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>MTD screening results with 5 trading days left point to 2 names going out and 2 names coming in: Gemvax and Wonik IPS replace Dongjin Semichem and Jusung Engineering.</li>
<li>Unlike last April’s tariff-distorted +1.3% rebalance, this time we expect cleaner, more meaningful price action.</li>
<li>No pre-positioning seen, so I’ll target ETF rebalance day (Oct 10) and maybe take an anticipatory position a day earlier.</li>
</ul>


MTD screening results with 5 trading days left point to 2 names going out and 2 names coming in: Gemvax and Wonik IPS replace Dongjin Semichem and Jusung Engineering.
Unlike last April’s tariff-distorted +1.3% rebalance, this time we expect cleaner, more meaningful price action.
No pre-positioning seen, so I’ll target ETF rebalance day (Oct 10) and maybe take an anticipatory position a day earlier.


Korea Semicon ETF Rebal October Play: 2 In, 2 Out Long-Short Setup

Asia Pac ECM and Index Rebal, Shenton Research

Ke Yan, CFA, FRM

Asia Pac ECM and Index Rebal

Asia Pac IPO & Placement Research, China Biotech

DZT Research

DZT Research is an independent Asia Pacific equity specialist. Our quantitative research covers index rebalancing flows, alongside exchange data analytics accross Asia Pacific. On the equity capital markets side, we focus on Asia Pacific ECM, especially biotech and TMT. Our lead analyst is frequently cited by international media.

Quantitative Analysis

<ul>
<li>We analyzed the changes in foreign holdings of KRX stocks as of Sep 5th. The aggregated holding was USD644.3bn.</li>
<li>We estimate that foreign flows to be inflows of USD33mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.</li>
<li>We highlight changes of foreign holdings in SK Hynix, Samsung Electronics, NAVER, HYUNDAI ROTEM, Mobis.</li>
</ul>


We analyzed the changes in foreign holdings of KRX stocks as of Sep 5th. The aggregated holding was USD644.3bn.
We estimate that foreign flows to be inflows of USD33mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
We highlight changes of foreign holdings in SK Hynix, Samsung Electronics, NAVER, HYUNDAI ROTEM, Mobis.


KRX Foreign Holding Weekly (Sep 5th): SK Hynix, Samsung Electronics, NAVER, HYUNDAI ROTEM, Mobis

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

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

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

Index Rebalance

<ul>
<li>With the averaging period for the October rebalance starting in two weeks, we forecast 2 changes for the FnGuide Semiconductor Top10 Index at the upcoming rebalance.</li>
<li>Based on the passive assets tracking the index, there will be between 1.5-4.7x ADV to trade in the forecast changes.</li>
<li>On average, the forecast adds have outperformed the forecast deletes by a wide margin over the last 3 months and could reverse some of the changes from the April rebalance.</li>
</ul>


With the averaging period for the October rebalance starting in two weeks, we forecast 2 changes for the FnGuide Semiconductor Top10 Index at the upcoming rebalance.
Based on the passive assets tracking the index, there will be between 1.5-4.7x ADV to trade in the forecast changes.
On average, the forecast adds have outperformed the forecast deletes by a wide margin over the last 3 months and could reverse some of the changes from the April rebalance.


FnGuide Semiconductor Top10 Index Rebalance Preview: Two Changes Likely in September

<ul>
<li>We analyzed the changes in foreign holdings of KRX stocks as of Aug 15th. The aggregated holding was USD653.4bn.</li>
<li>We estimate that foreign flows to be inflows of USD772mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.</li>
<li>We highlight changes of foreign holdings in SK Hynix, NAVER, Samsung Electronics, Kakao, Hanwha Ocean.</li>
</ul>


We analyzed the changes in foreign holdings of KRX stocks as of Aug 15th. The aggregated holding was USD653.4bn.
We estimate that foreign flows to be inflows of USD772mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
We highlight changes of foreign holdings in SK Hynix, NAVER, Samsung Electronics, Kakao, Hanwha Ocean.


KRX Foreign Holding Weekly (Aug 15th): SK Hynix, NAVER, Samsung Electronics, Kakao, Hanwha Ocean

<ul>
<li>After the March avg daily market cap screen, Wonik IPS is swapped for Jusung Engineering. Big passive impact expected—Jusung gets 1x ADTV buy flow, Wonik faces 2.6x ADTV sell.</li>
<li>Watch for passive flow timing—last rebalance (Oct 11), ISC Co Ltd got kicked, Wonik IPS called up. TIGER split Wonik’s rebalance over two trading days to minimize price impact.</li>
<li>The long/short yield was 2.89% on Oct 11, 3.96% over two days. With bigger passive flow impact, TIGER may split the rebalance—enter near Thursday close, exit by Monday afternoon.</li>
</ul>


After the March avg daily market cap screen, Wonik IPS is swapped for Jusung Engineering. Big passive impact expected—Jusung gets 1x ADTV buy flow, Wonik faces 2.6x ADTV sell.
Watch for passive flow timing—last rebalance (Oct 11), ISC Co Ltd got kicked, Wonik IPS called up. TIGER split Wonik’s rebalance over two trading days to minimize price impact.
The long/short yield was 2.89% on Oct 11, 3.96% over two days. With bigger passive flow impact, TIGER may split the rebalance—enter near Thursday close, exit by Monday afternoon.


Watch This Friday's TIGER Top 10 Semicon Rebalance

South Korea

Wonik IPS Co., Ltd. manufactures and sells semiconductor processing equipments.  The Company's main businesses include Semiconductor, Display and Solar industries.

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Wonik Ips (240810 KS)

Korea Semicon ETF Rebal October Play: 2 In, 2 Out Long-Short Setup

This post walks through Korea’s October semicon ETF rebalance play, highlighting a 2 In, 2 Out rotation that sets up a compelling long-short trade.

Sanghyun Park

KRX Foreign Holding Weekly (Sep 5th): SK Hynix, Samsung Electronics, NAVER, HYUNDAI ROTEM, Mobis

We analyzed KRX foreign holding data for the past week and highlighted foreign holding changes in SK Hynix, Samsung Electronics, NAVER, HYUNDAI...

Ke Yan, CFA, FRM

FnGuide Semiconductor Top10 Index Rebalance Preview: Two Changes Likely in September

There could be 2 changes in Oct. The forecast adds have outperformed the forecast deletes by a wide margin over the last 3 months and could reverse...

Brian Freitas

KRX Foreign Holding Weekly (Aug 15th): SK Hynix, NAVER, Samsung Electronics, Kakao, Hanwha Ocean

We analyzed KRX foreign holding data for the past week and highlighted foreign holding changes in SK Hynix, NAVER, Samsung Electronics, Kakao,...

Ke Yan, CFA, FRM

Watch This Friday's TIGER Top 10 Semicon Rebalance

We should keep an eye on this Friday's local passive flow event: the TIGER Top 10 Semicon rebalance, which will bring some serious buy/sell action.

Sanghyun Park

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