With the review period complete, we see 7 potential changes to the index in June. The inclusions have underperformed the deletions in April and...

Brian Freitas

KOSDAQ150 Index Rebalance Preview (June): Potential Inclusions Starting to Outperform

With 80% of the review period complete, there are 15 potential index changes. The potential inclusions have started to outperform the index and the...

Brian Freitas

KOSPI200 June Index Rebalance Preview: 7 Changes as Adds Outperform Deletes

With just over a month to go in the review period, we see 7 potential changes to the KOSPI200 Index. Most changes are high probability and the...

Brian Freitas

KRX New Deal Index Rebalance: No Surprises as LG Chem Not Deleted from Battery Index

There is one change each for the Secondary Battery, Bio and Game Index. There are three changes to the Internet Index. LG Chem has not been deleted...

Brian Freitas

Index Rebalance & ETF Flow Recap: HSI, HSCEI, HSTECH, HSCI, S&P/ASX, SET50, LIC, SBI Sumishin, Crown

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

Brian Freitas

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