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>With over 40% of the review period complete, there could be 15 changes 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 June rebalance.</li>
<li>There could be two changes before that if <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> and <a href="https://www.smartkarma.com/entities/hlb-inc" target="_blank" data-smartkarma-citation="entities:16969:1" rel="noopener">HLB Inc (028300 KS)</a> complete their transfer from the KOSDAQ market to the KOSPI market.</li>
<li>The adds have outperformed the deletes and 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> since the start of the review period. The ban on short selling could lead to another leg up.</li>
</ul>


With over 40% of the review period complete, there could be 15 changes for the KOSDAQ 150 Index (KOSDQ150 INDEX) at the June rebalance.
There could be two changes before that if L&amp;F Co Ltd (066970 KS) and HLB Inc (028300 KS) complete their transfer from the KOSDAQ market to the KOSPI market.
The adds have outperformed the deletes and the KOSDAQ 150 Index since the start of the review period. The ban on short selling could lead to another leg up.


KOSDAQ150 Index Rebalance Preview: Potential Adds Soaring; Short Sell Ban Not Helping

<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>The adhoc <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index</a> rebalance and the regular Nifty200 Momentum30 Index rebalance will be implemented on Thursday and the <a href="https://www.smartkarma.com/entities/stock-exchange-of-thailand-set-50-index" target="_blank" data-smartkarma-citation="entities:31493:1" rel="noopener">SET 50 Index</a> rebalance will be implemented on Friday.</li>
<li>The review cutoff period for a whole bunch of indices ends on 29 December and the announcement of the results and implementation will take place early next year.</li>
<li>There were big inflows to China ETFs and to Emerging Market ETFs including <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 US)</a>, <a href="https://www.smartkarma.com/entities/vanguard-ftse-emerging-markets-etf" target="_blank" data-smartkarma-citation="entities:778:1" rel="noopener">Vanguard Emerging Markets (VWO US)</a> and <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets-223f5da3-7054-4e4f-bc55-b7f0852c2581" target="_blank" data-smartkarma-citation="entities:31998:1" rel="noopener">iShares Emerging Markets (EMXC US)</a>. </li>
</ul>


The adhoc KOSDAQ 150 Index rebalance and the regular Nifty200 Momentum30 Index rebalance will be implemented on Thursday and the SET 50 Index rebalance will be implemented on Friday.
The review cutoff period for a whole bunch of indices ends on 29 December and the announcement of the results and implementation will take place early next year.
There were big inflows to China ETFs and to Emerging Market ETFs including iShares Core Emerging Mar (IEMG US), Vanguard Emerging Markets (VWO US) and iShares Emerging Markets (EMXC US). 


Index Rebalance & ETF Flow Recap: STAR50, SET50, AMFI, KOSDAQ150

<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

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)

KOSDAQ150 Index Rebalance Preview: Potential Adds Soaring; Short Sell Ban Not Helping

There could be 15 changes for the KOSDAQ150 Index in June. The potential adds have outperformed the deletes and the index since the start of the...

Brian Freitas

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

Index Rebalance & ETF Flow Recap: STAR50, SET50, AMFI, KOSDAQ150

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

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

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