Korea / Special Sits, Pairs, Index Rebalancing, Clepsydra Capital

Sanghyun Park

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

Event-Driven

<ul>
<li>At the current stage, with the three-month review period almost complete, there will likely be two additions and two deletions: </li>
<li>Additions: KG Mobility (003620 KS) &amp; Nexen Tire Corp (002350 KS) Deletions: Sebang Global Battery (004490 KS) &amp; Kumho HT Inc (214330 KS)</li>
<li>In the past few years, KRX Autos has shown a significant price impact for constituent changes on the rebalancing trading day. This pattern will likely repeat in the upcoming rebalancing.</li>
</ul>


At the current stage, with the three-month review period almost complete, there will likely be two additions and two deletions: 
Additions: KG Mobility (003620 KS) &amp; Nexen Tire Corp (002350 KS) Deletions: Sebang Global Battery (004490 KS) &amp; Kumho HT Inc (214330 KS)
In the past few years, KRX Autos has shown a significant price impact for constituent changes on the rebalancing trading day. This pattern will likely repeat in the upcoming rebalancing.


KRX Autos Sept Rebalancing: Less Known, Still Juicy Trading Event with 4 Constituent Changes

<ul>
<li>The most noteworthy developments include Samsung Electronics being newly added to the Semicon sector, while SK Square has been removed.</li>
<li>We must be mindful of the potential concentration of shorting flow on SK Square as most names expected to experience negative flows do not fall under the KS200/KQ150 membership.</li>
<li>Our strategic approach can take three directions: 1. aim at only those receiving positive flows, 2. heavy shorting SK Square, and 3. long-short the four with the most flow size.</li>
</ul>


The most noteworthy developments include Samsung Electronics being newly added to the Semicon sector, while SK Square has been removed.
We must be mindful of the potential concentration of shorting flow on SK Square as most names expected to experience negative flows do not fall under the KS200/KQ150 membership.
Our strategic approach can take three directions: 1. aim at only those receiving positive flows, 2. heavy shorting SK Square, and 3. long-short the four with the most flow size.


KRX Sector Index Series Rebalancing: Heavy Shorting on SK Square Is Anticipated

<ul>
<li>The ETF operator's room to play around in index weighting is relatively minimal. Rebalancing is completed in one trading day. So, the actual passive impact was more intense and substantial.</li>
<li>The rebalancing result based on the average float-adjusted MC from May 2 to yesterday: Additions <strong>Iljin Hysolus, Halla Holdings, &amp; DTR Automotive</strong> / Deletions <strong>Nexen Tire, Kumho HT, &amp; Seoyon</strong>
</li>
<li>Their estimated passive impact is more significant than that of the previous rebalancing. It is substantial enough to consider a preemptive position build-up for them.</li>
</ul>


The ETF operator's room to play around in index weighting is relatively minimal. Rebalancing is completed in one trading day. So, the actual passive impact was more intense and substantial.
The rebalancing result based on the average float-adjusted MC from May 2 to yesterday: Additions Iljin Hysolus, Halla Holdings, &amp; DTR Automotive / Deletions Nexen Tire, Kumho HT, &amp; Seoyon

Their estimated passive impact is more significant than that of the previous rebalancing. It is substantial enough to consider a preemptive position build-up for them.


KRX Autos (KODEX ETF) Rebalancing: Watch Iljin HySolus, Halla Holdings, & DTR Automotive

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 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

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

<ul>
<li>Korea Exchange announced the additions and deletions to KOSPI200 today.</li>
<li>There were no major surprises with regards to the additions and deletions.</li>
<li>SK Discovery is a potential buy candidate and Hana Tour Service is a potential sell candidate post the announcement of KOSPI200 additions and deletions.</li>
</ul>


Korea Exchange announced the additions and deletions to KOSPI200 today.
There were no major surprises with regards to the additions and deletions.
SK Discovery is a potential buy candidate and Hana Tour Service is a potential sell candidate post the announcement of KOSPI200 additions and deletions.


Additions & Deletions to KOSPI 200 and Trading Strategies Post Announcement

South Korea

Nexen Tire Corporation manufactures, markets, and exports tires and inner tubes for automobiles, industrial and agricultural machinery, and construction equipment.

Nexen Tire Corp (002350 KS)

KRX Autos Sept Rebalancing: Less Known, Still Juicy Trading Event with 4 Constituent Changes

The following are the September rebalancing results of KRX Autos with their respective estimated passive flow x ADTV, which will occur on Sept...

Sanghyun Park

KRX Sector Index Series Rebalancing: Heavy Shorting on SK Square Is Anticipated

This post highlights KRX Sector Index Series rebalancing and explores three trading approaches, with a focus on SK Square, ahead of the September...

Sanghyun Park

KRX Autos (KODEX ETF) Rebalancing: Watch Iljin HySolus, Halla Holdings, & DTR Automotive

We are midway through the KRX Autos rebalancing screening period. The results at the last close are Iljin HySolus, Halla Holdings, & DTR Auto...

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

Additions & Deletions to KOSPI 200 and Trading Strategies Post Announcement

SK Discovery is a potential buy candidate and Hana Tour Service is a potential sell candidate post the announcement of KOSPI200 additions and...

Douglas Kim