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>NICE I&amp;S will likely complete the transfer schedule in early May, meaning that an ad-hoc change may occur before the regular rebalancing of the KOSDAQ 150 in June.</li>
<li>If this gets completed before SK Oceanplant's transfer listing schedule, the top reserved issue in NICE's GICS sector (INDUSTRIALS) will be included. It is Sun Kwang (003100 KS).</li>
<li>As evidenced in the case of LX Semicon, we should set up a preemptive position for potential ADDITION at the time of the T or T-1 KRX corporate action announcement.</li>
</ul>


NICE I&amp;S will likely complete the transfer schedule in early May, meaning that an ad-hoc change may occur before the regular rebalancing of the KOSDAQ 150 in June.
If this gets completed before SK Oceanplant's transfer listing schedule, the top reserved issue in NICE's GICS sector (INDUSTRIALS) will be included. It is Sun Kwang (003100 KS).
As evidenced in the case of LX Semicon, we should set up a preemptive position for potential ADDITION at the time of the T or T-1 KRX corporate action announcement.


Target & Timing for Flow Trading Position Setup in NICE I&S KOSPI Transfer Event

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>With the review period complete, we see 11 potential changes to the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index (KOSDQ150 INDEX)</a> at the December rebalance.</li>
<li>Most of the potential changes are high probability ones, but there are some stocks that are very close to market cap and liquidity cutoffs.</li>
<li>The impact of passive trading will be much higher on the potential deletes as compared to the potential inclusions, though trade notionals are higher for the potential adds.</li>
</ul>


With the review period complete, we see 11 potential changes to the KOSDAQ 150 Index (KOSDQ150 INDEX) at the December rebalance.
Most of the potential changes are high probability ones, but there are some stocks that are very close to market cap and liquidity cutoffs.
The impact of passive trading will be much higher on the potential deletes as compared to the potential inclusions, though trade notionals are higher for the potential adds.


KOSDAQ150 Index Rebalance Preview: Big Churn in IT, Healthcare Stocks

<ul>
<li>
<a href="https://www.smartkarma.com/entities/lx-semicon-co-ltd" target="_blank" data-smartkarma-citation="entities:20670:1" rel="noopener">LX Semicon (108320 KS)</a> will be traded on KOSPI from November 3rd. This event has no trade suspension. So, it will be traded on KOSDAQ until November 2nd.</li>
<li>
<a href="https://www.smartkarma.com/entities/nextin-inc" target="_blank" data-smartkarma-citation="entities:36097:1" rel="noopener">Nextin (348210 KS)</a> will replace LX Semicon for KOSDAQ 150. Again, the effective date is November 3rd. So, the index trackers will rebalance-trade at the close on November 2nd.</li>
<li>LX Semicon will see an outflow of -1.91x ADTV, whereas Nextin will enjoy an inflow of 3.93x ADTV. This Special Change will likely save <a href="https://www.smartkarma.com/entities/aptabio-therapeutics-inc" target="_blank" data-smartkarma-citation="entities:34894:1" rel="noopener">AptaBio Therapeutics (293780 KS)</a> from deletion.</li>
</ul>



LX Semicon (108320 KS) will be traded on KOSPI from November 3rd. This event has no trade suspension. So, it will be traded on KOSDAQ until November 2nd.

Nextin (348210 KS) will replace LX Semicon for KOSDAQ 150. Again, the effective date is November 3rd. So, the index trackers will rebalance-trade at the close on November 2nd.
LX Semicon will see an outflow of -1.91x ADTV, whereas Nextin will enjoy an inflow of 3.93x ADTV. This Special Change will likely save AptaBio Therapeutics (293780 KS) from deletion.


LX Semicon KOSPI Migration & KOSDAQ 150 Special Change

<ul>
<li>Following its planned section transfer, <a href="https://www.smartkarma.com/entities/lx-semicon-co-ltd" target="_blank" data-smartkarma-citation="entities:20670:1" rel="noopener">LX Semicon (108320 KS)</a> will be deleted from the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index</a> at the close on 2 November and replaced by <a href="https://www.smartkarma.com/entities/nextin-inc" target="_blank" data-smartkarma-citation="entities:36097:1" rel="noopener">Nextin (348210 KS)</a>.</li>
<li>Passive trackers will need to buy over 4.5 days of ADV on <a href="https://www.smartkarma.com/entities/nextin-inc" target="_blank" data-smartkarma-citation="entities:36097:1" rel="noopener">Nextin (348210 KS)</a> and sell over 1.5 days of ADV on <a href="https://www.smartkarma.com/entities/lx-semicon-co-ltd" target="_blank" data-smartkarma-citation="entities:20670:1" rel="noopener">LX Semicon (108320 KS)</a>. </li>
<li>Belonging to the Information Technology sector, there is zero chance of <a href="https://www.smartkarma.com/entities/lx-semicon-co-ltd" target="_blank" data-smartkarma-citation="entities:20670:1" rel="noopener">LX Semicon (108320 KS)</a> being added 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>.</li>
</ul>


Following its planned section transfer, LX Semicon (108320 KS) will be deleted from the KOSDAQ 150 Index at the close on 2 November and replaced by Nextin (348210 KS).
Passive trackers will need to buy over 4.5 days of ADV on Nextin (348210 KS) and sell over 1.5 days of ADV on LX Semicon (108320 KS). 
Belonging to the Information Technology sector, there is zero chance of LX Semicon (108320 KS) being added to the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX).


KOSDAQ150 Ad Hoc Index Rebalance: LX Semicon OUT, Nextin IN

<ul>
<li>With 85% of the review period complete, we see 10 potential changes to the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index (KOSDQ150 INDEX)</a> at the December rebalance.</li>
<li>There are a few stocks that are close adds/deletes on market cap and liquidity and could make it into the final list depending on price/volume over the next few weeks.</li>
<li>The potential adds have outperformed the potential deletes over the last month and pre-positioning could continue till the end of the review period.</li>
</ul>


With 85% of the review period complete, we see 10 potential changes to the KOSDAQ 150 Index (KOSDQ150 INDEX) at the December rebalance.
There are a few stocks that are close adds/deletes on market cap and liquidity and could make it into the final list depending on price/volume over the next few weeks.
The potential adds have outperformed the potential deletes over the last month and pre-positioning could continue till the end of the review period.


KOSDAQ150 Index Rebalance Preview: Moving in the Right Direction

South Korea

NEXTIN, Inc. manufactures and distributes semiconductor devices. The Company produces process defect detection equipment, cube scan equipment, and other related products. NEXTIN markets its products worldwide.

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Nextin (348210 KS)

Target & Timing for Flow Trading Position Setup in NICE I&S KOSPI Transfer Event

This post offers a detailed guide about the target and timing of a flow trading position setup in NICE Information Service's KOSPI transfer listing...

Sanghyun Park

KOSDAQ150 Index Rebalance Preview: Big Churn in IT, Healthcare Stocks

There could be 11 changes at the Dec rebalance. Most changes are high probability and will result in a big churn in the IT & Healthcare sectors....

Brian Freitas

LX Semicon KOSPI Migration & KOSDAQ 150 Special Change

This post details LX Semicon's KOSPI migration and the KOSDAQ 150 Special Change, both of which are effective November 3rd.

Sanghyun Park

KOSDAQ150 Ad Hoc Index Rebalance: LX Semicon OUT, Nextin IN

Nextin will replace LX Semicon in the KOSDAQ150 Index at the close on 2 Nov. Passives need to buy over 4.5x ADV on Nextin and sell over 1.5x ADV on...

Brian Freitas

KOSDAQ150 Index Rebalance Preview: Moving in the Right Direction

There could be 10 changes to the KOSDAQ150 Index in December. There are a few stocks that are close adds/deletes. The potential adds have...

Brian Freitas

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