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)</a>, <a href="https://www.smartkarma.com/entities/kum-yang-co-ltd" target="_blank" data-smartkarma-citation="entities:10364:1" rel="noopener">Kum Yang (001570)</a>, <a href="https://www.smartkarma.com/entities/sk-telecom-co-ltd-bbccd86c-474d-4a4d-946d-10e911a225a2" target="_blank" data-smartkarma-citation="entities:395:1" rel="noopener">SK Telecom (017670)</a>, <a href="https://www.smartkarma.com/entities/lotte-energy-materials-corporation" target="_blank" data-smartkarma-citation="entities:7709:1" rel="noopener">Lotte Energy Materials (020150)</a>, <a href="https://www.smartkarma.com/entities/kakao-games-corp" target="_blank" data-smartkarma-citation="entities:26730:1" rel="noopener">Kakao Games (293490)</a>, <a href="https://www.smartkarma.com/entities/pan-ocean-co-ltd" target="_blank" data-smartkarma-citation="entities:5279:1" rel="noopener">Pan Ocean (028670)</a>, <a href="https://www.smartkarma.com/entities/bgf-retail-co-ltd" target="_blank" data-smartkarma-citation="entities:26731:1" rel="noopener">BGF retail (282330)</a>, <a href="https://www.smartkarma.com/entities/netmarble-corp" target="_blank" data-smartkarma-citation="entities:22839:1" rel="noopener">Netmarble (251270)</a> have been on investors/traders radars recently.</li>
<li>There could be liquidity events in some of the stocks next month as passive index trackers look to buy/sell the stocks.</li>
<li>Foreign investors have sold <a href="https://www.smartkarma.com/entities/lotte-energy-materials-corporation" target="_blank" data-smartkarma-citation="entities:7709:1" rel="noopener">Lotte Energy Materials (020150 KS)</a>, <a href="https://www.smartkarma.com/entities/kakao-games-corp" target="_blank" data-smartkarma-citation="entities:26730:1" rel="noopener">Kakao Games (293490 KS)</a>, <a href="https://www.smartkarma.com/entities/pan-ocean-co-ltd" target="_blank" data-smartkarma-citation="entities:5279:1" rel="noopener">Pan Ocean (028670 KS)</a> and <a href="https://www.smartkarma.com/entities/netmarble-corp" target="_blank" data-smartkarma-citation="entities:22839:1" rel="noopener">Netmarble (251270 KS)</a> while buying <a href="https://www.smartkarma.com/entities/bgf-retail-co-ltd" target="_blank" data-smartkarma-citation="entities:26731:1" rel="noopener">BGF retail (282330 KS)</a>. </li>
</ul>



Posco DX (022100), Kum Yang (001570), SK Telecom (017670), Lotte Energy Materials (020150), Kakao Games (293490), Pan Ocean (028670), BGF retail (282330), Netmarble (251270) have been on investors/traders radars recently.
There could be liquidity events in some of the stocks next month as passive index trackers look to buy/sell the stocks.
Foreign investors have sold Lotte Energy Materials (020150 KS), Kakao Games (293490 KS), Pan Ocean (028670 KS) and Netmarble (251270 KS) while buying BGF retail (282330 KS). 


Korea - Positioning in Stocks That Could Have Global Passive Flows

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

<ul>
<li>Korea Exchange is planning to change the criteria for rebalancing stocks in the KOSPI 200 index. </li>
<li>The purpose of this change is to prevent stocks that surge ahead of the actual KOSPI 200 inclusion but fall significantly after the inclusion announcement.</li>
<li>We think there is a 70-80%+ probability that POSCO DX and L&amp;F Co will be included in KOSPI 200 index in December 2023.</li>
</ul>


Korea Exchange is planning to change the criteria for rebalancing stocks in the KOSPI 200 index. 
The purpose of this change is to prevent stocks that surge ahead of the actual KOSPI 200 inclusion but fall significantly after the inclusion announcement.
We think there is a 70-80%+ probability that POSCO DX and L&amp;F Co will be included in KOSPI 200 index in December 2023.


KOSPI 200 Rebalance Candidates in December 2023 & Changes to the KOSPI 200 Rebalance Process

<ul>
<li>There are 8 migrations from MidCap to LargeCap, 7 LargeCap to MidCap, 8 new additions to MidCap, 17 SmallCap to MidCap, 23 MidCap to SmallCap, 5 new additions to SmallCap.</li>
<li>The migrations from SmallCap to MidCap have outperformed the stocks migrating between other segments by a huge margin over the last few months.</li>
<li>Given the huge outperformance and looking at how the migrations have performed historically, we'd expect the stocks migrating to MidCap to underperform post implementation of the changes.</li>
</ul>


There are 8 migrations from MidCap to LargeCap, 7 LargeCap to MidCap, 8 new additions to MidCap, 17 SmallCap to MidCap, 23 MidCap to SmallCap, 5 new additions to SmallCap.
The migrations from SmallCap to MidCap have outperformed the stocks migrating between other segments by a huge margin over the last few months.
Given the huge outperformance and looking at how the migrations have performed historically, we'd expect the stocks migrating to MidCap to underperform post implementation of the changes.


KOSPI Size Indices - Changes in September & Implications

<ul>
<li>The review period for the September rebalance of the KOSPI Size Indices started 1 June and will end 31 August. The changes will be implemented at the close 7 September.</li>
<li>We see 7 migrations from MidCap to LargeCap, 6 migrations from LargeCap to MidCap, 7 new adds to MidCap, and 17 migrations from SmallCap to MidCap.</li>
<li>Historically, stocks migrating from SmallCap to MidCap have outperformed stocks that are migrating between other categories.</li>
</ul>


The review period for the September rebalance of the KOSPI Size Indices started 1 June and will end 31 August. The changes will be implemented at the close 7 September.
We see 7 migrations from MidCap to LargeCap, 6 migrations from LargeCap to MidCap, 7 new adds to MidCap, and 17 migrations from SmallCap to MidCap.
Historically, stocks migrating from SmallCap to MidCap have outperformed stocks that are migrating between other categories.


KOSPI Size Indices - Plenty of Migrations to Attract Active Flows

Korea / Special Sits, Pairs, Index Rebalancing, Clepsydra Capital

Sanghyun Park

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

<ul>
<li>The CFD balance information (both overall and individual stock) will be provided by KOFIA and KOSCOM, starting from September 1st.</li>
<li>September 1st also marks the day when local brokerages that temporarily suspended CFD trading services will resume them.</li>
<li>With the disclosure of individual stock CFD balances starting from September 1st, there's a high probability of another volatility turning point.</li>
</ul>


The CFD balance information (both overall and individual stock) will be provided by KOFIA and KOSCOM, starting from September 1st.
September 1st also marks the day when local brokerages that temporarily suspended CFD trading services will resume them.
With the disclosure of individual stock CFD balances starting from September 1st, there's a high probability of another volatility turning point.


Where & How to Check CFD Trading Data Starting Sept 1st

South Korea

Kum Yang Co., Ltd. specializes in manufacturing blowing agents to foam rubber products and polymers.  The Company also produces other basic fine chemicals, such as sulphur products.

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Kum Yang (001570 KS)

Korea - Positioning in Stocks That Could Have Global Passive Flows

There could be a big reshuffle in Korean passive portfolios in November as stocks are added/deleted. Shorts have increased on a lot of stocks and...

Brian Freitas

KOSPI 200 Rebalance Candidates in December 2023 & Changes to the KOSPI 200 Rebalance Process

We believe there is a 70-80%+ probability that POSCO DX and L&F Co will be included in KOSPI 200 index in December 2023.

Douglas Kim

KOSPI Size Indices - Changes in September & Implications

The changes to the KOSPI Size Indices were announced on Friday. Stocks migrating from SmallCap to MidCap have bigly outperformed and going by...

Brian Freitas

KOSPI Size Indices - Plenty of Migrations to Attract Active Flows

We currently forecast 53 migrations for the KOSPI Size Indices. There are stocks that are potential KOSPI200 adds in December and others that will...

Brian Freitas

Where & How to Check CFD Trading Data Starting Sept 1st

This post explains where and how to check CFD trading and balance information starting September 1st and discusses the immediate impacts resulting...

Sanghyun Park

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