Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Douglas Research Advisory

Equity Bottom-Up

<ul>
<li>On 4 July, NPS disclosed the details of the ownership changes for 112 listed companies in Korea, of which 87 were listed in KOSPI and 25 in KOSDAQ. </li>
<li>In 2Q 2024, the NPS reduced its investments in defense and military stocks and increased investments in cosmetics, shipbuilding, and food companies in Korea.</li>
<li>NPS reduced its capital allocation to the military &amp; defense sector. NPS reduced its stake in LIG Nex1 (-2.32%), Poongsan Corp (-2.24%), and Hanwha Aerospace (-1.02%). </li>
</ul>


On 4 July, NPS disclosed the details of the ownership changes for 112 listed companies in Korea, of which 87 were listed in KOSPI and 25 in KOSDAQ. 
In 2Q 2024, the NPS reduced its investments in defense and military stocks and increased investments in cosmetics, shipbuilding, and food companies in Korea.
NPS reduced its capital allocation to the military &amp; defense sector. NPS reduced its stake in LIG Nex1 (-2.32%), Poongsan Corp (-2.24%), and Hanwha Aerospace (-1.02%). 


What Did NPS Buy and Sell in Korean Stock Market in 2Q 2024?

Cross Asset Strategy

<ul>
<li>The three risk-off signals include the decline in the Bitcoin price, decline in the copper price, and the first day share price performances of recent Korean IPOs.</li>
<li>These three risk-off signals are offset by one major risk-on signal which includes the U.S. Junk Bond-Treasury Yield spread. </li>
<li>An important risk-off signal is the first day share price performances of major Korean IPOs after listing. We have started to see some weakness on this signal in July. </li>
</ul>


The three risk-off signals include the decline in the Bitcoin price, decline in the copper price, and the first day share price performances of recent Korean IPOs.
These three risk-off signals are offset by one major risk-on signal which includes the U.S. Junk Bond-Treasury Yield spread. 
An important risk-off signal is the first day share price performances of major Korean IPOs after listing. We have started to see some weakness on this signal in July. 


Three Risk-Off Signals Offset by One Risk-On Signal?

Event-Driven

<ul>
<li>In this insight, we provide an early look at the potential additions and deletions to KOSPI200 rebalance in December 2024.</li>
<li>The seven potential additions are up on average 53.9% from end of 2023. The seven potential deletion candidates are down on average 14.2% YTD. </li>
<li>The average market cap of the seven potential additions is 2.2 trillion won. The average market cap of the seven potential deletion candidates is 0.7 trillion won. </li>
</ul>


In this insight, we provide an early look at the potential additions and deletions to KOSPI200 rebalance in December 2024.
The seven potential additions are up on average 53.9% from end of 2023. The seven potential deletion candidates are down on average 14.2% YTD. 
The average market cap of the seven potential additions is 2.2 trillion won. The average market cap of the seven potential deletion candidates is 0.7 trillion won. 


An Early Look at Potential Deletions and Additions to KOSPI200 in December 2024

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

<ul>
<li>The review period for the September rebalance of the KOSPI Size Indices will run from 1 June to 31 August.</li>
<li>We see 6 migrations from MidCap to LargeCap, 1 new addition to LargeCap, 6 stocks moving from SmallCap to MidCap and 3 new additions to MidCap.</li>
<li>Stocks migrating upward have outperformed stocks migrating lower. But there are still stocks trading at a Price to Book of less than 1.</li>
</ul>


The review period for the September rebalance of the KOSPI Size Indices will run from 1 June to 31 August.
We see 6 migrations from MidCap to LargeCap, 1 new addition to LargeCap, 6 stocks moving from SmallCap to MidCap and 3 new additions to MidCap.
Stocks migrating upward have outperformed stocks migrating lower. But there are still stocks trading at a Price to Book of less than 1.


KOSPI Size Indices: Potential Migrations in September Are Moving

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.

<ul>
<li>Ssangyong C&amp;E will be excluded in June pre-delisting due to the float rate rule. Replacement will be chosen from the highest market cap existing constituents excluded in the June review.</li>
<li>Likely owing to the recent expansion of macro variables in the local market, a clear correlation between results and price impact is not observed even at the screening period's conclusion.</li>
<li>There's a chance of price impact closer to the effective date, suggesting potentially more effective basket trading. However, short instrument absence necessitates using market indices as hedges.</li>
</ul>


Ssangyong C&amp;E will be excluded in June pre-delisting due to the float rate rule. Replacement will be chosen from the highest market cap existing constituents excluded in the June review.
Likely owing to the recent expansion of macro variables in the local market, a clear correlation between results and price impact is not observed even at the screening period's conclusion.
There's a chance of price impact closer to the effective date, suggesting potentially more effective basket trading. However, short instrument absence necessitates using market indices as hedges.


Addressing Areas of Confusion Surrounding the KOSPI 200 June Rebalancing

South Korea

APR Corporation of Korea operates cosmetics businesses. The Company develops and produces facial mask, lotion, elite fluid, and other products. APR also develops and manufactures beauty devices.

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APR (278470 KS)

What Did NPS Buy and Sell in Korean Stock Market in 2Q 2024?

In 2Q 2024, the NPS reduced its investments in defense and military stocks and increased investments in cosmetics, shipbuilding, and food companies...

Douglas Kim

Three Risk-Off Signals Offset by One Risk-On Signal?

The three risk-off signals include the decline in Bitcoin price, decline in the copper price, and the first day share price performances of recent...

Douglas Kim

An Early Look at Potential Deletions and Additions to KOSPI200 in December 2024

We provide an early look at the potential additions and deletions to KOSPI200 rebalance in December 2024. The seven potential additions are up on...

Douglas Kim

KOSPI Size Indices: Potential Migrations in September Are Moving

There are many changes expected for the KOSPI size indices in September. The potential upward migrations have outperformed the potential downward...

Brian Freitas

Addressing Areas of Confusion Surrounding the KOSPI 200 June Rebalancing

This post aims to provide clarity on several aspects of confusion surrounding the KOSPI 200 regular rebalancing in June.

Sanghyun Park

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