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

KOSDAQ150 Index Rebalance: MCNEX Transfers to KOSPI; PSK (319660) Included

KOSDAQ150 Index Rebalance: PIAM Transfer to KOSPI; Is Replaced by KPM Tech

KOSDAQ150 Index Rebalance Preview: Inclusions Outperforming as Short Sell Ban Helps

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

Korea Short Selling: What Day 1 Looked Like

KOSDAQ150 Index Rebalance: 16 Changes & Large Turnover

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

Event-Driven

On 10 November 2020, <a href="https://www.smartkarma.com/entities/gs-holdings" target="_blank" data-smartkarma-citation="entities:18524:1" rel="noopener">GS Holdings (078930 KS)</a> announced the merger of two of its retail units <a href="https://www.smartkarma.com/entities/gs-retail-co-ltd" target="_blank" data-smartkarma-citation="entities:3867:1" rel="noopener">GS Retail (007070 KS)</a> and <a href="https://www.smartkarma.com/entities/gs-home-shopping-inc" target="_blank" data-smartkarma-citation="entities:3916:1" rel="noopener">GS Home Shopping (028150 KS)</a>. The merger ratio was announced as 4.22 shares of <a href="https://www.smartkarma.com/entities/gs-retail-co-ltd" target="_blank" data-smartkarma-citation="entities:3867:1" rel="noopener">GS Retail (007070 KS)</a> for 1 share of <a href="https://www.smartkarma.com/entities/gs-home-shopping-inc" target="_blank" data-smartkarma-citation="entities:3916:1" rel="noopener">GS Home Shopping (028150 KS)</a>.Last evening, the KRX announced the deletion of <a href="https://www.smartkarma.com/entities/gs-home-shopping-inc" target="_blank" data-smartkarma-citation="entities:3916:1" rel="noopener">GS Home Shopping (028150 KS)</a> from 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> and the inclusion of <a href="https://www.smartkarma.com/entities/modetour-network-inc" target="_blank" data-smartkarma-citation="entities:14818:1" rel="noopener">Modetour Network (080160 KS)</a> with the change becoming effective after the close of trading on 28 June.We estimate passive <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> trackers will need to sell 5 days of ADV on <a href="https://www.smartkarma.com/entities/gs-home-shopping-inc" target="_blank" data-smartkarma-citation="entities:3916:1" rel="noopener">GS Home Shopping (028150 KS)</a> while buying 1 day of ADV on <a href="https://www.smartkarma.com/entities/modetour-network-inc" target="_blank" data-smartkarma-citation="entities:14818:1" rel="noopener">Modetour Network (080160 KS)</a>. KRX will increase the number of index shares for <a href="https://www.smartkarma.com/entities/gs-retail-co-ltd" target="_blank" data-smartkarma-citation="entities:3867:1" rel="noopener">GS Retail (007070 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 same time and passive trackers will need to buy 0.7 days of ADV on the stock.The <a href="https://www.smartkarma.com/entities/gs-retail-co-ltd" target="_blank" data-smartkarma-citation="entities:3867:1" rel="noopener">GS Retail (007070 KS)</a> / <a href="https://www.smartkarma.com/entities/gs-home-shopping-inc" target="_blank" data-smartkarma-citation="entities:3916:1" rel="noopener">GS Home Shopping (028150 KS)</a> spread will be interesting at the close on 28 June and there will be opportunities to unwind existing positions or to initiate new positions.

On 10 November 2020, GS Holdings (078930 KS) announced the merger of two of its retail units GS Retail (007070 KS) and GS Home Shopping (028150 KS). The merger ratio was announced as 4.22 shares of GS Retail (007070 KS) for 1 share of GS Home Shopping (028150 KS).Last evening, the KRX announced the deletion of GS Home Shopping (028150 KS) from the KOSDAQ 150 Index (KOSDQ150 INDEX) and the inclusion of Modetour Network (080160 KS) with the change becoming effective after the close of trading on 28 June.We estimate passive KOSDAQ 150 Index (KOSDQ150 INDEX) trackers will need to sell 5 days of ADV on GS Home Shopping (028150 KS) while buying 1 day of ADV on Modetour Network (080160 KS). KRX will increase the number of index shares for GS Retail (007070 KS) in the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) at the same time and passive trackers will need to buy 0.7 days of ADV on the stock.The GS Retail (007070 KS) / GS Home Shopping (028150 KS) spread will be interesting at the close on 28 June and there will be opportunities to unwind existing positions or to initiate new positions.

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

KOSDAQ150 Index Rebalance: Modetour to Replace GS Home Shopping; GS Retail Weight Increase in KOSPI2