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

Korea Stock Exchange Kospi Index / Event-Driven

<ul>
<li>Deputy PM Choi Sang-mok commits to aggressively pursue separate taxation of dividend income, marking a shift towards concrete action for value-up policies.</li>
<li>Ever since the introduction of the Value-up policy earlier this year, the primary incentive championed by the local capital market has been the separate taxation of dividend income.</li>
<li>Hence, the government's official commitment to this marks a crucial step in reshaping the Value-up momentum.</li>
</ul>


Deputy PM Choi Sang-mok commits to aggressively pursue separate taxation of dividend income, marking a shift towards concrete action for value-up policies.
Ever since the introduction of the Value-up policy earlier this year, the primary incentive championed by the local capital market has been the separate taxation of dividend income.
Hence, the government's official commitment to this marks a crucial step in reshaping the Value-up momentum.


Significant Developments Emerged Today for Korea's Value-Up

<ul>
<li>KRX considers a comprehensive change to the Value-up Index scoring system. Weightings emphasize ROE, PER, and FCF while reducing PBR weight.</li>
<li>KRX considers adopting scoring-based constituent weighting to prevent JPX Prime 150's issues, but NPS opposes. Float market cap weighting like JPX Prime 150 is contemplated to address concerns.</li>
<li>Momentum trading in the Value-up initiative will favor low PER and high ROE stocks over low PBR. The semiconductor sector is anticipated to benefit significantly from float market cap-based weighting.</li>
</ul>


KRX considers a comprehensive change to the Value-up Index scoring system. Weightings emphasize ROE, PER, and FCF while reducing PBR weight.
KRX considers adopting scoring-based constituent weighting to prevent JPX Prime 150's issues, but NPS opposes. Float market cap weighting like JPX Prime 150 is contemplated to address concerns.
Momentum trading in the Value-up initiative will favor low PER and high ROE stocks over low PBR. The semiconductor sector is anticipated to benefit significantly from float market cap-based weighting.


New Information on Korea Value-Up Index Scoring System & Constituent Weighting

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>Media reports indicate that the National Pension Service (NPS) could invest up to KRW 11tn (US$8.2bn) in a new index tracking stocks with low Price to Book ratios.</li>
<li>Filtering stocks with market cap higher than US$500m, ADTV of atleast US$1m, div yield of atleast 1.5% and Price to Book less than 1 throws up 94 potential index candidates.</li>
<li>Choosing an index of 50 stocks will require managers to buy between 1.7-3.4% of the float on the stocks. Increasing the number of constituents will reduce the impact.</li>
</ul>


Media reports indicate that the National Pension Service (NPS) could invest up to KRW 11tn (US$8.2bn) in a new index tracking stocks with low Price to Book ratios.
Filtering stocks with market cap higher than US$500m, ADTV of atleast US$1m, div yield of atleast 1.5% and Price to Book less than 1 throws up 94 potential index candidates.
Choosing an index of 50 stocks will require managers to buy between 1.7-3.4% of the float on the stocks. Increasing the number of constituents will reduce the impact.


Korea Value-Up Index: Probable Constituents & Impact of NPS' US$8.2bn Allocation

<ul>
<li>KRX's lack of a standardized English translation platform may lead to non-standardized terminology and varying translation quality. KRX stresses cross-checking Korean and English disclosures due to potential errors. </li>
<li>The 3-day lag between Korean and English disclosures poses timeliness challenges, requiring consistent cross-checking. Overall, the process for foreign investors using Korean market disclosure sites remains largely unchanged.</li>
<li>The common procedure should still be to first check disclosures using English titles, then convert to Korean for reading. If English disclosures exist, utilize them for cross-checking.</li>
</ul>


KRX's lack of a standardized English translation platform may lead to non-standardized terminology and varying translation quality. KRX stresses cross-checking Korean and English disclosures due to potential errors. 
The 3-day lag between Korean and English disclosures poses timeliness challenges, requiring consistent cross-checking. Overall, the process for foreign investors using Korean market disclosure sites remains largely unchanged.
The common procedure should still be to first check disclosures using English titles, then convert to Korean for reading. If English disclosures exist, utilize them for cross-checking.


KRX's Mandatory English Disclosure Debut: A Detailed Guide on Utilizing This Without Confusion

Proxy Advisory Firm, Sustinvest

SUSTINVEST

Proxy Advisory Firm

Responsible investment, Proxy advisory

Sustinvest

Sustinvest is a specialized ESG research firm that provides comprehensive analysis on company-level ESG performance, industry-level ESG issues, and ESG-related regulations. In particular, we attempt to identify investment risks and opportunities associated with events such as corporate governance changes and M&A. We also conduct company visits and fundamental analysis to discover smaller companies with sustainable business model which are usually overlooked by institutional investors. Our focus is on Korean listed companies and not limited to specific sectors.  

<ul>
<li>On April 4, 2025 (KST), South Korea's Constitutional Court formally removed former President Yoon Suk Yeol from office in accordance with the constitutional order.</li>
<li>This decision is expected to significantly reduce political uncertainty. However, external factors such as the U.S. government's reciprocal tariff policies will continue to have substantial impact on Korean markets.</li>
<li>June's presidential election favors government change. Global investors should watch the Democratic Party's capital market reform proposals.</li>
</ul>


On April 4, 2025 (KST), South Korea's Constitutional Court formally removed former President Yoon Suk Yeol from office in accordance with the constitutional order.
This decision is expected to significantly reduce political uncertainty. However, external factors such as the U.S. government's reciprocal tariff policies will continue to have substantial impact on Korean markets.
June's presidential election favors government change. Global investors should watch the Democratic Party's capital market reform proposals.


President Yoon's Impeachment: Impact on Korean Capital Markets

South Korea

The KOSPI Index is a capitalization-weighted index of all common shares on the Korean Stock Exchanges. The Index was developed with a base value of 100 as of January 4, 1980. Note: The preferred shares are excluded in calculating the KOSPI Index from June 14, 2002. 

Korea Stock Exchange Kospi Index (KOSPI INDEX)

Korea Stock Exchange Kospi Index (KOSPI INDEX)

Significant Developments Emerged Today for Korea's Value-Up

Deputy PM Choi Sang-mok vows to push for separate taxation of dividend income, a key aspect of the Value-up policy, signaling a shift towards...

Sanghyun Park

New Information on Korea Value-Up Index Scoring System & Constituent Weighting

This post delivers new information on the screening scoring system and constituent weighting of the Korea Value-up Index, presently circulating...

Sanghyun Park

Korea Value-Up Index: Probable Constituents & Impact of NPS' US$8.2bn Allocation

The NPS and KRW as said to be discussing the creation of the Korea Value-Up Index and the NPS could benchmark KRW 11tn to the index. We look at...

Brian Freitas

KRX's Mandatory English Disclosure Debut: A Detailed Guide on Utilizing This Without Confusion

This post is a comprehensive guide on utilizing KRX's inaugural mandatory English disclosures without confusion, which began today.

Sanghyun Park

President Yoon's Impeachment: Impact on Korean Capital Markets

South Korea's Constitutional Court removes President Yoon, cutting political uncertainty. U.S. tariffs still impact markets. June election favors...

Sustinvest

Significant Developments Emerged Today for Korea's Value-Up

​Deputy PM Choi Sang-mok vows to push for separate taxation of dividend income, a key aspect of the Value-up policy, signaling a shift towards...

Sanghyun Park

New Information on Korea Value-Up Index Scoring System & Constituent Weighting

This post delivers new information on the screening scoring system and constituent weighting of the Korea Value-up Index, presently circulating...

Sanghyun Park

Korea Value-Up Index: Probable Constituents & Impact of NPS' US$8.2bn Allocation

The NPS and KRW as said to be discussing the creation of the Korea Value-Up Index and the NPS could benchmark KRW 11tn to the index. We look at...

Brian Freitas

KRX's Mandatory English Disclosure Debut: A Detailed Guide on Utilizing This Without Confusion

This post is a comprehensive guide on utilizing KRX's inaugural mandatory English disclosures without confusion, which began today.

Sanghyun Park

President Yoon's Impeachment: Impact on Korean Capital Markets

South Korea's Constitutional Court removes President Yoon, cutting political uncertainty. U.S. tariffs still impact markets. June election favors...

Sustinvest

Deputy PM Choi Sang-mok vows to push for separate taxation of dividend income, a key aspect of the Value-up policy, signaling a shift towards...