Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Cross Asset Strategy

<ul>
<li>In this insight, we discuss the recent buying and selling by the Korea National Pension Service (NPS) of Korean stocks.</li>
<li>Of the 176 Korean stocks in which NPS reported changes in ownerships in 2Q 2022, NPS increased its stakes in 115 companies and reduced stakes in 61 companies.</li>
<li>NPS mostly increased stakes in aerospace, defense, construction equipment, and energy sectors while reducing stakes in telecom and tourism related stocks.</li>
</ul>


In this insight, we discuss the recent buying and selling by the Korea National Pension Service (NPS) of Korean stocks.
Of the 176 Korean stocks in which NPS reported changes in ownerships in 2Q 2022, NPS increased its stakes in 115 companies and reduced stakes in 61 companies.
NPS mostly increased stakes in aerospace, defense, construction equipment, and energy sectors while reducing stakes in telecom and tourism related stocks.


NPS Sells SK Bioscience, Naver, & LG Electronics and Buys Kakao Bank, Lotte Corp, & Samyang Foods

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>There are 7 adds and 7 deletes for 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> rebalance to be implemented at the close on 9 June.</li>
<li>There are also a bunch of stocks that will have changes applied to their free float. There were announced last week and are much less tracked.</li>
<li>The flows and impact on some of the float change names are significant and pre-positioning and passive flows could move the stocks over the next few days.</li>
</ul>


There are 7 adds and 7 deletes for the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) rebalance to be implemented at the close on 9 June.
There are also a bunch of stocks that will have changes applied to their free float. There were announced last week and are much less tracked.
The flows and impact on some of the float change names are significant and pre-positioning and passive flows could move the stocks over the next few days.


KOSPI200 Index Rebalance: Float Changes, Flows & Trades

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>Flows from the ETFs/index funds serve as a minimal flow for rebalancing trading at the close on June 9. The total AUM is ₩18.9T: ETFs ₩15.0T and index funds ₩3.9T.</li>
<li>There are only three trading days left until the rebalancing trading. At this point, a setup aimed at the NPS/Insurance's preemptive trading seems a bit off, timing-wise.</li>
<li>It seems more appropriate at this point to design a day basket-trading based on the minimal flow size on the day of rebalancing trading, June 9.</li>
</ul>


Flows from the ETFs/index funds serve as a minimal flow for rebalancing trading at the close on June 9. The total AUM is ₩18.9T: ETFs ₩15.0T and index funds ₩3.9T.
There are only three trading days left until the rebalancing trading. At this point, a setup aimed at the NPS/Insurance's preemptive trading seems a bit off, timing-wise.
It seems more appropriate at this point to design a day basket-trading based on the minimal flow size on the day of rebalancing trading, June 9.


KOSPI 200 Rebalancing Minimal Flow at the Close on June 9 For Day Basket-Trading

<ul>
<li>Korea Exchange announced the additions and deletions to KOSPI200 today.</li>
<li>There were no major surprises with regards to the additions and deletions.</li>
<li>SK Discovery is a potential buy candidate and Hana Tour Service is a potential sell candidate post the announcement of KOSPI200 additions and deletions.</li>
</ul>


Korea Exchange announced the additions and deletions to KOSPI200 today.
There were no major surprises with regards to the additions and deletions.
SK Discovery is a potential buy candidate and Hana Tour Service is a potential sell candidate post the announcement of KOSPI200 additions and deletions.


Additions & Deletions to KOSPI 200 and Trading Strategies Post Announcement

<ul>
<li>There will be 7 additions and 7 deletions for 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 June rebalance that will be implemented on 9 June.</li>
<li>We got all 7 inclusions right and 5 of the 7 deletions right. The adds have 3-6 days ADV to buy, while the deletes have 4-12 days ADV to sell.</li>
<li>Short interest on the deletions is a significant portion of the estimated passive selling and there could be short covering in the week leading up to implementation of the changes.</li>
</ul>


There will be 7 additions and 7 deletions for the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) at the June rebalance that will be implemented on 9 June.
We got all 7 inclusions right and 5 of the 7 deletions right. The adds have 3-6 days ADV to buy, while the deletes have 4-12 days ADV to sell.
Short interest on the deletions is a significant portion of the estimated passive selling and there could be short covering in the week leading up to implementation of the changes.


South Korea

Hanil Cement co.,Ltd. operates as a cement manufacturing company. The Company produces and sells cement, special cement, ready mixed concrete products, high solidity admixture, and other products. Hanil Cement markets its products throughout Korea.

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Hanil Cement Co Ltd/New (300720 KS)

NPS Sells SK Bioscience, Naver, & LG Electronics and Buys Kakao Bank, Lotte Corp, & Samyang Foods

NPS moves the Korean stock market more than any other investor. In this insight, we discuss the recent buying and selling by the Korea National...

Douglas Kim

KOSPI200 Index Rebalance: Float Changes, Flows & Trades

There are significant flows and impact on some stocks that have float changes at the upcoming KOSPI2 rebalance. With over 5 days ADV to buy,...

Brian Freitas

KOSPI 200 Rebalancing Minimal Flow at the Close on June 9 For Day Basket-Trading

This post gathers the combined AUM of the local ETFs/index funds mirroring the KOSPI 200 and estimates the minimal passive flow on the rebalancing...

Sanghyun Park

Additions & Deletions to KOSPI 200 and Trading Strategies Post Announcement

SK Discovery is a potential buy candidate and Hana Tour Service is a potential sell candidate post the announcement of KOSPI200 additions and...

Douglas Kim

KOSPI200 Index Rebalance: Se7en Changes

There are 7 changes for the KOSPI 200 at the June rebalance. The impact on the deletions is higher than that on the inclusions, but there are a lot...

Brian Freitas

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