Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Cross Asset Strategy

<ul>
<li>KRX is expected to announce the KOSDAQ150 rebalance in the next couple of weeks. </li>
<li>An alpha generating trading strategy would be to focus on companies with higher probability of getting deleted in the next round of KOSDAQ rebalance in December.  </li>
<li>These 15 companies are those among the bottom 30 market cap in KOSDAQ150 that are ranked number 16 to 30 in terms of combined market cap and trading value range. </li>
</ul>


KRX is expected to announce the KOSDAQ150 rebalance in the next couple of weeks. 
An alpha generating trading strategy would be to focus on companies with higher probability of getting deleted in the next round of KOSDAQ rebalance in December.  
These 15 companies are those among the bottom 30 market cap in KOSDAQ150 that are ranked number 16 to 30 in terms of combined market cap and trading value range. 


Alpha Generating Trading Strategy of KOSDAQ150 Deletions & Additions in June 2022

<ul>
<li>In this insight, we discuss end of the mandatory lock-up periods for 45 stocks in Korea in March 2022, among which 4 are in KOSPI and 41 are in KOSDAQ.</li>
<li>These 45 stocks on average could be subject to further selling pressures in April and could on average underperform relative to the market. </li>
<li>In this monthly, we also added data for market cap, free float, and ADTV. </li>
</ul>


In this insight, we discuss end of the mandatory lock-up periods for 45 stocks in Korea in March 2022, among which 4 are in KOSPI and 41 are in KOSDAQ.
These 45 stocks on average could be subject to further selling pressures in April and could on average underperform relative to the market. 
In this monthly, we also added data for market cap, free float, and ADTV. 


End of Mandatory Lock-Up Periods for 45 Companies in Korea in April 2022

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.

Index Rebalance

Hyundai Energy Solutions / Index Rebalance

<ul>
<li>KRX Semicon has experienced a considerable increase in AUM due to the recent AI rally. Two ETFs tracking SEMICON have a combined AUM of ₩0.6T.</li>
<li>The following five stocks are screened as potential additions: ITM Semiconductor, Hyundai Energy Solutions, TEMC, Fine Semitech, and AT Technology.  </li>
<li>While it may not be a major flow event, it still presents a trading opportunity worth considering, especially in September, which is relatively less eventful in terms of flows.</li>
</ul>


KRX Semicon has experienced a considerable increase in AUM due to the recent AI rally. Two ETFs tracking SEMICON have a combined AUM of ₩0.6T.
The following five stocks are screened as potential additions: ITM Semiconductor, Hyundai Energy Solutions, TEMC, Fine Semitech, and AT Technology.  
While it may not be a major flow event, it still presents a trading opportunity worth considering, especially in September, which is relatively less eventful in terms of flows.


Flow Trading Opportunities Brought by the AI Rally: KRX Semicon Rebalancing in September

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>There are 11 inclusions and 11 exclusions for the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index (KOSDQ150 INDEX)</a> at the December rebalance to be implemented at the close on 8 December.</li>
<li>We had forecast most of the changes (10 adds and 9 deletes), so there are a few surprises. The inclusion of <a href="https://www.smartkarma.com/entities/sillajen-inc" target="_blank" data-smartkarma-citation="entities:22838:1" rel="noopener">SillaJen Inc (215600 KS)</a> is the biggest one.</li>
<li>The adds to the index become short sell eligible from the open of trading on 9 December while the deletions will not be short sell eligible from the same time.</li>
</ul>


There are 11 inclusions and 11 exclusions for the KOSDAQ 150 Index (KOSDQ150 INDEX) at the December rebalance to be implemented at the close on 8 December.
We had forecast most of the changes (10 adds and 9 deletes), so there are a few surprises. The inclusion of SillaJen Inc (215600 KS) is the biggest one.
The adds to the index become short sell eligible from the open of trading on 9 December while the deletions will not be short sell eligible from the same time.


KOSDAQ150 Index Rebalance: 11 Changes with a Couple of Surprises

<ul>
<li>With the review period complete, we see 11 potential changes to the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index (KOSDQ150 INDEX)</a> at the December rebalance.</li>
<li>Most of the potential changes are high probability ones, but there are some stocks that are very close to market cap and liquidity cutoffs.</li>
<li>The impact of passive trading will be much higher on the potential deletes as compared to the potential inclusions, though trade notionals are higher for the potential adds.</li>
</ul>


With the review period complete, we see 11 potential changes to the KOSDAQ 150 Index (KOSDQ150 INDEX) at the December rebalance.
Most of the potential changes are high probability ones, but there are some stocks that are very close to market cap and liquidity cutoffs.
The impact of passive trading will be much higher on the potential deletes as compared to the potential inclusions, though trade notionals are higher for the potential adds.


KOSDAQ150 Index Rebalance Preview: Big Churn in IT, Healthcare Stocks

South Korea

Fine Semitech Corp. manufactures semiconductor materials and equipment, such as pellicles and chillers.  The Company supplies its products mainly to Samsung Electronics and Hynix Semiconductor.

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Fine Semitech (036810 KS)

Alpha Generating Trading Strategy of KOSDAQ150 Deletions & Additions in June 2022

An alpha generating trading strategy would be to focus on companies with higher probability of getting deleted in the next round of KOSDAQ...

Douglas Kim

End of Mandatory Lock-Up Periods for 45 Companies in Korea in April 2022

In this insight, we discuss end of the mandatory lock-up periods for 45 stocks in Korea in March 2022, among which 4 are in KOSPI and 41 are in...

Douglas Kim

Flow Trading Opportunities Brought by the AI Rally: KRX Semicon Rebalancing in September

This post introduces flow trading opportunities brought by the recent AI rally: KRX Semicon Index Rebalancing in September.

Sanghyun Park

KOSDAQ150 Index Rebalance: 11 Changes with a Couple of Surprises

There are 11 changes at the Dec rebal: mostly in line with forecasts. SillaJen is a surprise add; Devsisters is a surprise delete. Short interest...

Brian Freitas

KOSDAQ150 Index Rebalance Preview: Big Churn in IT, Healthcare Stocks

There could be 11 changes at the Dec rebalance. Most changes are high probability and will result in a big churn in the IT & Healthcare sectors....

Brian Freitas

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