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 4 trading days left in the review period, we see three potential changes for the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200-index" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX)</a> in June.</li>
<li>
<a href="https://www.smartkarma.com/entities/kum-yang-co-ltd" target="_blank" data-smartkarma-citation="entities:10364:1" rel="noopener">Kum Yang (001570 KS)</a>, <a href="https://www.smartkarma.com/entities/cosmochemical-co-ltd" target="_blank" data-smartkarma-citation="entities:3747:1" rel="noopener">Cosmochemical (005420 KS)</a> and <a href="https://www.smartkarma.com/entities/youlchon-chemical-co-ltd" target="_blank" data-smartkarma-citation="entities:2649:1" rel="noopener">Youlchon Chemical (008730 KS)</a> could replace <a href="https://www.smartkarma.com/entities/dongwon-industries-co-ltd" target="_blank" data-smartkarma-citation="entities:1783:1" rel="noopener">Dongwon Industries (006040 KS)</a>, <a href="https://www.smartkarma.com/entities/hwaseung-enterprise-co-ltd" target="_blank" data-smartkarma-citation="entities:35611:1" rel="noopener">Hwaseung Enterprise (241590 KS)</a> and <a href="https://www.smartkarma.com/entities/hyundai-home-shopping-network-corp" target="_blank" data-smartkarma-citation="entities:2357:1" rel="noopener">Hyundai Home Shopping Network (057050 KS)</a>. </li>
<li>If approved by shareholders, the <a href="https://www.smartkarma.com/entities/dongkuk-steel-mill-co-ltd" target="_blank" data-smartkarma-citation="entities:7293:1" rel="noopener">Dongkuk Steel Mill (001230 KS)</a> split increases the probability of <a href="https://www.smartkarma.com/entities/youlchon-chemical-co-ltd" target="_blank" data-smartkarma-citation="entities:2649:1" rel="noopener">Youlchon Chemical (008730 KS)</a> inclusion and <a href="https://www.smartkarma.com/entities/hyundai-home-shopping-network-corp" target="_blank" data-smartkarma-citation="entities:2357:1" rel="noopener">Hyundai Home Shopping Network (057050 KS)</a> could avoid deletion.</li>
</ul>


With 4 trading days left in the review period, we see three potential changes for the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) in June.

Kum Yang (001570 KS), Cosmochemical (005420 KS) and Youlchon Chemical (008730 KS) could replace Dongwon Industries (006040 KS), Hwaseung Enterprise (241590 KS) and Hyundai Home Shopping Network (057050 KS). 
If approved by shareholders, the Dongkuk Steel Mill (001230 KS) split increases the probability of Youlchon Chemical (008730 KS) inclusion and Hyundai Home Shopping Network (057050 KS) could avoid deletion.


KOSPI200 Index Rebalance Preview: Materials to Replace Consumer Stocks

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>Korea FSC will accept financial institutions' LOC and LPs' investment performance agreements as certifying documents for securing funds. This revision will be effective right from April 1 this year.</li>
<li>The impact from a preemptive trading perspective is likely to be significant. Additional stake purchases through tender offers will increase more aggressively, particularly when purchasing shares from the majority shareholder.</li>
<li>We should first pay attention to companies where private equity (PE) is the largest shareholder whose stake is relatively low (less than 50%): Hugel, Hana Tour Service, &amp; Hanssem</li>
</ul>


Korea FSC will accept financial institutions' LOC and LPs' investment performance agreements as certifying documents for securing funds. This revision will be effective right from April 1 this year.
The impact from a preemptive trading perspective is likely to be significant. Additional stake purchases through tender offers will increase more aggressively, particularly when purchasing shares from the majority shareholder.
We should first pay attention to companies where private equity (PE) is the largest shareholder whose stake is relatively low (less than 50%): Hugel, Hana Tour Service, &amp; Hanssem


Korea FSC Officially Eases a Major Hurdle for a Tender Offer: Names to Watch

<ul>
<li>KRX calculates floats fairly aggressively even in new IPOs. This was symbolically shown in the case of Kakao Pay, which received a 35% float rate.</li>
<li>So, we need a trading setup that raises the float rate prediction range in future KOSPI 200 Fast Entry cases.</li>
<li>Considering that rebalancing trading that occurs on the implementation day is now partially digested in regular trading hours, we need to consider getting out positions before the closing auction hours.</li>
</ul>


KRX calculates floats fairly aggressively even in new IPOs. This was symbolically shown in the case of Kakao Pay, which received a 35% float rate.
So, we need a trading setup that raises the float rate prediction range in future KOSPI 200 Fast Entry cases.
Considering that rebalancing trading that occurs on the implementation day is now partially digested in regular trading hours, we need to consider getting out positions before the closing auction hours.


KOSPI 200 New Entrants: KRX-Concluded Float Rates & Rebalancing Trading Pattern Today

<ul>
<li>The effective date for rebalancing KOSPI 200 and KOSDAQ 150 is this Friday. This is the first trading day that short selling is permitted on new stocks in these indexes.</li>
<li>From the 25th to today, immediately after the inclusion of these indexes was announced, the loan share balance of almost all stocks increased significantly.</li>
<li>Those stocks with substantial outperformance in price and relatively abundant liquidity have a high level of loan balance.</li>
</ul>


The effective date for rebalancing KOSPI 200 and KOSDAQ 150 is this Friday. This is the first trading day that short selling is permitted on new stocks in these indexes.
From the 25th to today, immediately after the inclusion of these indexes was announced, the loan share balance of almost all stocks increased significantly.
Those stocks with substantial outperformance in price and relatively abundant liquidity have a high level of loan balance.


Short Position Approach on the Index Entrants on December 10 in Korea

Myoung Shin Industrial Co.,Ltd / Event-Driven

<ul>
<li>This post measures how far the rebalancing trading of passive funds is progressing at this point. This can be essential data for setting up positions close to the effective date.</li>
<li>For this purpose, each stock's net purchase data of Pension and Insurance were collected from November 25 to today (30th).</li>
<li>As we move closer to the effective date, we need to consider selecting those with the relatively slow progress of rebalancing trading among the regular rebalancing stocks.</li>
</ul>


This post measures how far the rebalancing trading of passive funds is progressing at this point. This can be essential data for setting up positions close to the effective date.
For this purpose, each stock's net purchase data of Pension and Insurance were collected from November 25 to today (30th).
As we move closer to the effective date, we need to consider selecting those with the relatively slow progress of rebalancing trading among the regular rebalancing stocks.


KOSPI 200 Rebalancing Trading Progress Checkup

South Korea

PI Advanced Materials Co., Ltd. manufactures and sells plastics films. The Company produces and sells polyimide films and other products. PI Advanced Materials conducts businesses in South Korea.

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PI Advanced Materials (178920 KS)

KOSPI200 Index Rebalance Preview: Materials to Replace Consumer Stocks

There could be 3 changes for the KOSPI20 in June with Youlchon Chemical sitting at the cusp. The impact on the deletes will be higher and short...

Brian Freitas

Korea FSC Officially Eases a Major Hurdle for a Tender Offer: Names to Watch

This post summarizes Korea FSC's official statement about easing the funding capacity requirement for a tender offer and provides the names which...

Sanghyun Park

KOSPI 200 New Entrants: KRX-Concluded Float Rates & Rebalancing Trading Pattern Today

Kakao Pay eventually received a 35% float rate, meaning that KRX has included all of Alipay's non-locked stake in the float.

Sanghyun Park

Short Position Approach on the Index Entrants on December 10 in Korea

The effective date for rebalancing KOSPI 200 and KOSDAQ 150 is this Friday, meaning that this is the first trading day that short selling is...

Sanghyun Park

KOSPI 200 Rebalancing Trading Progress Checkup

This post measures how far the rebalancing trading of local passive funds is progressing at this point. This can be important data when we set up...

Sanghyun Park

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