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>EcoPro Materials and Doosan Robotics, recent IPOs, join the Large category. Their inclusion signals at least two Large stocks, CS Wind Corp and BGF Retail, shifting to Mid.</li>
<li>There's a chance three Mid-stocks will transition to Large: Ssangyong Cement, Hyundai Electric, and LOTTE Corp. Conversely, LS Corp, Hotel Shilla, and Kepco E&amp;C will move from Large to Mid.</li>
<li>With ample time left in the screening period, cautious monitoring is essential. Still, Large→Mid candidates, with a notable gap from the ₩2.95T cutoff, warrant a focus on proactive setups.</li>
</ul>


EcoPro Materials and Doosan Robotics, recent IPOs, join the Large category. Their inclusion signals at least two Large stocks, CS Wind Corp and BGF Retail, shifting to Mid.
There's a chance three Mid-stocks will transition to Large: Ssangyong Cement, Hyundai Electric, and LOTTE Corp. Conversely, LS Corp, Hotel Shilla, and Kepco E&amp;C will move from Large to Mid.
With ample time left in the screening period, cautious monitoring is essential. Still, Large→Mid candidates, with a notable gap from the ₩2.95T cutoff, warrant a focus on proactive setups.


Identifying KOSPI Size Migration Candidates & Assessing Proactive Setup Feasibility

<ul>
<li>We need to focus on the top 2 candidates among the Mid→Large candidates in the screening table mentioned above and the bottom 4 candidates among the Large→Mid candidates.</li>
<li>Since they are relatively far from the borderline, there is a significant likelihood that their classification will change. So, flow trading timing on these candidates could be brought forward.</li>
<li>Monitoring Doosan Robotics's market cap potentially nearing ₩3T and keeping an eye on the listing date of Ecopro Materials, we should make changes to the Mid→Large candidates from early December.</li>
</ul>


We need to focus on the top 2 candidates among the Mid→Large candidates in the screening table mentioned above and the bottom 4 candidates among the Large→Mid candidates.
Since they are relatively far from the borderline, there is a significant likelihood that their classification will change. So, flow trading timing on these candidates could be brought forward.
Monitoring Doosan Robotics's market cap potentially nearing ₩3T and keeping an eye on the listing date of Ecopro Materials, we should make changes to the Mid→Large candidates from early December.


A Proactive Long Short Basket Setup Targeting KOSPI Size Index's Next Rebal

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Equity Derivatives

Korea Stock Exchange KOSPI 200 / Equity Derivatives

<ul>
<li>The <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200 INDEX</a> last week started to rally, so we want to look at WEEKLY resistance levels to evaluate where the current rally could end.</li>
<li>MRM Resistance Levels where the rally could stop are: 339, 348, 356.</li>
<li>Based on the current MRM pattern reading we expect the index to either roll down this week, or to rally for +2 more weeks (CC=+4) and then go down.</li>
</ul>


The KOSPI 200 INDEX last week started to rally, so we want to look at WEEKLY resistance levels to evaluate where the current rally could end.
MRM Resistance Levels where the rally could stop are: 339, 348, 356.
Based on the current MRM pattern reading we expect the index to either roll down this week, or to rally for +2 more weeks (CC=+4) and then go down.


EQD | KOSPI 200 Index Approaching Resistance

<ul>
<li>The KOSPI 200 index last week closed down (CC=-1). This particular pattern is very bullish: 78% of the time the index closes the week up after -1 week down.</li>
<li>The index has been stuck sideways between 348 and 330 for weeks, we still see a buy-the-dip opportunity to ride the continuation of the Bull run from here.</li>
<li>
Main support area to go LONG, based on the Market Reversal Matrix's readings, is between 337 and 335. Time+space estimated probability of success is between 64% and 76%.</li>
</ul>


The KOSPI 200 index last week closed down (CC=-1). This particular pattern is very bullish: 78% of the time the index closes the week up after -1 week down.
The index has been stuck sideways between 348 and 330 for weeks, we still see a buy-the-dip opportunity to ride the continuation of the Bull run from here.

Main support area to go LONG, based on the Market Reversal Matrix's readings, is between 337 and 335. Time+space estimated probability of success is between 64% and 76%.


EQD | KOSPI 200 Index WEEKLY Trend Analysis

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>The review period for the September rebalance of the KOSPI Size Indices started 1 June and will end 31 August. The changes will be implemented at the close 7 September.</li>
<li>We see 8 migrations from MidCap to LargeCap, 7 migrations from LargeCap to MidCap, 6 new adds to MidCap, and 16 migrations from SmallCap to MidCap.</li>
<li>Historically, stocks migrating from SmallCap to MidCap have outperformed stocks that are migrating between other categories.</li>
</ul>


The review period for the September rebalance of the KOSPI Size Indices started 1 June and will end 31 August. The changes will be implemented at the close 7 September.
We see 8 migrations from MidCap to LargeCap, 7 migrations from LargeCap to MidCap, 6 new adds to MidCap, and 16 migrations from SmallCap to MidCap.
Historically, stocks migrating from SmallCap to MidCap have outperformed stocks that are migrating between other categories.


KOSPI Size Indices - Plenty of Overlap With Other Index Flows

South Korea

KEPCO Engineering & Construction Company, Inc. designs nuclear and conventionally-fueled electricity generating plants.  The Company also provides power plant engineering services and consulting services to power industry.

Kepco Engineering & Construction (052690 KS)

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Kepco Engineering & Construction (052690 KS)

Identifying KOSPI Size Migration Candidates & Assessing Proactive Setup Feasibility

This post identifies potential KOSPI Size migration candidates for the upcoming March review and evaluates the feasibility of proactive setups.

Sanghyun Park

A Proactive Long Short Basket Setup Targeting KOSPI Size Index's Next Rebal

This post explores a proactive Long Short basket setup targeting the KOSPI Size Index's next rebalancing, whose entry timing should be early December.

Sanghyun Park

EQD | KOSPI 200 Index Approaching Resistance

The KOSPI 200 is rallying, check MRM resistance levels to evaluate how far it can go before rolling down. The index should either decline this week...

Nico Rosti

EQD | KOSPI 200 Index WEEKLY Trend Analysis

The KOSPI 200 Index got stuck in a range during the last few weeks, but it may be readying to resume its Bull run. Read the latest Market Reversal...

Nico Rosti

KOSPI Size Indices - Plenty of Overlap With Other Index Flows

We currently forecast 52 changes for the KOSPI Size Indices. While there are few passive assets tracking these indices, they are used by active...

Brian Freitas

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