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

Korea Stock Exchange KOSPI 200 / Event-Driven

<ul>
<li>Since short selling was banned in November 2023, short interest has plunged in Korea as shorts were covered. Markets have not done much over the last 16 months though. </li>
<li>Foreign investor holdings have dropped from 32.05% in July to 28.57%. The top 25 stocks bought by foreign investors outperformed the top 25 stocks sold by 128% in 16 months.</li>
<li>There will be trade opportunities across indices, pref/ords, index migrations and deletions, potential market upgrades and overvalued stocks being sold.</li>
</ul>


Since short selling was banned in November 2023, short interest has plunged in Korea as shorts were covered. Markets have not done much over the last 16 months though. 
Foreign investor holdings have dropped from 32.05% in July to 28.57%. The top 25 stocks bought by foreign investors outperformed the top 25 stocks sold by 128% in 16 months.
There will be trade opportunities across indices, pref/ords, index migrations and deletions, potential market upgrades and overvalued stocks being sold.


Korea: Short Selling Is Back in March; Trade Ideas

Index Rebalance

<ul>
<li>Just over halfway through the review period for the June rebalance of 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>, there could be 10 constituent changes.</li>
<li>The estimated impact on the potential inclusions ranges from 0.03-3.6 days of ADV while the impact on the potential deletions varies from 0.8-4.3 days of ADV.</li>
<li>The list of forecast adds and deletes has been fairly stable over the last month. The forecast adds have run up at a blistering pace and outperformed the forecast deletes.</li>
</ul>


Just over halfway through the review period for the June rebalance of the KOSDAQ 150 Index (KOSDQ150 INDEX), there could be 10 constituent changes.
The estimated impact on the potential inclusions ranges from 0.03-3.6 days of ADV while the impact on the potential deletions varies from 0.8-4.3 days of ADV.
The list of forecast adds and deletes has been fairly stable over the last month. The forecast adds have run up at a blistering pace and outperformed the forecast deletes.


KOSDAQ150 Index Rebalance Preview: 10 Changes a Side; Strong Outperformance

<ul>
<li>With the review period 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> December rebalance complete, there could be 10 changes at the review.</li>
<li>The impact on the potential inclusions ranges from 0.24-7.3 days of ADV while the impact on the potential deletions varies from 0.5-6.4 days of ADV.</li>
<li>The forecast adds outperformed the forecast 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> early in the review period, but there has been a small downward drift over the last 4 months.</li>
</ul>


With the review period for the KOSDAQ 150 Index (KOSDQ150 INDEX) December rebalance complete, there could be 10 changes at the review.
The impact on the potential inclusions ranges from 0.24-7.3 days of ADV while the impact on the potential deletions varies from 0.5-6.4 days of ADV.
The forecast adds outperformed the forecast deletes and the KOSDAQ 150 Index early in the review period, but there has been a small downward drift over the last 4 months.


KOSDAQ150 Index Rebalance Preview: 10 Changes a Side and Some Close Names

<ul>
<li>With over 85% of the review period complete, there could be 10 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 December rebalance.</li>
<li>Even with 10 potential changes, there is sector balance with half the changes in the Information Technology sector. Passive trading impact varies from 0.2-7.7x ADV.</li>
<li>The potential adds have outperformed the potential deletes and the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ150 Index</a> since the start of the review period, though there has been a gentle drift lower since July.</li>
</ul>


With over 85% of the review period complete, there could be 10 changes for the KOSDAQ 150 Index (KOSDQ150 INDEX) at the December rebalance.
Even with 10 potential changes, there is sector balance with half the changes in the Information Technology sector. Passive trading impact varies from 0.2-7.7x ADV.
The potential adds have outperformed the potential deletes and the KOSDAQ150 Index since the start of the review period, though there has been a gentle drift lower since July.


KOSDAQ150 Index Rebalance Preview: 10 Changes in December

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Douglas Research Advisory

Equity Capital Markets

JUNJIN Construction & Robot / Equity Capital Markets

<ul>
<li>Junjin Construction &amp; Robot is getting ready to complete its IPO in KOSPI in August. The IPO price range is from 13,800 won to 15,700 won. </li>
<li>The IPO offering is from 42.5 billion won to 48.3 billion won. The book building for the institutional investors is from 30 July to 5 August. </li>
<li>The integration of robotics into construction processes is a cornerstone of Junjin's operations. Its main product is the concrete pump vehicle which pumps cement or concrete at a construction site.</li>
</ul>


Junjin Construction &amp; Robot is getting ready to complete its IPO in KOSPI in August. The IPO price range is from 13,800 won to 15,700 won. 
The IPO offering is from 42.5 billion won to 48.3 billion won. The book building for the institutional investors is from 30 July to 5 August. 
The integration of robotics into construction processes is a cornerstone of Junjin's operations. Its main product is the concrete pump vehicle which pumps cement or concrete at a construction site.


Junjin Construction and Robot IPO Preview

South Korea

Motrex Co.,Ltd manufactures automobile electronic equipment. The Company produces and sells automotive parts, automotive audio, automotive navigation, remote control devices, and other products. Motrex markets its products worldwide.

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Motrex Co.,Ltd (118990 KS)

Korea: Short Selling Is Back in March; Trade Ideas

Short selling in Korea commences from Monday. There will be a lot of interest in shorting stocks/sectors depending on how they have performed since...

Brian Freitas

KOSDAQ150 Index Rebalance Preview: 10 Changes a Side; Strong Outperformance

There could be 10 changes for the index in June. The inclusion of two names depends on the index committee. The forecast adds have run up strongly...

Brian Freitas

KOSDAQ150 Index Rebalance Preview: 10 Changes a Side and Some Close Names

We forecast 10 changes a side for the index in December. There are names that are close to market cap/liquidity thresholds. The forecast adds...

Brian Freitas

KOSDAQ150 Index Rebalance Preview: 10 Changes in December

There could be 10 changes for the index in December. Passive trading impact varies from 0.2-7.7x ADV. The adds have outperformed the deletes since...

Brian Freitas

Junjin Construction and Robot IPO Preview

Junjin Construction & Robot is getting ready to complete its IPO in KOSPI in August. The IPO price range is from 13,800 won to 15,700 won.

Douglas Kim

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