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>The ETF operator (TIGER)'s index tracking conformity was high enough to create trading opportunities aimed at the rebalancing flow.</li>
<li>Flow/Price directions were mostly synched with only a few exceptions. Of particular importance is that the price impact was substantial compared to the passive flow size. </li>
<li>The yield of the tradable names suitable for a basket based on the projected passive impact size was 4.51%.</li>
</ul>


The ETF operator (TIGER)'s index tracking conformity was high enough to create trading opportunities aimed at the rebalancing flow.
Flow/Price directions were mostly synched with only a few exceptions. Of particular importance is that the price impact was substantial compared to the passive flow size. 
The yield of the tradable names suitable for a basket based on the projected passive impact size was 4.51%.


WISE Theme Indexes Rebalancing: Conformity of Passive Flow to Price Return

<ul>
<li>Today is the rebalancing trading day of WISE's three major theme indexes. The ETF operator (TIGER) is expected to start rebalancing trading after 2 pm.</li>
<li>The prediction accuracy of the top market cap stocks is relatively high. So, we should target these big boys with a flow at 0.2x or higher relative to ADTV.</li>
<li>Names in a basket trade setup: <a href="https://www.smartkarma.com/entities/ecopro-bm-co-ltd" target="_blank" data-smartkarma-citation="entities:27873:1" rel="noopener">Ecopro BM (247540 KS)</a>, <a href="https://www.smartkarma.com/entities/sk-ie-technology" target="_blank" data-smartkarma-citation="entities:29207:1" rel="noopener">SK IE Technology (361610 KS)</a>, <a href="https://www.smartkarma.com/entities/solus-advanced-materials-co-ltd" target="_blank" data-smartkarma-citation="entities:28947:1" rel="noopener">Solus Advanced Materials (336370 KS)</a>, <a href="https://www.smartkarma.com/entities/hana-tour-service-inc" target="_blank" data-smartkarma-citation="entities:4852:1" rel="noopener">Hana Tour Service (039130 KS)</a>, &amp; <a href="https://www.smartkarma.com/entities/cj-enm" target="_blank" data-smartkarma-citation="entities:8887:1" rel="noopener">CJ ENM (035760 KS)</a>
</li>
</ul>


Today is the rebalancing trading day of WISE's three major theme indexes. The ETF operator (TIGER) is expected to start rebalancing trading after 2 pm.
The prediction accuracy of the top market cap stocks is relatively high. So, we should target these big boys with a flow at 0.2x or higher relative to ADTV.
Names in a basket trade setup: Ecopro BM (247540 KS), SK IE Technology (361610 KS), Solus Advanced Materials (336370 KS), Hana Tour Service (039130 KS), &amp; CJ ENM (035760 KS)



WISE Theme Indexes Rebalancing Today: Names in Basket Trade Setup

<ul>
<li>Among the local theme indexes in Korea, we have three noteworthy ones for July. They are the WISE theme indexes. They will all rebalance on July 15.</li>
<li>Due to some constituents' recent significant price movements, we can now expect some notable passive flows.</li>
<li>These names are worthy of our attention: SKIET, Solus Advanced, Kangwon Land, Hanatour, T'way Air, Yong Pyong Resort, HYBE, CJ ENM, and Studio Dragon.</li>
</ul>


Among the local theme indexes in Korea, we have three noteworthy ones for July. They are the WISE theme indexes. They will all rebalance on July 15.
Due to some constituents' recent significant price movements, we can now expect some notable passive flows.
These names are worthy of our attention: SKIET, Solus Advanced, Kangwon Land, Hanatour, T'way Air, Yong Pyong Resort, HYBE, CJ ENM, and Studio Dragon.


WISE Theme Indexes (TIGER ETFs): Rebalancing Flow Estimations

<ul>
<li>This ETF's AUM has decreased by 17% over the past three months to ₩200B. It has 18 constituents, and it is unlikely that there will be any addition/deletion.</li>
<li>The first thing to note is Hana Tour because the increase in the number of shares through an offering will be reflected its the market cap right before the rebalancing.</li>
<li>Among the top stocks by market cap, Asiana Airlines (020560 KS) (+0,.20x ADTV) and Kangwon Land (035250 KS) (-0.21x ADTV) will likely have a significant passive impact.</li>
</ul>


This ETF's AUM has decreased by 17% over the past three months to ₩200B. It has 18 constituents, and it is unlikely that there will be any addition/deletion.
The first thing to note is Hana Tour because the increase in the number of shares through an offering will be reflected its the market cap right before the rebalancing.
Among the top stocks by market cap, Asiana Airlines (020560 KS) (+0,.20x ADTV) and Kangwon Land (035250 KS) (-0.21x ADTV) will likely have a significant passive impact.


TIGER Theme ETF "Tour Leisure" Rebalancing Projections: Hanatour, Asiana, Kangwon Land, & T'way Air

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

South Korea

Hana Tour Service Inc. wholesales a variety of travel related services.  The Company provides outbound, inbound and domestic travel packages and cooperates with credit card companies and Internet shopping malls to market its services. Hana Tour Service also works as general sales agency (GSA) of overseas cruise and rail passes.

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Hana Tour Service (039130 KS)

WISE Theme Indexes Rebalancing: Conformity of Passive Flow to Price Return

This post provides the noteworthy points of the passive flow/price impact correlation from yesterday's rebalancing of WISE's three thematic indexes

Sanghyun Park

WISE Theme Indexes Rebalancing Today: Names in Basket Trade Setup

This post provides the latest flow estimations for WISE's three thematic indexes that rebalance today and suggests the tradable names in a basket...

Sanghyun Park

WISE Theme Indexes (TIGER ETFs): Rebalancing Flow Estimations

This post contains the estimations of the passive flows for the constituents of the three WISE theme indexes, which rebalance on July 14.

Sanghyun Park

TIGER Theme ETF "Tour Leisure" Rebalancing Projections: Hanatour, Asiana, Kangwon Land, & T'way Air

This post projects the upcoming rebalancing of the TIGER Theme ETF "Tour Leisure": Hanatour, Asiana, Kangwon Land, & T'way Air.

Sanghyun Park

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

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