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/samyang-foods-co-ltd" target="_blank" data-smartkarma-citation="entities:9100:1" rel="noopener">Samyang Foods (003230 KS)</a> will replace <a href="https://www.smartkarma.com/entities/hyundai-greenfood-co-ltd" target="_blank" data-smartkarma-citation="entities:19560:1" rel="noopener">Hyundai Greenfood (005440 KS)</a> in 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> at the close on 12 April.</li>
<li>We expect <a href="https://www.smartkarma.com/entities/dgb-financial-group-inc" target="_blank" data-smartkarma-citation="entities:6138:1" rel="noopener">DGB Financial Group (139130 KS)</a> will replace <a href="https://www.smartkarma.com/entities/meritz-securities-co-ltd" target="_blank" data-smartkarma-citation="entities:19692:1" rel="noopener">Meritz Securities (008560 KS)</a> in early April.</li>
<li>Then we expect another 3 changes at the regular rebalance in June. The potential adds have moved sharply higher recently and there are flows from other index trackers too.</li>
</ul>



Samyang Foods (003230 KS) will replace Hyundai Greenfood (005440 KS) in the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) at the close on 12 April.
We expect DGB Financial Group (139130 KS) will replace Meritz Securities (008560 KS) in early April.
Then we expect another 3 changes at the regular rebalance in June. The potential adds have moved sharply higher recently and there are flows from other index trackers too.


KOSPI200 Index Rebalance Preview: Changes in April & June

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

<ul>
<li>On 20 February, KRX announced that effective 13 April 2023, Samyang Foods will be included in the KOSPI 200 index and Hyundai Greenfood will be excluded.</li>
<li>We have a positive view on Samyang Foods and we believe this stock will outperform KOSPI leading into the week of KOSPI 200 inclusion (13 April). </li>
<li>We think that expectation will play a bigger role and some investors may choose to buy this stock ahead of the actual inclusion date.</li>
</ul>


On 20 February, KRX announced that effective 13 April 2023, Samyang Foods will be included in the KOSPI 200 index and Hyundai Greenfood will be excluded.
We have a positive view on Samyang Foods and we believe this stock will outperform KOSPI leading into the week of KOSPI 200 inclusion (13 April). 
We think that expectation will play a bigger role and some investors may choose to buy this stock ahead of the actual inclusion date.


Samyang Foods: KOSPI 200 Inclusion & Improving Fundamentals

<ul>
<li>We discuss potential inclusions and exclusions of the upcoming KOSPI 200 rebalance in May 2023. With regards to the upcoming KOSPI 200 rebalance, we like the following long-short trading strategy.</li>
<li>We would short a basket of potential exclusions from KOSPI 200 rebalance which would include the bottom 5% of KOSPI 200 index (10 stocks).</li>
<li>We would go long a basket of potential inclusions in KOSPI 200 rebalance which include four stocks including Dentium, Jeju Air, Samyang Foods, and DGB Financial. </li>
</ul>


We discuss potential inclusions and exclusions of the upcoming KOSPI 200 rebalance in May 2023. With regards to the upcoming KOSPI 200 rebalance, we like the following long-short trading strategy.
We would short a basket of potential exclusions from KOSPI 200 rebalance which would include the bottom 5% of KOSPI 200 index (10 stocks).
We would go long a basket of potential inclusions in KOSPI 200 rebalance which include four stocks including Dentium, Jeju Air, Samyang Foods, and DGB Financial. 


Potential Inclusions & Exclusions in KOSPI 200 Rebalance in May 2023

<ul>
<li>
<a href="https://www.smartkarma.com/entities/hyundai-dept-store-co" target="_blank" data-smartkarma-citation="entities:19098:1" rel="noopener">Hyundai Dept Store Co (069960 KS)</a>, <a href="https://www.smartkarma.com/entities/hyundai-greenfood-co-ltd" target="_blank" data-smartkarma-citation="entities:19560:1" rel="noopener">Hyundai Greenfood (005440 KS)</a> and <a href="https://www.smartkarma.com/entities/oci-co-ltd" target="_blank" data-smartkarma-citation="entities:1904:1" rel="noopener">Oci Co Ltd (010060 KS)</a> will spin-off divisions and list them prior to the next rebalance in June.</li>
<li>The equity spin-offs will result in passive flows prior to the trading suspension as well as on relisting of the stocks post the spin-off.</li>
<li>We expect one change to 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 April as one stock will be deleted due to low market cap following the spin-off.</li>
</ul>



Hyundai Dept Store Co (069960 KS), Hyundai Greenfood (005440 KS) and Oci Co Ltd (010060 KS) will spin-off divisions and list them prior to the next rebalance in June.
The equity spin-offs will result in passive flows prior to the trading suspension as well as on relisting of the stocks post the spin-off.
We expect one change to the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) in April as one stock will be deleted due to low market cap following the spin-off.


Korea Spin-Offs: Details and KOSPI200 Index Impact

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>From a trading perspective, we should pay attention to the KOSPI 200 corporate actions in Hyundai Department Group's demerger events, as both companies are KOSPI 200 constituents.</li>
<li>Hyundai Green Food's surviving company won't beat the cutoff, resulting in a KOSPI 200 constituent change on April 10. Samyang Foods will be a new addition.</li>
<li>Even the size of KOSPI 200 ETFs that will likely go into mechanical trading on April 10 will cause a significant price impact from a day trading perspective.</li>
</ul>


From a trading perspective, we should pay attention to the KOSPI 200 corporate actions in Hyundai Department Group's demerger events, as both companies are KOSPI 200 constituents.
Hyundai Green Food's surviving company won't beat the cutoff, resulting in a KOSPI 200 constituent change on April 10. Samyang Foods will be a new addition.
Even the size of KOSPI 200 ETFs that will likely go into mechanical trading on April 10 will cause a significant price impact from a day trading perspective.


KOSPI 200 Ad-Hoc Change: Hyundai Greenfood Out & Samyang Foods Fresh Buy-In on April 10

South Korea

Samyang Foods Co., Ltd. manufactures instant and processed food products, such as noodles, snacks, cooking oil, and feed.  The Company also produces dairy goods including milk, cheese, and ice cream.

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Samyang Foods (003230 KS)

KOSPI200 Index Rebalance Preview: Changes in April & June

There will be 2 changes to the index in April and then another 3 in June. Flows are significant on some stocks. The adds have all moved higher in...

Brian Freitas

Samyang Foods: KOSPI 200 Inclusion & Improving Fundamentals

We discuss Samyang Foods' inclusion in KOSPI 200 and the company's improving fundamentals. Driven by its highly popular spicy noodles, its sales...

Douglas Kim

Potential Inclusions & Exclusions in KOSPI 200 Rebalance in May 2023

We discuss potential inclusions and exclusions of the upcoming KOSPI 200 rebalance in May 2023. We also discuss a long-short trading strategy...

Douglas Kim

Korea Spin-Offs: Details and KOSPI200 Index Impact

There are three KOSPI200 members that are doing an equity spin-off in the next few months. Two will re-enter the index while one will be deleted....

Brian Freitas

KOSPI 200 Ad-Hoc Change: Hyundai Greenfood Out & Samyang Foods Fresh Buy-In on April 10

This post investigates KOSPI 200 ad-hoc change possibility resulting from Hyundai Greenfood's failure to meet the cutoff, which will lead to the...

Sanghyun Park

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