Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Index Rebalance

<ul>
<li>KOSPI 200 is a Korean blue-chip index that tracks the 200 largest and most-liquid names listed in the KOSPI section of the Korea Exchange (KRX).</li>
<li>The reference period for the June 2024 index rebal event ended recently. In this insight, we take a look at our final expected ADDs/DELs.</li>
<li><em>There has been one change to our list of expected ADDs presented in my last insight (<a href="https://www.smartkarma.com/insights/quiddity-leaderboard-kospi-200-jun-24-four-changes-likely" target="_blank" rel="noopener">link</a>).</em></li>
</ul>


KOSPI 200 is a Korean blue-chip index that tracks the 200 largest and most-liquid names listed in the KOSPI section of the Korea Exchange (KRX).
The reference period for the June 2024 index rebal event ended recently. In this insight, we take a look at our final expected ADDs/DELs.
There has been one change to our list of expected ADDs presented in my last insight (link).


Quiddity Leaderboard KOSPI 200 Jun 24: One Last-Minute Change to Rankings

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>Ssangyong C&amp;E will be excluded in June pre-delisting due to the float rate rule. Replacement will be chosen from the highest market cap existing constituents excluded in the June review.</li>
<li>Likely owing to the recent expansion of macro variables in the local market, a clear correlation between results and price impact is not observed even at the screening period's conclusion.</li>
<li>There's a chance of price impact closer to the effective date, suggesting potentially more effective basket trading. However, short instrument absence necessitates using market indices as hedges.</li>
</ul>


Ssangyong C&amp;E will be excluded in June pre-delisting due to the float rate rule. Replacement will be chosen from the highest market cap existing constituents excluded in the June review.
Likely owing to the recent expansion of macro variables in the local market, a clear correlation between results and price impact is not observed even at the screening period's conclusion.
There's a chance of price impact closer to the effective date, suggesting potentially more effective basket trading. However, short instrument absence necessitates using market indices as hedges.


Addressing Areas of Confusion Surrounding the KOSPI 200 June Rebalancing

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>With the review period complete, there could be up to 5 changes for the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX)</a> at the June rebalance.</li>
<li>Hahn&amp;Co now own over 96% of the shares in <a href="https://www.smartkarma.com/entities/ssangyong-cement-industrial-co-ltd" target="_blank" data-smartkarma-citation="entities:9345:1" rel="noopener">Ssangyong Cement Industrial (003410 KS)</a> and there could be another change at or before the June rebalance.</li>
<li>Passive trackers will need to trade between 0.5-15x ADV on the index changes. There are big shorts in <a href="https://www.smartkarma.com/entities/l-f-co-ltd" target="_blank" data-smartkarma-citation="entities:14300:1" rel="noopener">L&amp;F (066970 KS)</a> and <a href="https://www.smartkarma.com/entities/lotte-tour-development-co-ltd" target="_blank" data-smartkarma-citation="entities:5526:1" rel="noopener">Lotte Tour Development Co, Ltd. (032350 KS)</a>. </li>
</ul>


With the review period complete, there could be up to 5 changes for the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) at the June rebalance.
Hahn&amp;Co now own over 96% of the shares in Ssangyong Cement Industrial (003410 KS) and there could be another change at or before the June rebalance.
Passive trackers will need to trade between 0.5-15x ADV on the index changes. There are big shorts in L&amp;F (066970 KS) and Lotte Tour Development Co, Ltd. (032350 KS). 


KOSPI200 Index Rebalance Preview: 5-6 Changes Possible from Now to June

<ul>
<li>KOSPI 200 is a Korean blue-chip index that tracks the 200 largest and most-liquid names listed in the KOSPI section of the Korea Exchange (KRX).</li>
<li>In this insight, we take a look at the names leading the race to become ADDs and DELs during the upcoming semiannual review in June 2024.</li>
<li>We expect up to <em>four</em> changes in the KOSPI 200 index during the June 2024 index rebal event (down from 5 expected last month)  based on the latest available data.</li>
</ul>


KOSPI 200 is a Korean blue-chip index that tracks the 200 largest and most-liquid names listed in the KOSPI section of the Korea Exchange (KRX).
In this insight, we take a look at the names leading the race to become ADDs and DELs during the upcoming semiannual review in June 2024.
We expect up to four changes in the KOSPI 200 index during the June 2024 index rebal event (down from 5 expected last month)  based on the latest available data.


Quiddity Leaderboard KOSPI 200 Jun 24: Four Changes Likely

<ul>
<li>Around 85% of the way through the review period, we see four changes for the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX)</a> at the June rebalance.</li>
<li>The impact on the potential inclusions ranges from 0.4-8 days of ADV while the impact on the potential deletions varies from 1-13 days of ADV.</li>
<li>
<a href="https://www.smartkarma.com/entities/hanmi-semiconductor-co-ltd" target="_blank" data-smartkarma-citation="entities:15587:1" rel="noopener">Hanmi Semiconductor (042700 KS)</a> is up 72% in the last two months following its appearance on the list of potential <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX)</a> inclusions in June.</li>
</ul>


Around 85% of the way through the review period, we see four changes for the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) at the June rebalance.
The impact on the potential inclusions ranges from 0.4-8 days of ADV while the impact on the potential deletions varies from 1-13 days of ADV.

Hanmi Semiconductor (042700 KS) is up 72% in the last two months following its appearance on the list of potential Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) inclusions in June.


KOSPI200 Index Rebalance Preview: Hanmi Semiconductor (042700 KS) Flying High

South Korea

PI Advanced Materials Co., Ltd. manufactures and sells plastics films. The Company produces and sells polyimide films and other products. PI Advanced Materials conducts businesses in South Korea.

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PI Advanced Materials (178920 KS)

Quiddity Leaderboard KOSPI 200 Jun 24: One Last-Minute Change to Rankings

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Travis Lundy

Addressing Areas of Confusion Surrounding the KOSPI 200 June Rebalancing

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Sanghyun Park

KOSPI200 Index Rebalance Preview: 5-6 Changes Possible from Now to June

There could be 5-6 changes for the KOSPI200 from now to June. Watch for the HD Hyundai Marine listing too. Impact is between 5-15x ADV and there...

Brian Freitas

Quiddity Leaderboard KOSPI 200 Jun 24: Four Changes Likely

The June 2024 KOSPI Review has most of the same names on the leaderboard as last month. There are now four expected changes. Still tough to trade.

Travis Lundy

KOSPI200 Index Rebalance Preview: Hanmi Semiconductor (042700 KS) Flying High

There could be 5 changes for the KOSPI200 Index in June. Hanmi Semiconductor is up 72% over the last 2 months following its potential inclusion in...

Brian Freitas

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