Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Event-Driven

<p>The Korea Exchange (KRX) will announce the results of the December 2021 review 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> in November. The constituent changes will be effective after the close of trading on 9 December.</p><p>At the current time we see 12 potential changes to the index in December.</p><p>The potential inclusions are <a href="https://www.smartkarma.com/entities/eubiologics-co-ltd" target="_blank" data-smartkarma-citation="entities:23739:1" rel="noopener">Eubiologics (206650 KS)</a>, <a href="https://www.smartkarma.com/entities/nanos-co-ltd" target="_blank" data-smartkarma-citation="entities:16796:1" rel="noopener">Nanos Co Ltd (151910 KS)</a>, <a href="https://www.smartkarma.com/entities/huons-co-ltd" target="_blank" data-smartkarma-citation="entities:16275:1" rel="noopener">Huons Co Ltd (084110 KS)</a>, <a href="https://www.smartkarma.com/entities/access-bio-inc-kdr" target="_blank" data-smartkarma-citation="entities:5729:1" rel="noopener">Access Bio Inc (950130 KS)</a>, Cellid (299660 KS), <a href="https://www.smartkarma.com/entities/kona-i-co-ltd" target="_blank" data-smartkarma-citation="entities:19695:1" rel="noopener">Kona I Co Ltd (052400 KS)</a>, <a href="https://www.smartkarma.com/entities/wonik-qnc-corp" target="_blank" data-smartkarma-citation="entities:6828:1" rel="noopener">Wonik Qnc Corp (074600 KS)</a>, <a href="https://www.smartkarma.com/entities/dk-d-i-co-ltd" target="_blank" data-smartkarma-citation="entities:9948:1" rel="noopener">Dk D&amp;I Co Ltd (033310 KS)</a>, <a href="https://www.smartkarma.com/entities/komico-ltd" target="_blank" data-smartkarma-citation="entities:24033:1" rel="noopener">KoMiCo Ltd. (183300 KS)</a>, PSK Inc (319660 KS), <a href="https://www.smartkarma.com/entities/aptc-co-ltd" target="_blank" data-smartkarma-citation="entities:27355:1" rel="noopener">APTC Co Ltd (089970 KS)</a> and <a href="https://www.smartkarma.com/entities/tk-chemical-corp" target="_blank" data-smartkarma-citation="entities:13428:1" rel="noopener">Tk Chemical (104480 KS)</a>.</p><p>The potential deletions are <a href="https://www.smartkarma.com/entities/daea-ti-co-ltd" target="_blank" data-smartkarma-citation="entities:1473:1" rel="noopener">Daea Ti Co Ltd (045390 KS)</a>, <a href="https://www.smartkarma.com/entities/advanced-process-systems-corporation" target="_blank" data-smartkarma-citation="entities:24087:1" rel="noopener">Advanced Process Systems (265520 KS)</a>, <a href="https://www.smartkarma.com/entities/telcon-inc" target="_blank" data-smartkarma-citation="entities:15231:1" rel="noopener">Telcon Inc (200230 KS)</a>, <a href="https://www.smartkarma.com/entities/winix-inc" target="_blank" data-smartkarma-citation="entities:19972:1" rel="noopener">Winix Inc (044340 KS)</a>, <a href="https://www.smartkarma.com/entities/icure-pharm-inc" target="_blank" data-smartkarma-citation="entities:27142:1" rel="noopener">Icure Pharm Inc (175250 KS)</a>, <a href="https://www.smartkarma.com/entities/ubiquoss-inc" target="_blank" data-smartkarma-citation="entities:14341:1" rel="noopener">Ubiquoss Holding (078070 KS)</a>, <a href="https://www.smartkarma.com/entities/danawa-co-ltd" target="_blank" data-smartkarma-citation="entities:7191:1" rel="noopener">Danawa Co Ltd (119860 KS)</a>, <a href="https://www.smartkarma.com/entities/wisol-co-ltd" target="_blank" data-smartkarma-citation="entities:14463:1" rel="noopener">Wisol Co Ltd (122990 KS)</a>, <a href="https://www.smartkarma.com/entities/spigen-korea-co-ltd" target="_blank" data-smartkarma-citation="entities:9852:1" rel="noopener">Spigen Korea (192440 KS)</a>, <a href="https://www.smartkarma.com/entities/dongkuk-structures-constru" target="_blank" data-smartkarma-citation="entities:20412:1" rel="noopener">Dongkuk Structures &amp; Constru (100130 KS)</a>, <a href="https://www.smartkarma.com/entities/g-treebnt-co-ltd" target="_blank" data-smartkarma-citation="entities:1933:1" rel="noopener">G Treebnt (115450 KS)</a> and <a href="https://www.smartkarma.com/entities/lemon-co-ltd" target="_blank" data-smartkarma-citation="entities:28841:1" rel="noopener">Lemon Co Ltd (294140 KQ)</a>.</p><p>There are a few potential inclusions that will have over 2 days of ADV to buy from passive funds, while the impact on the potential deletions is a lot higher.</p><p>Short interest on the stocks is minimal though it has been increasing on a few of the potential deletions.</p>

The Korea Exchange (KRX) will announce the results of the December 2021 review of the KOSDAQ 150 Index (KOSDQ150 INDEX) in November. The constituent changes will be effective after the close of trading on 9 December.At the current time we see 12 potential changes to the index in December.The potential inclusions are Eubiologics (206650 KS), Nanos Co Ltd (151910 KS), Huons Co Ltd (084110 KS), Access Bio Inc (950130 KS), Cellid (299660 KS), Kona I Co Ltd (052400 KS), Wonik Qnc Corp (074600 KS), Dk D&amp;I Co Ltd (033310 KS), KoMiCo Ltd. (183300 KS), PSK Inc (319660 KS), APTC Co Ltd (089970 KS) and Tk Chemical (104480 KS).The potential deletions are Daea Ti Co Ltd (045390 KS), Advanced Process Systems (265520 KS), Telcon Inc (200230 KS), Winix Inc (044340 KS), Icure Pharm Inc (175250 KS), Ubiquoss Holding (078070 KS), Danawa Co Ltd (119860 KS), Wisol Co Ltd (122990 KS), Spigen Korea (192440 KS), Dongkuk Structures &amp; Constru (100130 KS), G Treebnt (115450 KS) and Lemon Co Ltd (294140 KQ).There are a few potential inclusions that will have over 2 days of ADV to buy from passive funds, while the impact on the potential deletions is a lot higher.Short interest on the stocks is minimal though it has been increasing on a few of the potential deletions.

KOSDAQ150 Index Rebalance Preview: Lots of Changes Early in the Review Period

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.

<p>This time, KOSDAQ 150 rebalancing is expected to have a big change.</p><hr><div class="content-highlight"><h2>Additions: 16 candidates</h2></div><p>As of yesterday, we have 16 strong candidates to join KOSDAQ 150 newly. Vaxcell Bio and Nanos are the biggest ones, market cap-wise. Icure Pharm and Sungwoo Hitech will be the smallest-cap new members.</p><section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/203/143/original/Additions+with+market+cap+%28%E2%82%A9B%29.png?1619574736" class="editor-image img-responsive" data-smartkarma-image-id="203143"></figure></section><p>Vaxcell Bio and Binex are expected to enjoy the largest passive inflow at an estimated ₩45.5B and an estimated ₩38.1B, respectively.</p><section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/203/144/original/Additions+with+estimated+passive+inflow+%28%E2%82%A9B%29.png?1619574882" class="editor-image img-responsive" data-smartkarma-image-id="203144"></figure><p>But Gemvax and Fine Semitech should deserve special attention as they will likely see the highest inflow to average daily trading value at 3.47x and 3.06x, respectively.</p></section><section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/203/146/original/Additions+with+estimated+passive+inflow_ADTV+%28x%29.png?1619575145" class="editor-image img-responsive" data-smartkarma-image-id="203146"></figure><hr>
<div class="content-highlight"><h2>Deletions: 17 candidates</h2></div>
<p>A total of 17 names are expected to leave KOSDAQ 150 this June. The biggest ones are KH Vatec and eBEST Investment. The smallest ones are HL Science and Easy Holdings.</p>
<section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/203/151/original/Deletions+with+market+cap+%28%E2%82%A9B%29.png?1619575718" class="editor-image img-responsive" data-smartkarma-image-id="203151"></figure></section><p>Again, KH Vatec will suffer the largest passive outflow at an estimated ₩16.9B, closely followed by Advanced Process (₩14.9B) and Daea TI (₩14.6B).</p>
<section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/203/155/original/Deletions+with+estimated+passive+outflow+%28%E2%82%A9B%29.png?1619576142" class="editor-image img-responsive" data-smartkarma-image-id="203155"></figure><p>However, Ubiquoss Holdings and Korea Ratings will likely suffer the harshest impact as their estimated passive outflow to ADTV stands at the highest, 10.44x and 9.07x, respectively.</p></section><section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/203/156/original/Deletions+with+estimated+passive+outflow_ADTV+%28x%29.png?1619576149" class="editor-image img-responsive" data-smartkarma-image-id="203156"></figure></section></section>

This time, KOSDAQ 150 rebalancing is expected to have a big change.Additions: 16 candidatesAs of yesterday, we have 16 strong candidates to join KOSDAQ 150 newly. Vaxcell Bio and Nanos are the biggest ones, market cap-wise. Icure Pharm and Sungwoo Hitech will be the smallest-cap new members.Vaxcell Bio and Binex are expected to enjoy the largest passive inflow at an estimated ₩45.5B and an estimated ₩38.1B, respectively.But Gemvax and Fine Semitech should deserve special attention as they will likely see the highest inflow to average daily trading value at 3.47x and 3.06x, respectively.
Deletions: 17 candidates
A total of 17 names are expected to leave KOSDAQ 150 this June. The biggest ones are KH Vatec and eBEST Investment. The smallest ones are HL Science and Easy Holdings.
Again, KH Vatec will suffer the largest passive outflow at an estimated ₩16.9B, closely followed by Advanced Process (₩14.9B) and Daea TI (₩14.6B).
However, Ubiquoss Holdings and Korea Ratings will likely suffer the harshest impact as their estimated passive outflow to ADTV stands at the highest, 10.44x and 9.07x, respectively.

KOSDAQ 150 Preview: 16 Additions & 17 Deletions - Passive Inflow/ADTV & Loan Balance/Float

<p>The Korea Exchange (KRX) launched 5 indices last year following the New Deal initiative that the Government launched to digitalise social infrastructure and jumpstart the transition to green energy.</p><p>The KRX created 4 indices tracking the Secondary Battery, Biotech, Internet and Gaming sectors that are expected to benefit from the New Deal initiative plus an additional index (BBIG) that includes the top 3 stocks from each sector.</p><p>All indices have performed well since then. The KRX announced changes to the 5 indices late last week and the changes become effective post the close of trading on 25 February.</p><div><p><a href="https://www.smartkarma.com/entities/kakao-games-corp" target="_blank" data-smartkarma-citation="entities:26730:1" rel="noopener">Kakao Games Corp (293490 KS)</a> replaces <a href="https://www.smartkarma.com/entities/pearl-abyss-corp" target="_blank" data-smartkarma-citation="entities:24391:1" rel="noopener">Pearl Abyss (263750 KS)</a> in the BBIG Index.</p></div><div><p>In the Secondary Battery index, <a href="https://www.smartkarma.com/entities/soulbrain-co-ltd" target="_blank" data-smartkarma-citation="entities:16883:1" rel="noopener">Soulbrain (036830 KS)</a> and <a href="https://www.smartkarma.com/entities/l-f-co-ltd" target="_blank" data-smartkarma-citation="entities:14300:1" rel="noopener">L&amp;F Co Ltd (066970 KS)</a> replace <a href="https://www.smartkarma.com/entities/doosan-solus-co-ltd" target="_blank" data-smartkarma-citation="entities:28947:1" rel="noopener">Doosan Solus Co Ltd (336370 KS)</a> and <a href="https://www.smartkarma.com/entities/foosung-co-ltd" target="_blank" data-smartkarma-citation="entities:16811:1" rel="noopener">Foosung Co Ltd (093370 KS)</a>.</p></div><div><p>In the Biotech index, <a href="https://www.smartkarma.com/entities/shinpoong-pharmaceutical-co-ltd" target="_blank" data-smartkarma-citation="entities:7296:1" rel="noopener">Shinpoong Pharmaceutical (019170 KS)</a> and <a href="https://www.smartkarma.com/entities/green-cross-corp" target="_blank" data-smartkarma-citation="entities:2969:1" rel="noopener">Green Cross (006280 KS)</a> replace <a href="https://www.smartkarma.com/entities/alteogen-inc" target="_blank" data-smartkarma-citation="entities:15886:1" rel="noopener">Alteogen Inc (196170 KS)</a> and <a href="https://www.smartkarma.com/entities/hanmi-pharm-co-ltd" target="_blank" data-smartkarma-citation="entities:12476:1" rel="noopener">Hanmi Pharm (128940 KS)</a>.</p></div><div><p>In the Internet index, <a href="https://www.smartkarma.com/entities/ace-technologies-corp" target="_blank" data-smartkarma-citation="entities:7868:1" rel="noopener">Ace Technologies (088800 KS)</a> and <a href="https://www.smartkarma.com/entities/rsupport-co-ltd" target="_blank" data-smartkarma-citation="entities:14783:1" rel="noopener">Rsupport Co Ltd (131370 KS)</a> replace <a href="https://www.smartkarma.com/entities/kg-inicis-co-ltd" target="_blank" data-smartkarma-citation="entities:5234:1" rel="noopener">KG Inicis Co Ltd (035600 KS)</a> and <a href="https://www.smartkarma.com/entities/ubiquoss-inc" target="_blank" data-smartkarma-citation="entities:14341:1" rel="noopener">Ubiquoss Holding (078070 KS)</a>.</p></div><div><p>In the Gaming index, <a href="https://www.smartkarma.com/entities/kakao-games-corp" target="_blank" data-smartkarma-citation="entities:26730:1" rel="noopener">Kakao Games Corp (293490 KS)</a> and <a href="https://www.smartkarma.com/entities/neptune-company" target="_blank" data-smartkarma-citation="entities:28826:1" rel="noopener">Neptune Company (217270 KS)</a> replace <a href="https://www.smartkarma.com/entities/neowiz-games-corp" target="_blank" data-smartkarma-citation="entities:12425:1" rel="noopener">Neowiz Games (095660 KS)</a> and Golfzon (215000 KS).</p></div>

The Korea Exchange (KRX) launched 5 indices last year following the New Deal initiative that the Government launched to digitalise social infrastructure and jumpstart the transition to green energy.The KRX created 4 indices tracking the Secondary Battery, Biotech, Internet and Gaming sectors that are expected to benefit from the New Deal initiative plus an additional index (BBIG) that includes the top 3 stocks from each sector.All indices have performed well since then. The KRX announced changes to the 5 indices late last week and the changes become effective post the close of trading on 25 February.Kakao Games Corp (293490 KS) replaces Pearl Abyss (263750 KS) in the BBIG Index.In the Secondary Battery index, Soulbrain (036830 KS) and L&amp;F Co Ltd (066970 KS) replace Doosan Solus Co Ltd (336370 KS) and Foosung Co Ltd (093370 KS).In the Biotech index, Shinpoong Pharmaceutical (019170 KS) and Green Cross (006280 KS) replace Alteogen Inc (196170 KS) and Hanmi Pharm (128940 KS).In the Internet index, Ace Technologies (088800 KS) and Rsupport Co Ltd (131370 KS) replace KG Inicis Co Ltd (035600 KS) and Ubiquoss Holding (078070 KS).In the Gaming index, Kakao Games Corp (293490 KS) and Neptune Company (217270 KS) replace Neowiz Games (095660 KS) and Golfzon (215000 KS).

KRX BBIG K-NewDeal Index Rebalance: First Set of Changes Announced

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Cross Asset Strategy

<ul>
<li>The Korea Exchange announced its bi-annual changes to KOSPI200 today. These changes are effective 12 June 2020. For the KOSPI200, there were 11 new additions including <a href="https://www.smartkarma.com/entities/hanjin-kal-corp" target="_blank" data-smartkarma-citation="entities:19086:1" rel="noopener">Hanjin KAL Corp (180640 KS)</a>, <a href="https://www.smartkarma.com/entities/asiana-airlines" target="_blank" data-smartkarma-citation="entities:1896:1" rel="noopener">Asiana Airlines (020560 KS)</a>, and <a href="https://www.smartkarma.com/entities/lotte-tour-development-co-ltd" target="_blank" data-smartkarma-citation="entities:5526:1" rel="noopener">Lotte Tour Development Co, Ltd. (032350 KS)</a>.  There were also 11 deletions including <a href="https://www.smartkarma.com/entities/namyang-dairy-products-co" target="_blank" data-smartkarma-citation="entities:16249:1" rel="noopener">Namyang Dairy Products Co (003920 KS)</a>, <a href="https://www.smartkarma.com/entities/ak-holdings-inc" target="_blank" data-smartkarma-citation="entities:3472:1" rel="noopener">Ak Holdings Inc (006840 KS)</a>, and <a href="https://www.smartkarma.com/entities/hyosung-heavy-industries-corp" target="_blank" data-smartkarma-citation="entities:27750:1" rel="noopener">Hyosung Heavy Industries Corp (298040 KS)</a>.  </li>
<li>Comparing the actual inclusions vs. our estimates for the<strong> KOSPI 200 Inclusion</strong>, five of the companies were included in both lists (Hajin Kal, POSCO Chem, F&amp;F, Asiana Airlines, &amp; HMM). </li>
<li>Comparing the actual exclusions vs. our estimates for the<strong> KOSPI 200 Exclusion</strong>, seven of the companies were included in both lists (Hyosung Heavy, Ssangyong Motor, Namyang Dairy, Hyundai Livart, Hankook Shell Oil, Tongyang, and AK Holdings). </li>
</ul>


The Korea Exchange announced its bi-annual changes to KOSPI200 today. These changes are effective 12 June 2020. For the KOSPI200, there were 11 new additions including Hanjin KAL Corp (180640 KS), Asiana Airlines (020560 KS), and Lotte Tour Development Co, Ltd. (032350 KS).  There were also 11 deletions including Namyang Dairy Products Co (003920 KS), Ak Holdings Inc (006840 KS), and Hyosung Heavy Industries Corp (298040 KS).  
Comparing the actual inclusions vs. our estimates for the KOSPI 200 Inclusion, five of the companies were included in both lists (Hajin Kal, POSCO Chem, F&amp;F, Asiana Airlines, &amp; HMM). 
Comparing the actual exclusions vs. our estimates for the KOSPI 200 Exclusion, seven of the companies were included in both lists (Hyosung Heavy, Ssangyong Motor, Namyang Dairy, Hyundai Livart, Hankook Shell Oil, Tongyang, and AK Holdings). 


Final Bi-Annual Rebalance Announced for KOSPI200, KOSDAQ150, & KRX300

<p>The KRX biannually reconstitutes KOSDAQ 150. Rebalancing takes place on the trading day following the last trading day of the June and December delivery month for KOSDAQ 150 futures contracts. So, June 12 will be the effective date for the 1H20 rebalancing.</p><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/131/144/original/21.png?1588564881" class="editor-image img-responsive" data-smartkarma-image-id="131144"></figure><hr><p>This post examines and projects a list of potential names for addition and deletion in the upcoming rebalancing.</p><div class="content-highlight">
<p><em>FYI,</em></p>
<p><em>I used <strong>120D price data</strong> to calculate the average market capitalization and <strong>30D DTV</strong> to estimate the average daily trading value. I mostly relied on the KRX Market Data and Google Finance.</em></p>
</div>

The KRX biannually reconstitutes KOSDAQ 150. Rebalancing takes place on the trading day following the last trading day of the June and December delivery month for KOSDAQ 150 futures contracts. So, June 12 will be the effective date for the 1H20 rebalancing.This post examines and projects a list of potential names for addition and deletion in the upcoming rebalancing.
FYI,
I used 120D price data to calculate the average market capitalization and 30D DTV to estimate the average daily trading value. I mostly relied on the KRX Market Data and Google Finance.


KOSDAQ 150 1H20 Rebalancing Pt. 1: Selection Projection

South Korea

Ubiquoss Holdings Inc. provides networking equipments. The Company offers broadband access switches, voice-based intelligent network system, next generation Internet protocol, and advanced intelligent networking products.

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Ubiquoss Holding (078070 KS)

KOSDAQ150 Index Rebalance Preview: Lots of Changes Early in the Review Period

A month into the review period for the KOSDAQ150 December rebalance, we can already see 12 potential changes. The potential inclusions should...

Brian Freitas

KOSDAQ 150 Preview: 16 Additions & 17 Deletions - Passive Inflow/ADTV & Loan Balance/Float

This post lists the 16 addition candidates and 17 deletion candidates of the upcoming KOSDAQ 150 rebalancing, including MC, est. passive flow/ADTV,...

Sanghyun Park

KRX BBIG K-NewDeal Index Rebalance: First Set of Changes Announced

The KRX has announced changes to the KRX New Deal indices that will be effective after the close of trading on 25 February. Pearl Abyss is...

Brian Freitas

Final Bi-Annual Rebalance Announced for KOSPI200, KOSDAQ150, & KRX300

The Korea Exchange announced its bi-annual changes to KOSPI200 today. These changes are effective 12 June 2020. For the KOSPI200, there were 11...

Douglas Kim

KOSDAQ 150 1H20 Rebalancing Pt. 1: Selection Projection

The KRX biannually reconstitutes KOSDAQ 150. Rebalancing takes place on the trading day following the last trading day of the June and December...

Sanghyun Park

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