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>KOSDAQ stocks are expected to make up 10-15% of the Value-Up Index, with 10-15 names benefiting. Even with smaller passive funds, the impact on these stocks could be significant.</li>
<li>KOSDAQ Global Index criteria overlap with the Value-Up Index, and KRX’s push suggests many KOSDAQ Global stocks will also appear in the Value-Up Index.</li>
<li>In the past 30 days, the KOSDAQ Global Index dropped 5.14%, but 5 of the top 10 gainers either announced value-ups or received value-up picks from brokers.</li>
</ul>


KOSDAQ stocks are expected to make up 10-15% of the Value-Up Index, with 10-15 names benefiting. Even with smaller passive funds, the impact on these stocks could be significant.
KOSDAQ Global Index criteria overlap with the Value-Up Index, and KRX’s push suggests many KOSDAQ Global stocks will also appear in the Value-Up Index.
In the past 30 days, the KOSDAQ Global Index dropped 5.14%, but 5 of the top 10 gainers either announced value-ups or received value-up picks from brokers.


Korea Value-Up Index Drops on the 24th: Hunt for the Winners in the KOSDAQ Global Index

Index Rebalance

<ul>
<li>KRX announced KOSDAQ Global rebalancing. Annually in June, effective date follows June options expiry. Passive flow trading on Thursday, the 13th. 49 companies designated, with nine excluded and eleven added.</li>
<li>Predicting passive capital movement is challenging, but attention must be given to price impacts because reshuffle predictability is low, lacking preemptive trading setups.</li>
<li>We must anticipate the SSF reshuffle in August, likely including new KOSDAQ Global constituents. KRX plans to list SSFs for all remaining constituents, potentially advancing setup timing for price increases.</li>
</ul>


KRX announced KOSDAQ Global rebalancing. Annually in June, effective date follows June options expiry. Passive flow trading on Thursday, the 13th. 49 companies designated, with nine excluded and eleven added.
Predicting passive capital movement is challenging, but attention must be given to price impacts because reshuffle predictability is low, lacking preemptive trading setups.
We must anticipate the SSF reshuffle in August, likely including new KOSDAQ Global constituents. KRX plans to list SSFs for all remaining constituents, potentially advancing setup timing for price increases.


KOSDAQ Global Rebalancing This Week: Trading Considerations

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

<ul>
<li>In this insight, we discuss a list of 60 stocks in Korea where NPS recently added or reduced 1% or more stake (27 adds and 33 reduce). </li>
<li>Among the stocks NPS increased its stake, many of them are clear beneficiaries of the end of zero COVID policies in China including Hotel Shilla, Amorepacific Corp, and GKL. </li>
<li>Among the top market cap stocks where the NPS decreased its stake by 1% or more, they include Lg Innotek, Hyundai E&amp;C, Hyundai Mipo, and Posco International. </li>
</ul>


In this insight, we discuss a list of 60 stocks in Korea where NPS recently added or reduced 1% or more stake (27 adds and 33 reduce). 
Among the stocks NPS increased its stake, many of them are clear beneficiaries of the end of zero COVID policies in China including Hotel Shilla, Amorepacific Corp, and GKL. 
Among the top market cap stocks where the NPS decreased its stake by 1% or more, they include Lg Innotek, Hyundai E&amp;C, Hyundai Mipo, and Posco International. 


<ul>
<li>Compared to the tightly crowded KOSPI 200, the sector ETFs' rebalancing flow trading appears relatively less crowded, which led to a significantly higher flow/price correlation on the rebalancing day.</li>
<li>The KRX now delivers the rebalancing results of the KRX Sector &amp; K-New Deal Indexes only to paying customers. This can increase the profit effect of acquiring prior information.</li>
<li>So, safe play, which builds up a position from the time this information is acquired, rather than an aggressive preemptive position build-up, can still obtain a sufficient level of juice.</li>
</ul>


Compared to the tightly crowded KOSPI 200, the sector ETFs' rebalancing flow trading appears relatively less crowded, which led to a significantly higher flow/price correlation on the rebalancing day.
The KRX now delivers the rebalancing results of the KRX Sector &amp; K-New Deal Indexes only to paying customers. This can increase the profit effect of acquiring prior information.
So, safe play, which builds up a position from the time this information is acquired, rather than an aggressive preemptive position build-up, can still obtain a sufficient level of juice.


Backtesting Implications: Korea Sector ETFs Rebalancing on the 8th

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 KRX announced the changes to the KRX New Deal indices post market close on Friday. But the changes were not made public and are only available to subscribers.</li>
<li>
<a href="https://www.smartkarma.com/entities/intellian-technologies-inc" target="_blank" data-smartkarma-citation="entities:34895:1" rel="noopener">Intellian Technologies (189300)</a> and <a href="https://www.smartkarma.com/entities/seojin-system-co-ltd" target="_blank" data-smartkarma-citation="entities:24032:1" rel="noopener">Seojin System (178320)</a> replace <a href="https://www.smartkarma.com/entities/danal-co-ltd" target="_blank" data-smartkarma-citation="entities:19682:1" rel="noopener">Danal (064260)</a> and <a href="https://www.smartkarma.com/entities/kcp-co-ltd" target="_blank" data-smartkarma-citation="entities:16045:1" rel="noopener">Kcp (060250)</a> in the Internet Index, while <a href="https://www.smartkarma.com/entities/kmw-co-ltd" target="_blank" data-smartkarma-citation="entities:2834:1" rel="noopener">KMW Co Ltd (032500 KS)</a> replaces <a href="https://www.smartkarma.com/entities/afreecatv-co-ltd" target="_blank" data-smartkarma-citation="entities:20163:1" rel="noopener">AfreecaTV (067160 KS)</a> in BBIG.</li>
<li>Since we published our last forecast on 21 July, <a href="https://www.smartkarma.com/entities/kmw-co-ltd" target="_blank" data-smartkarma-citation="entities:2834:1" rel="noopener">KMW Co Ltd (032500 KS)</a> is up 12% while <a href="https://www.smartkarma.com/entities/afreecatv-co-ltd" target="_blank" data-smartkarma-citation="entities:20163:1" rel="noopener">AfreecaTV (067160 KS)</a> has dropped 17%.</li>
</ul>


The KRX announced the changes to the KRX New Deal indices post market close on Friday. But the changes were not made public and are only available to subscribers.

Intellian Technologies (189300) and Seojin System (178320) replace Danal (064260) and Kcp (060250) in the Internet Index, while KMW Co Ltd (032500 KS) replaces AfreecaTV (067160 KS) in BBIG.
Since we published our last forecast on 21 July, KMW Co Ltd (032500 KS) is up 12% while AfreecaTV (067160 KS) has dropped 17%.


KRX New Deal Index Rebalance: All Forecasts Right as KMW Soars and AfreecaTV Drops

South Korea

Soop Co., Ltd. offers new media platform services. The Company provides digital media storage, streaming, downloading, video on demand, advertising services, and other services. Soop offers services in South Korea.

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Soop (067160 KS)

Korea Value-Up Index Drops on the 24th: Hunt for the Winners in the KOSDAQ Global Index

This post finds beneficiaries within the KOSDAQ Global Index as the Korea Value-Up Index details, including the constituents, will be released on...

Sanghyun Park

KOSDAQ Global Rebalancing This Week: Trading Considerations

This post outlines today's announcement of the KOSDAQ Global Index rebalancing results and explores trading implications.

Sanghyun Park

What Is NPS Buying & Selling?

In this insight, we discuss a list of 60 stocks in Korea where NPS recently added or reduced 1% or more stake (27 adds and 33 reduce).

Douglas Kim

Backtesting Implications: Korea Sector ETFs Rebalancing on the 8th

This post backtests the flow trading performance for the rebalancings of Korea's sector ETFs on the 8th and discusses unique patterns and...

Sanghyun Park

KRX New Deal Index Rebalance: All Forecasts Right as KMW Soars and AfreecaTV Drops

There is one change to the Game & BBIG index and two changes to the Internet index. KMW has the largest passive inflow and impact while AfreecaTV...

Brian Freitas

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