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

Brian Freitas

Highly experienced ex-Delta One trader with 17 years of experience trading arbitrage and related strategies across Asian markets.

Exempt Financial Adviser (EFA) under CrossASEAN Research Pte Ltd.

It is important to note that the information provided by Periscope Analytics is based on publicly available data and own knowledge, which has been gathered and synthesized from a variety of sources. While every effort has been made to ensure the accuracy and completeness of the information provided, it is not guaranteed to be free from errors or omissions.

All forecasts and estimates are based on information that has been obtained from public sources that are considered to be reliable. The sources include, but are not limited to, company announcements, exchange filings, ETF and other passive investment vehicle holdings, and free float and volume data from third-party data providers. Periscope Analytics does not guarantee the accuracy and completeness of the forecasts, estimates and/or other information.

Pan-Asia Index Rebalances/ Events/ Delta One

KOSPI200 Index Rebalance Preview: Four Potential Changes in June

Samsung KoAct Dividend Growth Active ETF: A Look at the First Corporate Value-Up ETF

KOSDAQ150 Index Rebalance Preview: Potential Adds Soaring; Short Sell Ban Not Helping

Battle Lines Drawn As BABA Builds Out First/Last-Mile Capacity; But Who Will Fund 75+ Bn CNY CapEx?

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

Korea Stock Exchange Kospi Index / Event-Driven

Korea Stock Exchange Kospi Index (KOSPI INDEX)

<ul>
<li>Media reports indicate that the National Pension Service (NPS) could invest up to KRW 11tn (US$8.2bn) in a new index tracking stocks with low Price to Book ratios.</li>
<li>Filtering stocks with market cap higher than US$500m, ADTV of atleast US$1m, div yield of atleast 1.5% and Price to Book less than 1 throws up 94 potential index candidates.</li>
<li>Choosing an index of 50 stocks will require managers to buy between 1.7-3.4% of the float on the stocks. Increasing the number of constituents will reduce the impact.</li>
</ul>


Media reports indicate that the National Pension Service (NPS) could invest up to KRW 11tn (US$8.2bn) in a new index tracking stocks with low Price to Book ratios.
Filtering stocks with market cap higher than US$500m, ADTV of atleast US$1m, div yield of atleast 1.5% and Price to Book less than 1 throws up 94 potential index candidates.
Choosing an index of 50 stocks will require managers to buy between 1.7-3.4% of the float on the stocks. Increasing the number of constituents will reduce the impact.


SAMSUNGACTIVE KoAct Dividend Growth ETF (476850 KS)

Korea Value-Up Index: Probable Constituents & Impact of NPS' US$8.2bn Allocation