Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Douglas Research Advisory

Equity Bottom-Up

<ul>
<li>S&amp;P500 is up 27.7% YTD, outperforming KOSPI which is down 6.9% YTD. Global fund flow continues to pour into top quality US stocks such as Palantir, Tesla, and NVIDIA.</li>
<li>The top 20 best performing stocks in KOSPI 200 are up on average 106.8% YTD. However, the remaining 180 stocks in KOSPI 200 are down on average 9.2% YTD. </li>
<li>There is no large Palantir-like company that deals with AI/data analytics in Korea. However, large cap IT services and telcos in Korea are increasingly expanding their AI/data analytics related business.</li>
</ul>


S&amp;P500 is up 27.7% YTD, outperforming KOSPI which is down 6.9% YTD. Global fund flow continues to pour into top quality US stocks such as Palantir, Tesla, and NVIDIA.
The top 20 best performing stocks in KOSPI 200 are up on average 106.8% YTD. However, the remaining 180 stocks in KOSPI 200 are down on average 9.2% YTD. 
There is no large Palantir-like company that deals with AI/data analytics in Korea. However, large cap IT services and telcos in Korea are increasingly expanding their AI/data analytics related business.


A Comparison of KOSPI 200 and S&P 500 Companies Performances in 2024

Event-Driven

<ul>
<li>In this insight, we review the major equity indices in Korea in 2024 including KOSPI 200 and Korea Value Up Index. </li>
<li>Some alpha generating performances continue in terms of adding stocks to be included in the KOSPI 200 and reducing stocks that could be excluded.</li>
<li>Korea Value Up Index has been heavily promoted by the Korean Exchange this year. Korea Exchange plans to make special changes to the Korea Value-Up Index constituents on 20 December. </li>
</ul>


In this insight, we review the major equity indices in Korea in 2024 including KOSPI 200 and Korea Value Up Index. 
Some alpha generating performances continue in terms of adding stocks to be included in the KOSPI 200 and reducing stocks that could be excluded.
Korea Value Up Index has been heavily promoted by the Korean Exchange this year. Korea Exchange plans to make special changes to the Korea Value-Up Index constituents on 20 December. 


A Review of Major Equity Indices in Korea in 2024

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>The review period for the September rebalance of the KOSPI Size Indices commenced on 1 June and will end on 31 August. Only 4 trading days to go.</li>
<li>We see 7 migrations from MidCap to LargeCap, 1 new addition to LargeCap, 12 stocks moving from SmallCap to MidCap and 3 new additions to MidCap.</li>
<li>The upward migrations have underperformed the downward migrations over the last month as a few stocks have sold off hard. Some despite being included in global indices.</li>
</ul>


The review period for the September rebalance of the KOSPI Size Indices commenced on 1 June and will end on 31 August. Only 4 trading days to go.
We see 7 migrations from MidCap to LargeCap, 1 new addition to LargeCap, 12 stocks moving from SmallCap to MidCap and 3 new additions to MidCap.
The upward migrations have underperformed the downward migrations over the last month as a few stocks have sold off hard. Some despite being included in global indices.


KOSPI Size Indices: Momentum Stalls; (Some) Upward Migrations Sell-Off

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.

Index Rebalance

<ul>
<li>The September KOSPI Size Index rebalancing could bring back the typical price impacts seen over the past decade, unlike the March rebalancing.</li>
<li>The previous rebalancing had anomalies due to newly listed stocks in LARGE and a stronger downward trend in LARGE-to-MID transitions, disrupting the expected price impact.</li>
<li>For September's rebalancing, fewer distortions are expected compared to March. The NPS Mid to Small Cap fund, a key influence, shows no significant changes in benchmark or AUM.</li>
</ul>


The September KOSPI Size Index rebalancing could bring back the typical price impacts seen over the past decade, unlike the March rebalancing.
The previous rebalancing had anomalies due to newly listed stocks in LARGE and a stronger downward trend in LARGE-to-MID transitions, disrupting the expected price impact.
For September's rebalancing, fewer distortions are expected compared to March. The NPS Mid to Small Cap fund, a key influence, shows no significant changes in benchmark or AUM.


Examining the September Reshuffle of the KOSPI Size Index Series

<ul>
<li>The review period for the September rebalance ends today, the changes will be announced in the first week of September and implemented at the close of trading on 12 September.</li>
<li>There is at least one change expected for each of the Secondary Battery, Bio, Internet, Game and BBIG indices. </li>
<li>The largest flows will be in <a href="https://www.smartkarma.com/entities/posco-future-m-co-ltd" target="_blank" data-smartkarma-citation="entities:12421:1" rel="noopener">Posco Future M</a>, <a href="https://www.smartkarma.com/entities/ecopro-bm-co-ltd" target="_blank" data-smartkarma-citation="entities:27873:1" rel="noopener">Ecopro BM</a>, <a href="https://www.smartkarma.com/entities/sk-biopharmaceuticals-co-ltd" target="_blank" data-smartkarma-citation="entities:28966:1" rel="noopener">SK Biopharmaceuticals</a>, <a href="https://www.smartkarma.com/entities/alteogen-inc" target="_blank" data-smartkarma-citation="entities:15886:1" rel="noopener">Alteogen</a>, <a href="https://www.smartkarma.com/entities/celltrion-inc-38a560c3-749f-4bd5-8671-c0df9cb659d7" target="_blank" data-smartkarma-citation="entities:26893:1" rel="noopener">Celltrion</a>, <a href="https://www.smartkarma.com/entities/skc-co-ltd" target="_blank" data-smartkarma-citation="entities:3970:1" rel="noopener">SKC Co</a>, <a href="https://www.smartkarma.com/entities/kakao-corp" target="_blank" data-smartkarma-citation="entities:15002:1" rel="noopener">Kakao Corp</a>, <a href="https://www.smartkarma.com/entities/douzone-bizon-co-ltd" target="_blank" data-smartkarma-citation="entities:20161:1" rel="noopener">Douzone Bizon</a>, <a href="https://www.smartkarma.com/entities/krafton-inc" target="_blank" data-smartkarma-citation="entities:28956:1" rel="noopener">Krafton</a> and <a href="https://www.smartkarma.com/entities/samsung-biologics-co-ltd" target="_blank" data-smartkarma-citation="entities:22932:1" rel="noopener">Samsung Biologics</a>.</li>
</ul>


The review period for the September rebalance ends today, the changes will be announced in the first week of September and implemented at the close of trading on 12 September.
There is at least one change expected for each of the Secondary Battery, Bio, Internet, Game and BBIG indices. 
The largest flows will be in Posco Future M, Ecopro BM, SK Biopharmaceuticals, Alteogen, Celltrion, SKC Co, Kakao Corp, Douzone Bizon, Krafton and Samsung Biologics.


KRX New Deal Index Rebalance Preview: Potential Changes as Review Period Ends Today

South Korea

SK IE Technology Co., Ltd operates as a material solution provider. The Company provides information material solutions, electronic materials solutions, and other products. SK IE Technology conducts businesses across worldwide.

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SK IE Technology (361610 KS)

A Comparison of KOSPI 200 and S&P 500 Companies Performances in 2024

There is no large Palantir-like company that deals with AI/data analytics in Korea. However, large cap IT services and telcos in Korea are...

Douglas Kim

A Review of Major Equity Indices in Korea in 2024

We review the major equity indices in Korea in 2024 including KOSPI 200 and Korea Value Up Index. KRX plans to make special changes to the Korea...

Douglas Kim

KOSPI Size Indices: Momentum Stalls; (Some) Upward Migrations Sell-Off

There could be 41 changes to the KOSPI Size Indices in September. The upward migrations have underperformed the downward migrations over the last...

Brian Freitas

Examining the September Reshuffle of the KOSPI Size Index Series

This post examines the potential for flow trading setups targeting the September rebalancing of the KOSPI Size Index Series.

Sanghyun Park

KRX New Deal Index Rebalance Preview: Potential Changes as Review Period Ends Today

We expect at least 1 change for each of the Secondary Battery, Bio, Internet, Game and BBIG indices. Flows are pretty big on some of the stocks and...

Brian Freitas

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