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

Doosan Group: Index Implications of the Corporate Restructuring

K Bank IPO (279570 KS): Index Inclusion Timeline

KOSPI200 Index Rebalance Preview: 4 Adds, 5 Deletes Likely in December

KOSPI200 Index Rebalance Preview: Four Potential Changes in June

KOSPI200 Index Rebalance: Index Committee Knows Best; Cosmo AM&T the Winner

KOSPI200 Index Rebalance Preview: 5-6 Changes Possible from Now to June

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

<ul>
<li>Around a third of the way though the review period, there could be 4 changes for 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 December rebalance.</li>
<li>The impact on the potential inclusions ranges from 0.6-21 days of ADV while the impact on the potential deletions varies from 2.5-16 days of ADV.</li>
<li>The potential adds have outperformed the potential deletions over the last few months and there could be more to go with short selling banned.</li>
</ul>


Around a third of the way though the review period, there could be 4 changes for the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) at the December rebalance.
The impact on the potential inclusions ranges from 0.6-21 days of ADV while the impact on the potential deletions varies from 2.5-16 days of ADV.
The potential adds have outperformed the potential deletions over the last few months and there could be more to go with short selling banned.


Lotte Tour Development Co, Ltd. (032350 KS)

Korea Stock Exchange Kospi Index (KOSPI INDEX)

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

Hyosung Heavy Industries Corp (298040 KS)

KOSPI200 Index Rebalance Preview: 4 Changes Likely in December

APR

KOSPI200 Index Rebalance Preview: 4 Changes Likely in December