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

Index Rebalance

<ul>
<li>An ad hoc <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> rebalance will be implemented at the close on 17 October with <a href="https://www.smartkarma.com/entities/light-wonder-inc-7e7d040f-e811-4fb9-9710-796a39af299e" target="_blank" data-smartkarma-citation="entities:40171:1" rel="noopener">Light &amp; Wonder (LNW AU)</a> replacing <a href="https://www.smartkarma.com/entities/united-malt-group-ltd" target="_blank" data-smartkarma-citation="entities:29116:1" rel="noopener">United Malt Group Ltd (UMG AU)</a>. </li>
<li>The rebalances of <a href="https://www.smartkarma.com/entities/wisdomtree-emerging-markets-146edc02-f8a5-4ac5-968b-5f0f7c89e476" target="_blank" data-smartkarma-citation="entities:32683:1" rel="noopener">Wisdomtree Emerging Markets (DEM US)</a>, <a href="https://www.smartkarma.com/entities/wisdomtree-em-small-cap" target="_blank" data-smartkarma-citation="entities:32679:1" rel="noopener">Wisdomtree Em Small Cap (DGS US)</a> and <a href="https://www.smartkarma.com/entities/wisdmtree-emerg-mkt-ex-st-ow" target="_blank" data-smartkarma-citation="entities:32798:1" rel="noopener">Wisdmtree Emerg Mkt Ex-St Ow (XSOE US)</a> will be implemented on 18 October.</li>
<li>There were net outflows from onshore China ETFs with inflows to larger cap ETFs and outflows mainly from the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI Smallcap 500 Index</a> and CSI 1000 Index trackers.</li>
</ul>


An ad hoc S&amp;P/ASX 200 (AS51 INDEX) rebalance will be implemented at the close on 17 October with Light &amp; Wonder (LNW AU) replacing United Malt Group Ltd (UMG AU). 
The rebalances of Wisdomtree Emerging Markets (DEM US), Wisdomtree Em Small Cap (DGS US) and Wisdmtree Emerg Mkt Ex-St Ow (XSOE US) will be implemented on 18 October.
There were net outflows from onshore China ETFs with inflows to larger cap ETFs and outflows mainly from the CSI Smallcap 500 Index and CSI 1000 Index trackers.


Index Rebalance & ETF Flow Recap: HSCEI, HSTECH, TOPIX FFW, SSE50, AS51, ChiNext, Kenedix, Liontown

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

<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

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Equity Derivatives

Korea Stock Exchange KOSPI 200 / Equity Derivatives

<ul>
<li>The KOSPI 200 index last week closed down (CC=-1). This particular pattern is very bullish: 78% of the time the index closes the week up after -1 week down.</li>
<li>The index has been stuck sideways between 348 and 330 for weeks, we still see a buy-the-dip opportunity to ride the continuation of the Bull run from here.</li>
<li>
Main support area to go LONG, based on the Market Reversal Matrix's readings, is between 337 and 335. Time+space estimated probability of success is between 64% and 76%.</li>
</ul>


The KOSPI 200 index last week closed down (CC=-1). This particular pattern is very bullish: 78% of the time the index closes the week up after -1 week down.
The index has been stuck sideways between 348 and 330 for weeks, we still see a buy-the-dip opportunity to ride the continuation of the Bull run from here.

Main support area to go LONG, based on the Market Reversal Matrix's readings, is between 337 and 335. Time+space estimated probability of success is between 64% and 76%.


EQD | KOSPI 200 Index WEEKLY Trend Analysis

<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 8 migrations from MidCap to LargeCap, 7 migrations from LargeCap to MidCap, 6 new adds to MidCap, and 16 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 8 migrations from MidCap to LargeCap, 7 migrations from LargeCap to MidCap, 6 new adds to MidCap, and 16 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 Overlap With Other Index Flows

South Korea

Pan Ocean Co., Ltd. is a Korean shipping company that engages in marine transportation business. The Company provides bulk cargo carrier, pure car and truck carrier, container and tanker services.

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Pan Ocean (028670 KS)

Index Rebalance & ETF Flow Recap: HSCEI, HSTECH, TOPIX FFW, SSE50, AS51, ChiNext, Kenedix, Liontown

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KOSPI Size Indices - Plenty of Migrations to Attract Active Flows

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Nico Rosti

KOSPI Size Indices - Plenty of Overlap With Other Index Flows

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