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

<p>KOSPI 200 December rebalancing's review period is May 1 to October 31.</p><h2>Adds</h2><p>Below is the list of the likely additions based on the average daily market cap from May 1 to yesterday. All of them have a pretty decent shot at joining KOSPI 200 at this point.</p><table class="table table-striped">
<colgroup>
<col width="100">
<col width="100">
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<col width="100">
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<tbody>
<tr>
<td data-sheets-value='{"1":2,"2":"KOSPI 200 adds - screening"}'>KOSPI 200 adds - screening</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Ticker"}'>Ticker</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Cumulative average daily market cap"}'>Cumulative average daily market cap</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Average daily market cap ranking"}'>Average daily market cap ranking</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Cumulative average daily trading value"}'>Cumulative average daily trading value</td>
</tr>
<tr>
<td></td>
<td style="text-align: right;"></td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"&gt; 15th percentile"}'>&gt; 15th percentile</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"&lt; 90.00%"}'>&lt; 90.00%</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"&gt; 15th percentile"}'><div><div>&gt; 15th percentile</div></div></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"PI Advanced Materials Co Ltd"}'><strong>PI Advanced Materials</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":178920}'>178920</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.19436336904045193}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>19.44%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.8148148148148148}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>81.48%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.8313253012048193}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'>83.13%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Myoung Shin Industrial Co Ltd"}'><strong>Myoung Shin Industrial</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"009900"}'>009900</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.18064633216832338}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>18.06%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.6388888888888888}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>63.89%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.9681528662420382}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'>96.82%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"SL Corp"}'><strong>SL Corp</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"005850"}'>005850</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.16233071177081637}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>16.23%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.7222222222222222}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>72.22%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.6751592356687899}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'>67.52%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Meritz Financial Group Inc"}'><strong>Meritz Financial Group</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":138040}'>138040</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.18331189030260275}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>18.33%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.8947368421052632}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>89.47%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.6268656716417911}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'>62.69%</td>
</tr>
<tr><td colspan="5" rowspan="1" data-sheets-value='{"1":2,"2":"Source: KRX &amp; FnGuide"}'>Source: KRX &amp; FnGuide</td></tr>
</tbody>
</table><div class="content-highlight"><p>F&amp;F (383220), Iljin Hysolus (271940), and SD Biosensor (137310) are also meeting the inclusion screening requirements. But they do not meet the minimum listing period of 6 months, so they will not be included in the index for this rebalancing. At their current market caps, they will likely join KOSPI 200 in the June rebalancing next year.</p></div><p>Below are the passive inflow estimates for each likely addition. Meritz Financial Group and SL Corp are expected to experience significant passive inflow at 1.91x and 1.69x compared to ADTV, respectively.</p><table class="table table-striped">
<colgroup>
<col width="100">
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<tbody>
<tr>
<td data-sheets-value='{"1":2,"2":"KOSPI 200 adds - passive inflow"}'>KOSPI 200 adds - passive inflow</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Ticker"}'>Ticker</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Estimated passive inflow"}'>Estimated passive inflow</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Shares in"}'>Shares-in</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Days to buy"}'>Days to buy (est. passive inflow / ADTV)</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"PI Advanced Materials Co Ltd"}'><strong>PI Advanced Materials</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":178920}'>178920</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":10.825840665461046}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>₩10.8B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":214798.42590200488}' data-sheets-numberformat='{"1":2,"2":"#,##0","3":1}'>214,798</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.9039685638683741}' data-sheets-numberformat='{"1":2,"2":"#,##0.00x","3":1}'><strong>0.90x</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Myoung Shin Industrial Co Ltd"}'><strong>Myoung Shin Industrial</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"009900"}'>009900</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":10.991761963498126}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>₩11.0B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":427695.0180349466}' data-sheets-numberformat='{"1":2,"2":"#,##0","3":1}'>427,695</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.30905100286068315}' data-sheets-numberformat='{"1":2,"2":"#,##0.00x","3":1}'><strong>0.31x</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"SL Corp"}'><strong>SL Corp</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"005850"}'>005850</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":6.550051172140481}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>₩6.6B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":254370.91930642645}' data-sheets-numberformat='{"1":2,"2":"#,##0","3":1}'>254,371</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.6851889200919719}' data-sheets-numberformat='{"1":2,"2":"#,##0.00x","3":1}'><strong>1.69x</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Meritz Financial Group Inc"}'><strong>Meritz Financial Group</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":138040}'>138040</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":15.155515711760314}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>₩15.2B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":470668.18980622094}' data-sheets-numberformat='{"1":2,"2":"#,##0","3":1}'>470,668</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.905338234034025}' data-sheets-numberformat='{"1":2,"2":"#,##0.00x","3":1}'><strong>1.91x</strong></td>
</tr>
<tr><td colspan="5" rowspan="1" data-sheets-value='{"1":2,"2":"Source: KRX &amp; FnGuide"}'>Source: KRX &amp; FnGuide</td></tr>
</tbody>
</table><h2>Deletes</h2><p>Below is the list of the likely deletions based on the average daily market cap from May 1 to yesterday. Of these five candidates, the first three have a higher chance of leaving the index. Then, one of the last two (Lotte Himart or LX Hausys) will likely join the rest to leave the index.</p><table class="table table-striped">
<colgroup>
<col width="100">
<col width="100">
<col width="100">
<col width="100">
<col width="100">
</colgroup>
<tbody>
<tr>
<td data-sheets-value='{"1":2,"2":"KOSPI 200 deletes - screening"}'>KOSPI 200 deletes - screening</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Ticker"}'>Ticker</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Cumulative average daily market cap"}'>Cumulative average daily market cap</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Average daily market cap ranking"}'>Average daily market cap ranking</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Cumulative average daily trading value"}'>Cumulative average daily trading value</td>
</tr>
<tr>
<td></td>
<td style="text-align: right;"></td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"&gt; 15th percentile"}'>&lt; 15th percentile</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"&gt; 110.00%"}'>&gt; 110.00%</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"&gt; 15th percentile"}'><div><div>&gt; 15th percentile</div></div></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Samyang Foods Co Ltd"}'><strong>Samyang Foods</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"003230"}'>003230</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.09118900815365227}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>9.12%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.2173913043478262}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>121.74%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.5416666666666667}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'>54.17%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Ilyang Pharmaceutical Co., Ltd"}'><strong>Ilyang Pharmaceutical</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"007570"}'>007570</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.05931317465504915}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>5.93%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.4444444444444444}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>144.44%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.5614035087719298}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'>56.14%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"LX Holdings Corp"}'><strong>LX Holdings</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":383800}'>383800</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.09812342876337998}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>9.81%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.2}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>120.00%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.5176470588235293}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'>51.76%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"LOTTE Himart Co Ltd"}'><strong>LOTTE Himart</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"071840"}'>071840</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.09733771137498692}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>9.73%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.1388888888888888}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>113.89%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.5605095541401274}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'>56.05%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"LX Hausys Ltd"}'><strong>LX Hausys</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":108670}'>108670</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.10423769792069448}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>10.42%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.16}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>116.00%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.6705882352941177}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'>67.06%</td>
</tr>
<tr><td colspan="5" rowspan="1" data-sheets-value='{"1":2,"2":"Source: KRX &amp; FnGuide"}'>Source: KRX &amp; FnGuide</td></tr>
</tbody>
</table><p>Below are the passive outflow estimates for each likely deletion. Samyang Foods and Lotte Himart will likely suffer the harshest passive outflow at 2.40x and 2.12x compared to ADTV, respectively.</p><table class="table table-striped">
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<col width="100">
<col width="100">
<col width="100">
<col width="100">
<col width="100">
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<tbody>
<tr>
<td data-sheets-value='{"1":2,"2":"KOSPI 200 deletes - passive outflow"}'>KOSPI 200 deletes - passive outflow</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Ticker"}'>Ticker</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Estimated passive outflow"}'>Estimated passive outflow</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Shares-out"}'>Shares-out</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Days to cover"}'>Days to cover (est. passive outflow / ADTV)</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Samyang Foods Co Ltd"}'><strong>Samyang Foods</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"003230"}'>003230</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":4}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>₩4.0B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":46948.35680751174}' data-sheets-numberformat='{"1":2,"2":"#,##0","3":1}'>46,948</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":2.3955941922623576}' data-sheets-numberformat='{"1":2,"2":"#,##0.00x","3":1}'><strong>2.40x</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Ilyang Pharmaceutical Co., Ltd"}'><strong>Ilyang Pharmaceutical</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"007570"}'>007570</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":5.999999999999999}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>₩6.0B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":207972.27036395145}' data-sheets-numberformat='{"1":2,"2":"#,##0","3":1}'>207,972</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.1713189148648702}' data-sheets-numberformat='{"1":2,"2":"#,##0.00x","3":1}'><strong>1.17x</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"LX Holdings Corp"}'><strong>LX Holdings</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":383800}'>383800</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":5.999999999999999}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>₩6.0B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":673400.6734006733}' data-sheets-numberformat='{"1":2,"2":"#,##0","3":1}'>673,401</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.7705475669560264}' data-sheets-numberformat='{"1":2,"2":"#,##0.00x","3":1}'><strong>1.77x</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"LOTTE Himart Co Ltd"}'><strong>LOTTE Himart</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"071840"}'>071840</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":4}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>₩4.0B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":139616.05584642233}' data-sheets-numberformat='{"1":2,"2":"#,##0","3":1}'>139,616</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":2.1244720753282564}' data-sheets-numberformat='{"1":2,"2":"#,##0.00x","3":1}'><strong>2.12x</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"LX Hausys Ltd"}'><strong>LX Hausys</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":108670}'>108670</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":8}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>₩8.0B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":108695.65217391304}' data-sheets-numberformat='{"1":2,"2":"#,##0","3":1}'>108,696</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.2487943625014968}' data-sheets-numberformat='{"1":2,"2":"#,##0.00x","3":1}'><strong>1.25x</strong></td>
</tr>
<tr><td colspan="5" rowspan="1" data-sheets-value='{"1":2,"2":"Source: KRX &amp; FnGuide"}'>Source: KRX &amp; FnGuide</td></tr>
</tbody>
</table>

KOSPI 200 December rebalancing's review period is May 1 to October 31.AddsBelow is the list of the likely additions based on the average daily market cap from May 1 to yesterday. All of them have a pretty decent shot at joining KOSPI 200 at this point.









KOSPI 200 adds - screening
Ticker
Cumulative average daily market cap
Average daily market cap ranking
Cumulative average daily trading value




&gt; 15th percentile
&lt; 90.00%
&gt; 15th percentile


PI Advanced Materials
178920
19.44%
81.48%
83.13%


Myoung Shin Industrial
009900
18.06%
63.89%
96.82%


SL Corp
005850
16.23%
72.22%
67.52%


Meritz Financial Group
138040
18.33%
89.47%
62.69%

Source: KRX &amp; FnGuide

F&amp;F (383220), Iljin Hysolus (271940), and SD Biosensor (137310) are also meeting the inclusion screening requirements. But they do not meet the minimum listing period of 6 months, so they will not be included in the index for this rebalancing. At their current market caps, they will likely join KOSPI 200 in the June rebalancing next year.Below are the passive inflow estimates for each likely addition. Meritz Financial Group and SL Corp are expected to experience significant passive inflow at 1.91x and 1.69x compared to ADTV, respectively.









KOSPI 200 adds - passive inflow
Ticker
Estimated passive inflow
Shares-in
Days to buy (est. passive inflow / ADTV)


PI Advanced Materials
178920
₩10.8B
214,798
0.90x


Myoung Shin Industrial
009900
₩11.0B
427,695
0.31x


SL Corp
005850
₩6.6B
254,371
1.69x


Meritz Financial Group
138040
₩15.2B
470,668
1.91x

Source: KRX &amp; FnGuide

DeletesBelow is the list of the likely deletions based on the average daily market cap from May 1 to yesterday. Of these five candidates, the first three have a higher chance of leaving the index. Then, one of the last two (Lotte Himart or LX Hausys) will likely join the rest to leave the index.









KOSPI 200 deletes - screening
Ticker
Cumulative average daily market cap
Average daily market cap ranking
Cumulative average daily trading value




&lt; 15th percentile
&gt; 110.00%
&gt; 15th percentile


Samyang Foods
003230
9.12%
121.74%
54.17%


Ilyang Pharmaceutical
007570
5.93%
144.44%
56.14%


LX Holdings
383800
9.81%
120.00%
51.76%


LOTTE Himart
071840
9.73%
113.89%
56.05%


LX Hausys
108670
10.42%
116.00%
67.06%

Source: KRX &amp; FnGuide

Below are the passive outflow estimates for each likely deletion. Samyang Foods and Lotte Himart will likely suffer the harshest passive outflow at 2.40x and 2.12x compared to ADTV, respectively.









KOSPI 200 deletes - passive outflow
Ticker
Estimated passive outflow
Shares-out
Days to cover (est. passive outflow / ADTV)


Samyang Foods
003230
₩4.0B
46,948
2.40x


Ilyang Pharmaceutical
007570
₩6.0B
207,972
1.17x


LX Holdings
383800
₩6.0B
673,401
1.77x


LOTTE Himart
071840
₩4.0B
139,616
2.12x


LX Hausys
108670
₩8.0B
108,696
1.25x

Source: KRX &amp; FnGuide



KOSPI 200 December Rebalancing: 5 Adds/Deletes & Special Considerations

<p>Below is KOSPI 200's screening methodology for the regular bi-annual rebalancing. The rebalancing trading will occur at the close on <strong>December 9</strong>, and the review period is <strong>May 1 to October 31</strong>. We will likely hear the rebalancing results in late November.</p><table class="table table-striped">
<colgroup>
<col width="150">
<col width="800">
</colgroup>
<tbody>
<tr><td colspan="2" data-sheets-value='{"1":2,"2":"Status (₩B)"}'>KOSPI 200 bi-annual rebalancing</td></tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Rebalancing"}'>Rebalancing</td>
<td data-sheets-value='{"1":2,"2":"Biannually"}' data-sheets-numberformat='{"1":2,"2":"#,##0"}'>Biannually</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":" - Effective date"}'>- Effective date</td>
<td data-sheets-value='{"1":2,"2":"Next trading day of 2nd Thursday of June &amp; December"}' data-sheets-numberformat='{"1":2,"2":"#,##0"}'>Next trading day of 2nd Thursday of June &amp; December</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":" - December"}'>- Implementation</td>
<td data-sheets-value='{"1":3,"3":44540}' data-sheets-numberformat='{"1":5,"2":"mmmm d, yyyy","3":1}'>December 10, 2021</td>
</tr>
<tr>
<td><strong>- Rebalancing trading</strong></td>
<td><strong>December 9, 2021</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":" - Review period"}'><strong>- Review period</strong></td>
<td data-sheets-value='{"1":2,"2":"May 1 to October 31, 2021"}'><strong>May 1 to October 31, 2021</strong></td>
</tr>
<tr>
<td rowspan="6" data-sheets-value='{"1":2,"2":"Screening"}'><div><strong>Screening</strong></div></td>
<td rowspan="6" data-sheets-value='{"1":2,"2":"Select candidates for each sector in order by the cumulative average daily market cap (the cumulative cut-off at the 15th percentile). Include the first company that crosses the 15th percentile mark. Exclude those whose cumulative average daily trading value is below the 15th percentile. Also, exclude those new entrants whose average daily market cap ranking is above 110%. If not reach a full 200 members in the first and second screenings, then re-select the current constituents whose average daily market cap ranking is within 110%. Select additional names among the unselected current constituents by the average daily market cap regardless of classification."}' data-sheets-numberformat='{"1":2,"2":"#,##0"}'><ul>
<li><strong>Select candidates for each sector in order by the cumulative average daily market cap (the cumulative cut-off at the 15th percentile).</strong></li>
<li><strong>Include the first company that crosses the 15th percentile mark. Exclude those whose cumulative average daily trading value is below the 15th percentile.</strong></li>
<li><strong>Also, exclude those new entrants whose average daily market cap ranking is above 110%.</strong></li>
<li><strong>If not reach 200 members in the first and second screenings, then re-select the current constituents whose average daily market cap ranking is within 110%.</strong></li>
<li><strong>Select additional names among the unselected current constituents by the average daily market cap regardless of classification.</strong></li>
</ul></td>
</tr>
<tr></tr>
<tr></tr>
<tr></tr>
<tr></tr>
<tr></tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Total float MC (₩B)"}'>Total float MC (₩B)</td>
<td data-sheets-value='{"1":3,"3":1247667.684}' data-sheets-numberformat='{"1":2,"2":"#,##0.0"}'>1,247,667.7</td>
</tr>
<tr><td colspan="2" data-sheets-value='{"1":2,"2":"Source: KRX"}'>Source: KRX</td></tr>
</tbody>
</table><section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/231/157/original/1.png?1632295209" class="editor-image img-responsive" data-smartkarma-image-id="231157"></figure></section>

Below is KOSPI 200's screening methodology for the regular bi-annual rebalancing. The rebalancing trading will occur at the close on December 9, and the review period is May 1 to October 31. We will likely hear the rebalancing results in late November.





KOSPI 200 bi-annual rebalancing

Rebalancing
Biannually


- Effective date
Next trading day of 2nd Thursday of June &amp; December


- Implementation
December 10, 2021


- Rebalancing trading
December 9, 2021


- Review period
May 1 to October 31, 2021


Screening

Select candidates for each sector in order by the cumulative average daily market cap (the cumulative cut-off at the 15th percentile).
Include the first company that crosses the 15th percentile mark. Exclude those whose cumulative average daily trading value is below the 15th percentile.
Also, exclude those new entrants whose average daily market cap ranking is above 110%.
If not reach 200 members in the first and second screenings, then re-select the current constituents whose average daily market cap ranking is within 110%.
Select additional names among the unselected current constituents by the average daily market cap regardless of classification.








Total float MC (₩B)
1,247,667.7

Source: KRX



KOSPI 200 Bi-Annual Rebalancing Preview (December 9)

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

<p>In this insight, we discuss the stocks that could get included or excluded in the November 2021 KOSPI 200 rebalance. We highlight 15 stocks that could get included and 10 stocks that could get excluded in the upcoming KOSPI 200 rebalance.</p><div class="content-highlight">
<p>This rebalance of the KOSPI 200 strategy is a type of<strong> momentum-driven strategy.</strong> The 15 stocks that we think could get included in the next KOSPI 200 rebalance have generated strong share price performances <strong>(up 55% on average in the past six months</strong>). </p>
<p>On the other hand, the 10 stocks which we think could get excluded in the next KOSPI 200 rebalance (the bottom 5% of KOSPI 200 index in terms of market cap) have done much worse in terms of their share price performance (<strong>down 6.1% on average in the past six months</strong>). </p>
</div>

In this insight, we discuss the stocks that could get included or excluded in the November 2021 KOSPI 200 rebalance. We highlight 15 stocks that could get included and 10 stocks that could get excluded in the upcoming KOSPI 200 rebalance.
This rebalance of the KOSPI 200 strategy is a type of momentum-driven strategy. The 15 stocks that we think could get included in the next KOSPI 200 rebalance have generated strong share price performances (up 55% on average in the past six months). 
On the other hand, the 10 stocks which we think could get excluded in the next KOSPI 200 rebalance (the bottom 5% of KOSPI 200 index in terms of market cap) have done much worse in terms of their share price performance (down 6.1% on average in the past six months). 


Potential Changes of KOSPI 200 Index Components in the November 2021 Rebalance

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Index Rebalance

<p>There could be two changes to 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 September index futures expiry with <a href="https://www.smartkarma.com/entities/kakaobank-corp" target="_blank" data-smartkarma-citation="entities:33501:1" rel="noopener">KakaoBank (1349010D KS)</a> and <a href="https://www.smartkarma.com/entities/krafton-inc" target="_blank" data-smartkarma-citation="entities:28956:1" rel="noopener"> Krafton Inc (259960 KS)</a> getting Fast Entry and replacing <a href="https://www.smartkarma.com/entities/lock-lock-co-ltd" target="_blank" data-smartkarma-citation="entities:4739:1" rel="noopener">Lock&amp;Lock (115390 KS)</a> and <a href="https://www.smartkarma.com/entities/jw-pharmaceutical-corp" target="_blank" data-smartkarma-citation="entities:18784:1" rel="noopener">Jw Pharmaceutical (001060 KS)</a> at the close of trading on 9 September.</p><p>Then, the Korea Exchange (KRX) will announce the results of the December 2021 review of 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> in November. The constituent changes will be effective after the close of trading on 9 December.</p><p>We see 5 potential changes at the December rebalance with <a href="https://www.smartkarma.com/entities/f-f-co-ltd-new" target="_blank" data-smartkarma-citation="entities:33479:1" rel="noopener">F&amp;F (383220 KS)</a>, <a href="https://www.smartkarma.com/entities/sl-corp" target="_blank" data-smartkarma-citation="entities:20694:1" rel="noopener">SL Corp (005850 KS)</a>, <a href="https://www.smartkarma.com/entities/geneone-life-science-inc" target="_blank" data-smartkarma-citation="entities:6549:1" rel="noopener">GeneOne Life Science Inc. (011000 KS)</a>, <a href="https://www.smartkarma.com/entities/myoung-shin-industrial-co-ltd" target="_blank" data-smartkarma-citation="entities:29698:1" rel="noopener">Myoung Shin Industrial Co.,Ltd (009900 KS)</a> and <a href="https://www.smartkarma.com/entities/hyosung-chemical-corp" target="_blank" data-smartkarma-citation="entities:27752:1" rel="noopener">Hyosung Chemical Corp (298000 KS)</a> replacing <a href="https://www.smartkarma.com/entities/f-f-co-ltd" target="_blank" data-smartkarma-citation="entities:15983:1" rel="noopener">F&amp;F Co Ltd (007700 KS)</a>, <a href="https://www.smartkarma.com/entities/samyang-foods-co-ltd" target="_blank" data-smartkarma-citation="entities:9100:1" rel="noopener">Samyang Foods (003230 KS)</a>, <a href="https://www.smartkarma.com/entities/ilyang-pharmaceutical-co-ltd" target="_blank" data-smartkarma-citation="entities:2789:1" rel="noopener">Ilyang Pharmaceutical Co., (007570 KS)</a>, <a href="https://www.smartkarma.com/entities/lx-holdings" target="_blank" data-smartkarma-citation="entities:33384:1" rel="noopener">LX Holdings (383800 KS)</a> and <a href="https://www.smartkarma.com/entities/dongwon-f-b-co-ltd" target="_blank" data-smartkarma-citation="entities:3274:1" rel="noopener">Dongwon F&amp;B (049770 KS)</a>.</p><p>The potential inclusions have been outperforming the potential exclusions and this could continue as short selling is only permitted on index constituents and as active funds position for the rebalance following excellent returns at the June rebalance.</p>

There could be two changes to the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) at the September index futures expiry with KakaoBank (1349010D KS) and  Krafton Inc (259960 KS) getting Fast Entry and replacing Lock&amp;Lock (115390 KS) and Jw Pharmaceutical (001060 KS) at the close of trading on 9 September.Then, the Korea Exchange (KRX) will announce the results of the December 2021 review of the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) in November. The constituent changes will be effective after the close of trading on 9 December.We see 5 potential changes at the December rebalance with F&amp;F (383220 KS), SL Corp (005850 KS), GeneOne Life Science Inc. (011000 KS), Myoung Shin Industrial Co.,Ltd (009900 KS) and Hyosung Chemical Corp (298000 KS) replacing F&amp;F Co Ltd (007700 KS), Samyang Foods (003230 KS), Ilyang Pharmaceutical Co., (007570 KS), LX Holdings (383800 KS) and Dongwon F&amp;B (049770 KS).The potential inclusions have been outperforming the potential exclusions and this could continue as short selling is only permitted on index constituents and as active funds position for the rebalance following excellent returns at the June rebalance.

KOSPI200 Index Rebalance Preview: Two Changes in September; Five in December

Myoung Shin Industrial Co.,Ltd / Index Rebalance

<p>Myungshin Industries is running again. Myungshin Industrial is considered a Tesla-related stock because Tesla is a major customer. As Tesla recently announced surprise earnings, the stock price of Myungshin Industrial is also moving up.</p><section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/220/951/original/1.png?1627534508" class="editor-image img-responsive" data-smartkarma-image-id="220951"></figure></section><p>In the past five trading days alone, the share price has risen more than 8%. Its current market cap has exceeded 1.7 trillion won.</p><div class="content-highlight"><p><strong>So this stock appears to offer some opportunities from an index rebalancing trading perspective as well.</strong></p></div><p>The first thing to consider is the inclusion of the KOSPI 200. In the rebalancing of last June, the stock price did not meet the market cap threshold due to the share price being drifted sideways for several months. However, in this December's rebalancing, if the current share price uptrend continues, the possibility of inclusion seems quite high.</p><p><strong>However, we can find trading opportunities in the KRX Autos sector index rebalancing, which takes place ahead of the KOSPI 200 rebalancing in December.</strong></p><p>As for KRX Autos, KODEX currently manages an ETF that tracks it, and it has recently been showing good returns, resulting in a large inflow of funds. The AUM now amounts to ₩649.0B, which isn't bad for an index containing only 17 constituents.</p><p>This is a float-adjusted market cap-weighted index with a 20% cap. Rebalancing takes place annually in September. The implementation date is the first trading day of the week following the last trading day for KOSPI 200 futures contracts. So, September 10 will be the implementation date for this year, meaning that we will see rebalancing trading at the close on September 9.</p><table class="table table-striped">
<colgroup>
<col width="100">
<col width="100">
</colgroup>
<tbody>
<tr><td colspan="2" style="width: 746px;" data-sheets-value='{"1":2,"2":"Index summary"}'>Index summary</td></tr>
<tr>
<td style="width: 281px;" data-sheets-value='{"1":2,"2":"Index name"}'>Index name</td>
<td style="width: 465px;" data-sheets-value='{"1":2,"2":"KRX Autos"}'>KRX Autos</td>
</tr>
<tr>
<td style="width: 281px;" data-sheets-value='{"1":2,"2":"ETF"}'>ETF</td>
<td style="width: 465px;" data-sheets-value='{"1":2,"2":"Samsung Kodex Autos ETF"}' data-sheets-formula='=googlefinance(R[1]C[0], "name")'><div><div>Samsung Kodex Autos ETF</div></div></td>
</tr>
<tr>
<td style="width: 281px;" data-sheets-value='{"1":2,"2":"Ticker"}'>Ticker</td>
<td style="width: 465px;" data-sheets-value='{"1":2,"2":"091180"}' data-sheets-formula='="091180"'>091180</td>
</tr>
<tr>
<td style="width: 281px;" data-sheets-value='{"1":2,"2":"AUM"}'><strong>AUM</strong></td>
<td style="width: 465px;" data-sheets-value='{"1":3,"3":649.04425}' data-sheets-numberformat='[null,2,"₩#,##0.0B",1]' data-sheets-formula="=R[1]C[0]*R[2]C[0]/1000000000"><strong>₩649.0B</strong></td>
</tr>
<tr>
<td style="width: 281px;" data-sheets-value='{"1":2,"2":"Price"}'>Price</td>
<td style="width: 465px;" data-sheets-value='{"1":3,"3":23305}' data-sheets-numberformat='[null,4,"[$₩]#,##0",1]' data-sheets-formula='=googlefinance(R[-2]C[0], "price")'>₩23,305</td>
</tr>
<tr>
<td style="width: 281px;" data-sheets-value='{"1":2,"2":"SO"}'>SO</td>
<td style="width: 465px;" data-sheets-value='{"1":3,"3":27850000}' data-sheets-numberformat='[null,2,"#,##0",1]'>27,850,000</td>
</tr>
<tr>
<td style="width: 281px;" data-sheets-value='{"1":2,"2":"Number of constituents"}'>Number of constituents</td>
<td style="width: 465px;" data-sheets-value='{"1":3,"3":17}' data-sheets-numberformat='[null,2,"#,##0",1]'>17</td>
</tr>
<tr>
<td style="width: 281px;" data-sheets-value='{"1":2,"2":"Weight type"}'>Weight type</td>
<td style="width: 465px;" data-sheets-value='{"1":2,"2":"Float-adjusted market cap"}' data-sheets-numberformat='[null,2,"₩#,##0.0B"]'><div><div>Float-adjusted market cap</div></div></td>
</tr>
<tr>
<td style="width: 281px;" data-sheets-value='{"1":2,"2":"Cap"}'>Cap</td>
<td style="width: 465px;" data-sheets-value='{"1":3,"3":0.2}' data-sheets-numberformat='[null,3,"0.00%",1]'>20.00%</td>
</tr>
<tr>
<td style="width: 281px;" data-sheets-value='{"1":2,"2":"Rebalancing cycle"}'>Rebalancing cycle</td>
<td style="width: 465px;" data-sheets-value='{"1":2,"2":"Annually"}' data-sheets-numberformat='[null,2,"₩#,##0.0B"]'>Annually</td>
</tr>
<tr>
<td style="width: 281px;" data-sheets-value='{"1":2,"2":"Rebalancing month"}'><strong>Rebalancing month</strong></td>
<td style="width: 465px;" data-sheets-value='{"1":2,"2":"September"}' data-sheets-numberformat='[null,2,"₩#,##0.0B"]'><strong>September</strong></td>
</tr>
<tr>
<td style="width: 281px;" data-sheets-value='{"1":2,"2":"Announcement date"}'><strong>Announcement date</strong></td>
<td style="width: 465px;" data-sheets-value='{"1":2,"2":"One week ahead of implementation"}' data-sheets-numberformat='[null,2,"₩#,##0.0B"]'><div><div><strong>One week ahead of implementation</strong></div></div></td>
</tr>
<tr>
<td style="width: 281px;" data-sheets-value='{"1":2,"2":"Implementation date"}'><strong>Implementation date</strong></td>
<td style="width: 465px;" data-sheets-value='{"1":2,"2":"The first trading day of the week following the last trading day for KOSPI 200 futures contracts"}' data-sheets-numberformat='[null,2,"₩#,##0.0B"]'><div><div><strong>The first trading day of the week following the last trading day for KOSPI 200 futures contracts</strong></div></div></td>
</tr>
<tr>
<td style="width: 281px;" data-sheets-value='{"1":2,"2":"Next implementation date"}'><strong>Next implementation date</strong></td>
<td style="width: 465px;" data-sheets-value='{"1":2,"2":"September 10, 2021"}' data-sheets-numberformat='[null,2,"₩#,##0.0B"]'><div><div><strong>September 10, 2021</strong></div></div></td>
</tr>
<tr>
<td style="width: 281px;" data-sheets-value='{"1":2,"2":"Rebalancing trading"}'><strong>Rebalancing trading</strong></td>
<td style="width: 465px;" data-sheets-value='{"1":2,"2":"At the close on September 9, 2021"}' data-sheets-numberformat='[null,2,"₩#,##0.0B"]'><div><div><strong>At the close on September 9, 2021</strong></div></div></td>
</tr>
<tr>
<td style="width: 281px;" data-sheets-value='{"1":2,"2":"Screening base date"}'>Screening base date</td>
<td style="width: 465px;" data-sheets-value='{"1":2,"2":"The last trading day of the month preceding the date of regular rebalancing"}' data-sheets-numberformat='[null,2,"₩#,##0.0B"]'><div><div>The last trading day of the month preceding the date of regular rebalancing</div></div></td>
</tr>
<tr>
<td style="width: 281px;" data-sheets-value='{"1":2,"2":"Screening period"}'>Screening period</td>
<td style="width: 465px;" data-sheets-value='{"1":2,"2":"The three months preceding the screening base date"}' data-sheets-numberformat='[null,2,"₩#,##0.0B"]'><div><div>The three months preceding the screening base date</div></div></td>
</tr>
<tr><td colspan="2" style="width: 746px;" data-sheets-value='{"1":2,"2":"Source: KRX &amp; KODEX ETF"}' data-sheets-numberformat='[null,2,"₩#,##0.0B"]' data-sheets-formula="=PDF!R[-1]C[0]">Source: KRX &amp; KODEX ETF</td></tr>
</tbody>
</table>

Myungshin Industries is running again. Myungshin Industrial is considered a Tesla-related stock because Tesla is a major customer. As Tesla recently announced surprise earnings, the stock price of Myungshin Industrial is also moving up.In the past five trading days alone, the share price has risen more than 8%. Its current market cap has exceeded 1.7 trillion won.So this stock appears to offer some opportunities from an index rebalancing trading perspective as well.The first thing to consider is the inclusion of the KOSPI 200. In the rebalancing of last June, the stock price did not meet the market cap threshold due to the share price being drifted sideways for several months. However, in this December's rebalancing, if the current share price uptrend continues, the possibility of inclusion seems quite high.However, we can find trading opportunities in the KRX Autos sector index rebalancing, which takes place ahead of the KOSPI 200 rebalancing in December.As for KRX Autos, KODEX currently manages an ETF that tracks it, and it has recently been showing good returns, resulting in a large inflow of funds. The AUM now amounts to ₩649.0B, which isn't bad for an index containing only 17 constituents.This is a float-adjusted market cap-weighted index with a 20% cap. Rebalancing takes place annually in September. The implementation date is the first trading day of the week following the last trading day for KOSPI 200 futures contracts. So, September 10 will be the implementation date for this year, meaning that we will see rebalancing trading at the close on September 9.





Index summary

Index name
KRX Autos


ETF
Samsung Kodex Autos ETF


Ticker
091180


AUM
₩649.0B


Price
₩23,305


SO
27,850,000


Number of constituents
17


Weight type
Float-adjusted market cap


Cap
20.00%


Rebalancing cycle
Annually


Rebalancing month
September


Announcement date
One week ahead of implementation


Implementation date
The first trading day of the week following the last trading day for KOSPI 200 futures contracts


Next implementation date
September 10, 2021


Rebalancing trading
At the close on September 9, 2021


Screening base date
The last trading day of the month preceding the date of regular rebalancing


Screening period
The three months preceding the screening base date

Source: KRX &amp; KODEX ETF



KRX Autos Rebalancing on September 9: Watch Myoungshin Industrial as a New Add

South Korea

Myoung Shin Industrial Co.,Ltd produces and sells auto parts. The Company provides hot stamping parts designing, manufacturing, sales and other services. Myoung Shin Industrial markets its products throughout Korea

Myoung Shin Industrial Co.,Ltd (009900 KS)

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Myoung Shin Industrial Co.,Ltd (009900 KS)

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Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)