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>F&amp;F Holdings is a single-subsidiary PURE STUB PLAY with no operating assets. It currently trades at a 54.30% discount to its NAV, and its 20-day MA sigma sits below -2.0.</li>
<li>The pair is currently in a substantial diversion. The passive inflow caused by F&amp;F's KOSPI 200 inclusion appears to have caused a flow imbalance.</li>
<li>F&amp;F is becoming a primary target for KOSPI 200's post-rebalancing shorting events. Then, we can consider using F&amp;F Holdings as a long hedge, in addition to outright shorting for F&amp;F.</li>
</ul>


F&amp;F Holdings is a single-subsidiary PURE STUB PLAY with no operating assets. It currently trades at a 54.30% discount to its NAV, and its 20-day MA sigma sits below -2.0.
The pair is currently in a substantial diversion. The passive inflow caused by F&amp;F's KOSPI 200 inclusion appears to have caused a flow imbalance.
F&amp;F is becoming a primary target for KOSPI 200's post-rebalancing shorting events. Then, we can consider using F&amp;F Holdings as a long hedge, in addition to outright shorting for F&amp;F.


Korea Stub Trades: F&F Holdings Pair in a Substantial Diversion with F&F's KOSPI 200 Inclusion

<ul>
<li>We should pay attention to the following three stocks: F&amp;F, Iljin Hysolus, and K Car. They all have recently seen a drastic increase in the loan balance.</li>
<li>Their passive flow sizes relative to ADTVs are the lowest among the additions. It seems that those with relatively little passive impact are targeted.</li>
<li>Also, their projected earnings are highly volatile, and they all face overvaluation issues, whereas the other four names have more clear projections for earnings.</li>
</ul>


We should pay attention to the following three stocks: F&amp;F, Iljin Hysolus, and K Car. They all have recently seen a drastic increase in the loan balance.
Their passive flow sizes relative to ADTVs are the lowest among the additions. It seems that those with relatively little passive impact are targeted.
Also, their projected earnings are highly volatile, and they all face overvaluation issues, whereas the other four names have more clear projections for earnings.


Post KOSPI 200 Rebalancing Shorting Event: Watch Iljin Hysolus, F&F, & K Car

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

<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

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 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.


Meritz Fire & Marine Insurance / Event-Driven

<ul>
<li>There is a clear correlation between the resumption of short selling and the overvaluation of stock prices, which was actively reflected when short selling resumed.</li>
<li>So, in this rebalancing as well, we need to target those who have seen a significant share price rise recently while looking at the increasing trend of the loan balance.</li>
<li>The stocks to watch are <strong>Meritz Fire</strong> and <strong>Hana Tour</strong> as their recent share price has been the most solid. In particular, Hana Tour is conducting a capital increase.</li>
</ul>


There is a clear correlation between the resumption of short selling and the overvaluation of stock prices, which was actively reflected when short selling resumed.
So, in this rebalancing as well, we need to target those who have seen a significant share price rise recently while looking at the increasing trend of the loan balance.
The stocks to watch are Meritz Fire and Hana Tour as their recent share price has been the most solid. In particular, Hana Tour is conducting a capital increase.


KOSPI 200 Rebalancing: Shorting Event for Additions

South Korea

F&F Co.,Ltd operates clothing production businesses. The Company produces coats, shirts, jackets, and other apparels. F&F conducts businesses in South Korea.

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F&F (383220 KS)

Korea Stub Trades: F&F Holdings Pair in a Substantial Diversion with F&F's KOSPI 200 Inclusion

This post investigates potential stub trade opportunities involving the F&F Holdings pair, generally considered a pure stub play in Korea.

Sanghyun Park

Post KOSPI 200 Rebalancing Shorting Event: Watch Iljin Hysolus, F&F, & K Car

This post investigates the latest loaned share balance trend of the KOSPI 200 new members to figure out which are being targeted for post...

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

KOSPI 200 Rebalancing: Shorting Event for Additions

This post investigates potential shorting opportunities on the new additions at KOSPI 200's upcoming rebalancing in June.

Sanghyun Park

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