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>ARIRANG K-Defense Industry Fn ETF (449450 KS) shows the fastest AUM/ADV growth among recently listed sector ETFs. It is virtually the only one enjoying the influx of local retail investors.</li>
<li>The increasing trend of ETF AUM, coupled with the growing interest of local retail investors in the defense sector, will likely lead to flow improvement in each constituent.</li>
<li>The passive impact of some stocks in the upcoming rebalancing is expected to expand to 0.4-0.5x ADTV. Notable names in this regard are Hanwha Corporation and SNT Motiv.</li>
</ul>


ARIRANG K-Defense Industry Fn ETF (449450 KS) shows the fastest AUM/ADV growth among recently listed sector ETFs. It is virtually the only one enjoying the influx of local retail investors.
The increasing trend of ETF AUM, coupled with the growing interest of local retail investors in the defense sector, will likely lead to flow improvement in each constituent.
The passive impact of some stocks in the upcoming rebalancing is expected to expand to 0.4-0.5x ADTV. Notable names in this regard are Hanwha Corporation and SNT Motiv.


Introducing ARIRANG K-Defense, Sector ETF Currently in the Limelight in Korea

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

<ul>
<li>There will be 7 additions and 7 deletions 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> at the June rebalance that will be implemented on 9 June.</li>
<li>We got all 7 inclusions right and 5 of the 7 deletions right. The adds have 3-6 days ADV to buy, while the deletes have 4-12 days ADV to sell.</li>
<li>Short interest on the deletions is a significant portion of the estimated passive selling and there could be short covering in the week leading up to implementation of the changes.</li>
</ul>


There will be 7 additions and 7 deletions for the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) at the June rebalance that will be implemented on 9 June.
We got all 7 inclusions right and 5 of the 7 deletions right. The adds have 3-6 days ADV to buy, while the deletes have 4-12 days ADV to sell.
Short interest on the deletions is a significant portion of the estimated passive selling and there could be short covering in the week leading up to implementation of the changes.


<ul>
<li>Poongsan was pushed out of the 110% threshold in the average daily market ranking at the last minute. So, CJ CGV gets to remain in the KOSPI 200.</li>
<li>Additions: <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/meritz-fire-marine-insurance-co-ltd" target="_blank" data-smartkarma-citation="entities:20468:1" rel="noopener">Meritz Fire &amp; Marine (000060 KS)</a>, <a href="https://www.smartkarma.com/entities/sd-biosensor-inc" target="_blank" data-smartkarma-citation="entities:33333:1" rel="noopener">SD Biosensor (137310 KS)</a>, <a href="https://www.smartkarma.com/entities/iljin-hysolus-co-ltd" target="_blank" data-smartkarma-citation="entities:33565:1" rel="noopener">Iljin Hysolus (271940 KS)</a>, <a href="https://www.smartkarma.com/entities/hanil-cement-co-ltd-new" target="_blank" data-smartkarma-citation="entities:27447:1" rel="noopener">Hanil Cement (300720 KS)</a>, <a href="https://www.smartkarma.com/entities/k-car" target="_blank" data-smartkarma-citation="entities:34118:1" rel="noopener">K Car (381970 KS)</a>, <a href="https://www.smartkarma.com/entities/hana-tour-service-inc" target="_blank" data-smartkarma-citation="entities:4852:1" rel="noopener">Hana Tour (039130 KS)</a> </li>
<li>Deletions: <a href="https://www.smartkarma.com/entities/nexen-tire-corp" target="_blank" data-smartkarma-citation="entities:14206:1" rel="noopener">Nexen Tire (002350 KS)</a>, <a href="https://www.smartkarma.com/entities/yungjin-pharmaceutical-co" target="_blank" data-smartkarma-citation="entities:9781:1" rel="noopener">Yungjin Pharmaceutical (003520 KS)</a>, <a href="https://www.smartkarma.com/entities/poongsan-corp" target="_blank" data-smartkarma-citation="entities:16504:1" rel="noopener">Poongsan Corp (103140 KS)</a>, <a href="https://www.smartkarma.com/entities/bukwang-pharmaceutical-co-ltd" target="_blank" data-smartkarma-citation="entities:15076:1" rel="noopener">Bukwang Pharmaceutical (003000 KS)</a>, <a href="https://www.smartkarma.com/entities/sk-discovery-co-ltd" target="_blank" data-smartkarma-citation="entities:5181:1" rel="noopener">SK Discovery (006120 KS)</a>, <a href="https://www.smartkarma.com/entities/s-t-motiv-co-ltd" target="_blank" data-smartkarma-citation="entities:6116:1" rel="noopener">S&amp;T Motiv (064960 KS)</a>, <a href="https://www.smartkarma.com/entities/cuckoo-holdings-co-ltd" target="_blank" data-smartkarma-citation="entities:4231:1" rel="noopener">Cuckoo Holdings (192400 KS)</a>
</li>
</ul>


Poongsan was pushed out of the 110% threshold in the average daily market ranking at the last minute. So, CJ CGV gets to remain in the KOSPI 200.
Additions: F&amp;F (383220 KS), Meritz Fire &amp; Marine (000060 KS), SD Biosensor (137310 KS), Iljin Hysolus (271940 KS), Hanil Cement (300720 KS), K Car (381970 KS), Hana Tour (039130 KS) 
Deletions: Nexen Tire (002350 KS), Yungjin Pharmaceutical (003520 KS), Poongsan Corp (103140 KS), Bukwang Pharmaceutical (003000 KS), SK Discovery (006120 KS), S&amp;T Motiv (064960 KS), Cuckoo Holdings (192400 KS)



KOSPI 200 Rebalancing Last-Minute Change to Deletions: Poongsan Pushed Out for CJ CGV

South Korea

S&T Motiv Co., Ltd. manufactures and markets a variety of automobile parts. The Company's products include motors, suspension modules, fuel rails, air bags, shock absorbers, and transmissions.  S&T Daewoo also produces car televisions, car navigation systems, and alarm systems.

S&T Motiv (064960 KS)

Introducing ARIRANG K-Defense, Sector ETF Currently in the Limelight in Korea

This post introduces the current local sector ETF in the limelight (ARIRANG K-Defense Industry Fn ETF) and looks at potential flow and arbitrage...

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

KOSPI200 Index Rebalance: Se7en Changes

There are 7 changes for the KOSPI 200 at the June rebalance. The impact on the deletions is higher than that on the inclusions, but there are a lot...

Brian Freitas

KOSPI 200 Rebalancing Last-Minute Change to Deletions: Poongsan Pushed Out for CJ CGV

KOSPI 200's upcoming rebalancing sees one last-minute change to the deletions. Poongsan Corp was pushed out by the average market cap ranking....

Sanghyun Park