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>There are 13 inclusions and 13 exclusions 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 June rebalance to be implemented at the close on 13 June.</li>
<li>For the second consecutive review, <a href="https://www.smartkarma.com/entities/fadu-inc" target="_blank" data-smartkarma-citation="entities:39896:1" rel="noopener">Fadu (440110 KS)</a> and <a href="https://www.smartkarma.com/entities/shinsung-delta-tech-co-ltd" target="_blank" data-smartkarma-citation="entities:4976:1" rel="noopener">Shinsung DeltaTech (065350 KS)</a> have been kept out of the index. Not sure what the index committee's beef with them is.</li>
<li>The adds have outperformed the deletes and the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ150</a> since the start of the review period. This has been helped, in no small, part by the ban on short selling.</li>
</ul>


There are 13 inclusions and 13 exclusions for the KOSDAQ 150 Index (KOSDQ150 INDEX) at the June rebalance to be implemented at the close on 13 June.
For the second consecutive review, Fadu (440110 KS) and Shinsung DeltaTech (065350 KS) have been kept out of the index. Not sure what the index committee's beef with them is.
The adds have outperformed the deletes and the KOSDAQ150 since the start of the review period. This has been helped, in no small, part by the ban on short selling.


KOSDAQ150 Index Rebalance: Short Sell Ban Definitely Helping

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Douglas Research Advisory

Cross Asset Strategy

<ul>
<li>KRX announced changes to KOSPI 200 and KOSDAQ 150 indices. In KOSPI 200, 6 were added and 6 were removed. In KOSDAQ 150, 13 were added and 13 were removed. </li>
<li>The six additions to KOSPI 200 had an average share price increase of 17.7% YTD. The six deletions had an average share price decline of 2.5% YTD.</li>
<li>One trading idea post the announcement of the KOSPI 200 and KOSDAQ 150 rebalances is to highlight the potential underperformers (including 20 lowest market cap stocks in KOSPI200/KOSDAQ150 post rebalance). </li>
</ul>


KRX announced changes to KOSPI 200 and KOSDAQ 150 indices. In KOSPI 200, 6 were added and 6 were removed. In KOSDAQ 150, 13 were added and 13 were removed. 
The six additions to KOSPI 200 had an average share price increase of 17.7% YTD. The six deletions had an average share price decline of 2.5% YTD.
One trading idea post the announcement of the KOSPI 200 and KOSDAQ 150 rebalances is to highlight the potential underperformers (including 20 lowest market cap stocks in KOSPI200/KOSDAQ150 post rebalance). 


Trading Idea Post Changes to KOSPI 200 and KOSDAQ 150

<ul>
<li>With the review period complete, there could be up to 15 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 June rebalance.</li>
<li>Even with 15 changes, there is some sector balance among the potential adds and deletes with big churn in the Information Technology sector.</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">KOSDAQ 150 Index (KOSDQ150 INDEX)</a> since the start of the review period but performance has flattened over the last month.</li>
</ul>


With the review period complete, there could be up to 15 changes for the KOSDAQ 150 Index (KOSDQ150 INDEX) at the June rebalance.
Even with 15 changes, there is some sector balance among the potential adds and deletes with big churn in the Information Technology sector.
The potential adds have outperformed the potential deletes and the KOSDAQ 150 Index (KOSDQ150 INDEX) since the start of the review period but performance has flattened over the last month.


KOSDAQ150 Index Rebalance Preview: 15 Changes Possible as Review Period Ends

<ul>
<li>With nearly 85% of the review period complete, there could be 15 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 June rebalance.</li>
<li>Prior to the June rebalance, <a href="https://www.smartkarma.com/entities/c-c-international-corp" target="_blank" data-smartkarma-citation="entities:40992:1" rel="noopener">C&amp;C International (352480 KS)</a> will replace <a href="https://www.smartkarma.com/entities/canariabio-inc" target="_blank" data-smartkarma-citation="entities:36099:1" rel="noopener">CanariaBio (016790 KS)</a> in the index following CanariaBio being listed as an Administrative Issue and an Investment Attention Issue.</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">KOSDAQ 150 Index</a> since the start of the review period. Lighten positions ahead of the end of the review period.</li>
</ul>


With nearly 85% of the review period complete, there could be 15 changes for the KOSDAQ 150 Index (KOSDQ150 INDEX) at the June rebalance.
Prior to the June rebalance, C&amp;C International (352480 KS) will replace CanariaBio (016790 KS) in the index following CanariaBio being listed as an Administrative Issue and an Investment Attention Issue.
The potential adds have outperformed the potential deletes and the KOSDAQ 150 Index since the start of the review period. Lighten positions ahead of the end of the review period.


KOSDAQ150 Index Rebalance Preview: Potential Adds Still Outperforming

<ul>
<li>KRX has announced that <a href="https://www.smartkarma.com/entities/posco-dx-co-ltd" target="_blank" data-smartkarma-citation="entities:5198:1" rel="noopener">Posco DX (022100 KS)</a> will replace <a href="https://www.smartkarma.com/entities/shinsegae-international-co" target="_blank" data-smartkarma-citation="entities:4454:1" rel="noopener">Shinsegae International Co (031430 KS)</a> in the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX)</a> at the close on 14 March.</li>
<li>Passive trackers will need to buy 0.5 days of ADV in <a href="https://www.smartkarma.com/entities/posco-dx-co-ltd" target="_blank" data-smartkarma-citation="entities:5198:1" rel="noopener">Posco DX (022100 KS)</a> while selling in <a href="https://www.smartkarma.com/entities/shinsegae-international-co" target="_blank" data-smartkarma-citation="entities:4454:1" rel="noopener">Shinsegae International (031430 KS)</a> is larger at over 7 days of ADV.</li>
<li>
<a href="https://www.smartkarma.com/entities/l-f-co-ltd" target="_blank" data-smartkarma-citation="entities:14300:1" rel="noopener">L&amp;F (066970 KS)</a> lists on the KOSPI market on 29 January; there is a possibility that the stock is also added to the index in March as a Fast Entry.</li>
</ul>


KRX has announced that Posco DX (022100 KS) will replace Shinsegae International Co (031430 KS) in the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) at the close on 14 March.
Passive trackers will need to buy 0.5 days of ADV in Posco DX (022100 KS) while selling in Shinsegae International (031430 KS) is larger at over 7 days of ADV.

L&amp;F (066970 KS) lists on the KOSPI market on 29 January; there is a possibility that the stock is also added to the index in March as a Fast Entry.


KOSPI200 Index Rebalance (March): Fast Entry for PoscoDX; Will L&F Make It Too?

South Korea

Seronics Co., Ltd. manufactures and sells a variety of electric products.  The Company's products include a line of power supply equipment such as focus packs (high voltage resistors used to control focus in cathode ray tubes), adapters, inverters, and heaters.  Seronics also produces components for cathode ray tubes, digital set top boxes, and LCD TVs.

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Seronics Co Ltd (042600 KS)

KOSDAQ150 Index Rebalance: Short Sell Ban Definitely Helping

There are 13 changes a side for the KOSDAQ150 in June. Most of the changes were forecast. Fadu and Shinsung Delta Tech have been ignored again. The...

Brian Freitas

Trading Idea Post Changes to KOSPI 200 and KOSDAQ 150

One trading idea post announcement of KOSPI 200 and KOSDAQ 150 rebalances is to highlight the potential underperformers (including 20 lowest market...

Douglas Kim

KOSDAQ150 Index Rebalance Preview: 15 Changes Possible as Review Period Ends

With the review period complete, there could be up to 15 changes for the KOSDAQ150 Index in June. The adds have outperformed the deletes over the...

Brian Freitas

KOSDAQ150 Index Rebalance Preview: Potential Adds Still Outperforming

There could be 15 changes for the KOSDAQ150 Index in June. The potential adds have outperformed the potential deletes and the KOSDAQ150 Index over...

Brian Freitas

KOSPI200 Index Rebalance (March): Fast Entry for PoscoDX; Will L&F Make It Too?

PoscoDX will be added to the KOSPI200 in March as a Fast Entry. Shinsegae Intl will be deleted. LnF lists on the KOSPI market on 29Jan and could...

Brian Freitas

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