Korea / Special Situations, Clepsydra Capital

Sanghyun Park

Korea / Special Situations

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

Event-Driven

<ul>
<li>Three local indexes in Korea face rebalancing trading on March 10, supposedly at the close.</li>
<li>They are 1. KOSPI 200 Fast Entry for LG Energy Solution, 2. KOSPI Size Index Series biannual rebalancing, and 3. KRX BBIG K-New Deal biannual rebalancing.</li>
<li>There are 18 stocks in total, which have an estimated passive flow of ±0.5x ADTV &amp; an average daily trade value of +₩5.0B.</li>
</ul>


Three local indexes in Korea face rebalancing trading on March 10, supposedly at the close.
They are 1. KOSPI 200 Fast Entry for LG Energy Solution, 2. KOSPI Size Index Series biannual rebalancing, and 3. KRX BBIG K-New Deal biannual rebalancing.
There are 18 stocks in total, which have an estimated passive flow of ±0.5x ADTV &amp; an average daily trade value of +₩5.0B.


Combined Rebalancing Flow Estimations of Three Indexes in Korea on March 10

<ul>
<li>Those non-top three constituents in the battery index get to face more substantial outflow due to LG Chem's remaining in the index. They are Posco Chemical, SKC, and Iljin Materials.</li>
<li>It is still that AfreecaTV (067160 KS) and Douzone Bizon (012510 KS) are the ones with the most significant passive impacts, +1.73x and -2.67x ADTVs, respectively. </li>
<li>LG Energy Fast Entry will be implemented on the same day. The combined inflow should rise to +0.95x ADTV, substantial enough to deserve special attention.</li>
</ul>


Those non-top three constituents in the battery index get to face more substantial outflow due to LG Chem's remaining in the index. They are Posco Chemical, SKC, and Iljin Materials.
It is still that AfreecaTV (067160 KS) and Douzone Bizon (012510 KS) are the ones with the most significant passive impacts, +1.73x and -2.67x ADTVs, respectively. 
LG Energy Fast Entry will be implemented on the same day. The combined inflow should rise to +0.95x ADTV, substantial enough to deserve special attention.


KRX K-New Deal Rebalancing Announcement: Updated Weight Adjustments & Passive Flows

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

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Index Rebalance

<ul>
<li>The announced changes are exactly in line with our forecasts with one change each for the Secondary Battery, Bio and Game Index. There are three changes to the Internet Index.</li>
<li>There are two changes to the BBIG Index with <a href="https://www.smartkarma.com/entities/lg-energy-solution" target="_blank" data-smartkarma-citation="entities:33464:1" rel="noopener">LG Energy Solution (373220 KS)</a> replacing <a href="https://www.smartkarma.com/entities/lg-chem-ltd" target="_blank" data-smartkarma-citation="entities:3583:1" rel="noopener">LG Chem Ltd (051910 KS)</a> and <a href="https://www.smartkarma.com/entities/afreecatv-co-ltd" target="_blank" data-smartkarma-citation="entities:20163:1" rel="noopener">AfreecaTV (067160 KS)</a> replacing <a href="https://www.smartkarma.com/entities/douzone-bizon-co-ltd" target="_blank" data-smartkarma-citation="entities:20161:1" rel="noopener">Douzone Bizon (012510 KS)</a>. </li>
<li>The largest buying impact will be on <a href="https://www.smartkarma.com/entities/afreecatv-co-ltd" target="_blank" data-smartkarma-citation="entities:20163:1" rel="noopener">AfreecaTV (067160 KS)</a> while the largest selling impact will be on <a href="https://www.smartkarma.com/entities/douzone-bizon-co-ltd" target="_blank" data-smartkarma-citation="entities:20161:1" rel="noopener">Douzone Bizon (012510 KS)</a>, <a href="https://www.smartkarma.com/entities/soulbrain-co-ltd-4208cf78-7fa9-4449-af35-bd0bde9d4726" target="_blank" data-smartkarma-citation="entities:35407:1" rel="noopener">Soulbrain (357780)</a> and <a href="https://www.smartkarma.com/entities/lg-chem-ltd" target="_blank" data-smartkarma-citation="entities:3583:1" rel="noopener">LG Chem Ltd (051910 KS)</a>.</li>
</ul>


The announced changes are exactly in line with our forecasts with one change each for the Secondary Battery, Bio and Game Index. There are three changes to the Internet Index.
There are two changes to the BBIG Index with LG Energy Solution (373220 KS) replacing LG Chem Ltd (051910 KS) and AfreecaTV (067160 KS) replacing Douzone Bizon (012510 KS). 
The largest buying impact will be on AfreecaTV (067160 KS) while the largest selling impact will be on Douzone Bizon (012510 KS), Soulbrain (357780) and LG Chem Ltd (051910 KS).


KRX New Deal Index Rebalance: No Surprises as LG Chem Not Deleted from Battery Index

<ul>
<li>FnGuide Battery Index overlaps with the rebalancing of the KRX K-New Deal. K-New Deal is March 11. As for FnGuide Battery, it will be three trading days on March 14-16.</li>
<li>Among the top-cap stocks, Samsung SDI will be the biggest beneficiary, and we need to consider a setup that utilizes Samsung SDI as a long/short partner for LG Chem.</li>
<li>LG Chem's staying significant distorts mid-caps' index weight in KRX Battery. The extent of passive outflows would be pretty substantial. So, outright short these mid-caps should deserve our attention.</li>
</ul>


FnGuide Battery Index overlaps with the rebalancing of the KRX K-New Deal. K-New Deal is March 11. As for FnGuide Battery, it will be three trading days on March 14-16.
Among the top-cap stocks, Samsung SDI will be the biggest beneficiary, and we need to consider a setup that utilizes Samsung SDI as a long/short partner for LG Chem.
LG Chem's staying significant distorts mid-caps' index weight in KRX Battery. The extent of passive outflows would be pretty substantial. So, outright short these mid-caps should deserve our attention.


FnGuide & KRX K-New Deal Batteries: Combined Passive Flows Preview on March 10-15

<ul>
<li>For this March rebalancing, the screening base date is January 28, which is the last trading day of January. So, the 3-month rebalancing review period is now done.</li>
<li>Other than LG Energy (+₩146,2B), we should pay the most attention to AfreecaTV (+1.70x), Chunbo (+0.36x), Douzone Bizon (-4.82x), and SoulBrain (-0.99x).</li>
<li>In addition, large-cap stocks such as SKIET (+0.25x), Ecopro BM (+0.10x), LG Chem (-0.62x), and Posco Chemical (-0.30x) will likely draw much attention.</li>
</ul>


For this March rebalancing, the screening base date is January 28, which is the last trading day of January. So, the 3-month rebalancing review period is now done.
Other than LG Energy (+₩146,2B), we should pay the most attention to AfreecaTV (+1.70x), Chunbo (+0.36x), Douzone Bizon (-4.82x), and SoulBrain (-0.99x).
In addition, large-cap stocks such as SKIET (+0.25x), Ecopro BM (+0.10x), LG Chem (-0.62x), and Posco Chemical (-0.30x) will likely draw much attention.


KRX K-New Deal Index Screening Period Ended: Rebalancing Changes & Passive Impacts Update

South Korea

Posco Future M Co., Ltd. manufactures and distributes energy materials. The Company produces battery materials, advanced chemical materials, basic industrial materials, and other related products. Posco Future M also produces lime chemical and refractory products.

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Posco Future M (003670 KS)

Combined Rebalancing Flow Estimations of Three Indexes in Korea on March 10

This post estimates the combined rebalancing flows of Korea's three local indexes, which should be seen on March 10, supposedly at the close.

Sanghyun Park

KRX K-New Deal Rebalancing Announcement: Updated Weight Adjustments & Passive Flows

KRX officially announced the K-New Deal rebalancing results. This post updates the estimations of weight adjustments and passive flows.

Sanghyun Park

KRX New Deal Index Rebalance: No Surprises as LG Chem Not Deleted from Battery Index

There is one change each for the Secondary Battery, Bio and Game Index. There are three changes to the Internet Index. LG Chem has not been deleted...

Brian Freitas

FnGuide & KRX K-New Deal Batteries: Combined Passive Flows Preview on March 10-15

This post estimates the combined passive flows of Korea's local battery stocks from the rebalancings of the FnGuide Battery Index and the KRX K-New...

Sanghyun Park

KRX K-New Deal Index Screening Period Ended: Rebalancing Changes & Passive Impacts Update

The KRX K-New Deal Index's screening period ended last Friday. This post updates the screening results and passive impacts.

Sanghyun Park

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