Korea / Special Situations, Clepsydra Capital

Sanghyun Park

Korea / Special Situations

Event-Driven

We are now four weeks before the KOSPI 200 rebalancing, December 12, Friday.That is, we are supposed to be at an optimal point to trade.So, I gather trading data (recent passive flow, volatility, price upside, and liquidity) on this rebalancing's additions and deletions.

We are now four weeks before the KOSPI 200 rebalancing, December 12, Friday.That is, we are supposed to be at an optimal point to trade.So, I gather trading data (recent passive flow, volatility, price upside, and liquidity) on this rebalancing's additions and deletions.

KOSPI 200 Rebalancing Trade Data: Recent Passive Flow, Volatility, Upside, & Liquidity

KOSPI 200 December rebalancing is one month from now.The screening is based on the average daily market capitalization and the average daily trading value of an eligible company.Candidates are screened over the six months preceding the screening base date.This time, the screening base date is October 30. So, the calculation period is May 1 to October 30.I checked the 6-month average MC (May 1~October 30) of all the stocks listed on KOSPI.The results are in the DETAIL section.

KOSPI 200 December rebalancing is one month from now.The screening is based on the average daily market capitalization and the average daily trading value of an eligible company.Candidates are screened over the six months preceding the screening base date.This time, the screening base date is October 30. So, the calculation period is May 1 to October 30.I checked the 6-month average MC (May 1~October 30) of all the stocks listed on KOSPI.The results are in the DETAIL section.

KOSPI 200 Reshuffle Final Update: Incoming/Outgoing (8 Each) & Passive In/Outflow Estimates

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Index Rebalance

Shinpoong Pharmaceutical / Index Rebalance

The Korea Exchange (KRX) will announce the results of the December 2020 review of 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> in November. The constituent changes will be effective from the open on 11 December 2020 and the rebalancing trades will need to be done at the closing auction on 10 December 2020.At the current time, we see nine stocks being added to and deleted from the index with another three stocks as very close adds and deletes. There could be an additional change with <a href="https://www.smartkarma.com/entities/big-hit-entertainment" target="_blank" data-smartkarma-citation="entities:28959:1" rel="noopener">Big Hit Entertainment (352820 KS)</a> getting index inclusion as a Fast Entry - this change could be announced ahead of the regular review announcement or as a part of the regular announcement, though the implementation will be at the same time as the December review.The potential inclusions have outperformed the potential exclusions by a wide margin over the last 6 months though the performance has been subdued over the last 2 months. With the short sell ban still in force, we could see the potential inclusions continue to outperform the potential exclusions after this period of consolidation, especially once the announcement of the changes has been made.In the Insight, we look at the expected changes, the impact of the changes on the stocks, the performance of the stocks and the short interest, the behaviour of the inclusions/exclusions at the June review and recommend some trades going forward.

The Korea Exchange (KRX) will announce the results of the December 2020 review of the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) in November. The constituent changes will be effective from the open on 11 December 2020 and the rebalancing trades will need to be done at the closing auction on 10 December 2020.At the current time, we see nine stocks being added to and deleted from the index with another three stocks as very close adds and deletes. There could be an additional change with Big Hit Entertainment (352820 KS) getting index inclusion as a Fast Entry - this change could be announced ahead of the regular review announcement or as a part of the regular announcement, though the implementation will be at the same time as the December review.The potential inclusions have outperformed the potential exclusions by a wide margin over the last 6 months though the performance has been subdued over the last 2 months. With the short sell ban still in force, we could see the potential inclusions continue to outperform the potential exclusions after this period of consolidation, especially once the announcement of the changes has been made.In the Insight, we look at the expected changes, the impact of the changes on the stocks, the performance of the stocks and the short interest, the behaviour of the inclusions/exclusions at the June review and recommend some trades going forward.

KOSPI200 Index Rebalance Preview: Review Period Nearly Complete, Nine (Or Ten) Possible Changes

KOSPI 200 biannual rebalancing is coming. This year, it will be December 11, 2020.It will be the first time that the KRX does a KOSPI 200 rebalancing biannually in December.Due to the current market condition (high fluctuations), we will likely see a higher number of changes than usual.<table class="table table-striped">
<colgroup>
<col width="200">
<col width="200">
</colgroup>
<tbody>
<tr><td colspan="2" rowspan="1" data-sheets-value='{"1":2,"2":"Status"}'>Status</td></tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Index"}'>Index</td>
<td style="text-align: right;" data-sheets-formula='=googlefinance(R[1]C[0], "name")' data-sheets-numberformat='{"1":5,"2":"mmmm d, yyyy","3":1}' data-sheets-value='{"1":2,"2":"KOSPI 200 Index"}'>KOSPI 200 Index</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Ticker"}'>Ticker</td>
<td style="text-align: right;" data-sheets-formula='="KRX:KOSPI200"' data-sheets-numberformat='{"1":5,"2":"mmmm d, yyyy","3":1}' data-sheets-value='{"1":2,"2":"KRX:KOSPI200"}'>KOSPI200</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Date"}'>Date</td>
<td style="text-align: right;" data-sheets-numberformat='{"1":5,"2":"mmmm d, yyyy","3":1}' data-sheets-value='{"1":3,"3":44099}'>September 25, 2020</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Rebalancing"}'>Rebalancing</td>
<td style="text-align: right;" data-sheets-numberformat='{"1":2,"2":"#,##0"}' data-sheets-value='{"1":2,"2":"Biannually"}'>Biannually</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":" - Effective date"}'>- Effective date</td>
<td style="text-align: right;" data-sheets-numberformat='{"1":2,"2":"#,##0"}' data-sheets-value='{"1":2,"2":"Next trading day of 2nd Thursday of June &amp; December"}'>Next trading day of 2nd Thursday of June &amp; December</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":" - June"}'>- June</td>
<td style="text-align: right;" data-sheets-numberformat='{"1":5,"2":"mmmm d, yyyy","3":1}' data-sheets-value='{"1":3,"3":43994}'>June 12, 2020</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":" - December"}'>- December</td>
<td style="text-align: right;" data-sheets-numberformat='{"1":5,"2":"mmmm d, yyyy","3":1}' data-sheets-value='{"1":3,"3":44176}'>December 11, 2020</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Number of constituents"}'>Number of constituents</td>
<td style="text-align: right;" data-sheets-numberformat='{"1":2,"2":"#,##0"}' data-sheets-value='{"1":3,"3":200}'>200</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Est. total mirroring funds"}'>Est. total mirroring funds</td>
<td style="text-align: right;" data-sheets-numberformat='{"1":2,"2":"#,##0.0"}' data-sheets-value='{"1":3,"3":60000}'>60,000.0</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Total float MC"}'>Total float MC</td>
<td style="text-align: right;" data-sheets-numberformat='{"1":2,"2":"#,##0.0"}' data-sheets-value='{"1":3,"3":884235.718}'>884,235.7</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":" - Average"}'>- Average</td>
<td style="text-align: right;" data-sheets-numberformat='{"1":2,"2":"#,##0.0"}' data-sheets-value='{"1":3,"3":4421.179}'>4,421.2</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":" - Highest"}'>- Highest</td>
<td style="text-align: right;" data-sheets-numberformat='{"1":2,"2":"#,##0.0"}' data-sheets-value='{"1":3,"3":273063.808}'>273,063.8</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":" - Lowest"}'>- Lowest</td>
<td style="text-align: right;" data-sheets-numberformat='{"1":2,"2":"#,##0.0"}' data-sheets-value='{"1":3,"3":62.926}'>62.9</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":" - Median"}'>- Median</td>
<td style="text-align: right;" data-sheets-numberformat='{"1":2,"2":"#,##0.0"}' data-sheets-value='{"1":3,"3":1023.081}'>1,023.1</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":" - Top 10 largest"}'>- Top 10 largest</td>
<td style="text-align: right;" data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-value='{"1":3,"3":0.5753}'>57.53%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Current"}'>Current</td>
<td style="text-align: right;" data-sheets-formula='=googlefinance(R[-14]C[0], "price")' data-sheets-numberformat='{"1":2,"2":"#,##0.00","3":1}' data-sheets-value='{"1":3,"3":303.57}'>303.57</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"52W high (September 15, 2020)"}'>52W high (September 15, 2020)</td>
<td style="text-align: right;" data-sheets-numberformat='{"1":2,"2":"#,##0.00","3":1}' data-sheets-value='{"1":3,"3":323.36}'>323.36</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"52W low (March 19, 2020)"}'>52W low (March 19, 2020)</td>
<td style="text-align: right;" data-sheets-numberformat='{"1":2,"2":"#,##0.00","3":1}' data-sheets-value='{"1":3,"3":199.28}'>199.28</td>
</tr>
<tr><td colspan="2" rowspan="1" data-sheets-value='{"1":2,"2":"Source: KRX"}'>Source: KRX</td></tr>
</tbody>
</table>

KOSPI 200 biannual rebalancing is coming. This year, it will be December 11, 2020.It will be the first time that the KRX does a KOSPI 200 rebalancing biannually in December.Due to the current market condition (high fluctuations), we will likely see a higher number of changes than usual.





Status

Index
KOSPI 200 Index


Ticker
KOSPI200


Date
September 25, 2020


Rebalancing
Biannually


- Effective date
Next trading day of 2nd Thursday of June &amp; December


- June
June 12, 2020


- December
December 11, 2020


Number of constituents
200


Est. total mirroring funds
60,000.0


Total float MC
884,235.7


- Average
4,421.2


- Highest
273,063.8


- Lowest
62.9


- Median
1,023.1


- Top 10 largest
57.53%


Current
303.57


52W high (September 15, 2020)
323.36


52W low (March 19, 2020)
199.28

Source: KRX



KOSPI 200 Rebalancing Projection: Safe Bets & Those in Grey Area

The Korea Exchange (KRX) will announce the results of the December 2020 review of 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> in November. The constituent changes will be effective from 11 December 2020 and the rebalancing trades will need to be done at the closing auction on 10 December 2020.At the current time, we see nine stocks being added to and deleted from the index with another three stocks as very close adds and deletes. This takes into the account the inclusion of <a href="https://www.smartkarma.com/entities/sk-biopharmaceuticals-co-ltd" target="_blank" data-smartkarma-citation="entities:28966:1" rel="noopener">SK Biopharmaceuticals (326030 KS)</a> as a Fast Entry into the index and exclusion of <a href="https://www.smartkarma.com/entities/kiswire-ltd" target="_blank" data-smartkarma-citation="entities:2093:1" rel="noopener">Kiswire Ltd (002240 KS)</a> on 10 September.The expected inclusions have outperformed the expected exclusions, and 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>, by a wide margin over the last 4 months. If the short sell ban expires on 15 September, stocks that have seen a sharp run up could be vulnerable to profit taking and short selling. Reduce existing positions over the next couple of weeks as we near the decision point on whether the short sell ban will stay in place or will be extended.

The Korea Exchange (KRX) will announce the results of the December 2020 review of the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) in November. The constituent changes will be effective from 11 December 2020 and the rebalancing trades will need to be done at the closing auction on 10 December 2020.At the current time, we see nine stocks being added to and deleted from the index with another three stocks as very close adds and deletes. This takes into the account the inclusion of SK Biopharmaceuticals (326030 KS) as a Fast Entry into the index and exclusion of Kiswire Ltd (002240 KS) on 10 September.The expected inclusions have outperformed the expected exclusions, and the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX), by a wide margin over the last 4 months. If the short sell ban expires on 15 September, stocks that have seen a sharp run up could be vulnerable to profit taking and short selling. Reduce existing positions over the next couple of weeks as we near the decision point on whether the short sell ban will stay in place or will be extended.

KOSPI200 Index Rebalance Preview: Adds Outperform Deletes; Short Sell Ban The Wildcard

South Korea

Zinus Inc. wholesales and distributes household furniture. The Company wholesales and distributes bed frames, sofas, platform beds, mattresses, and other related products. Zinus markets its products worldwide.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Zinus (013890 KS)

KOSPI 200 Rebalancing Trade Data: Recent Passive Flow, Volatility, Upside, & Liquidity

We are now four weeks before the KOSPI 200 rebalancing. This insight has trading data (recent passive flow, volatility, price upside, and...

Sanghyun Park

KOSPI 200 Reshuffle Final Update: Incoming/Outgoing (8 Each) & Passive In/Outflow Estimates

KOSPI 200's screening period is May 1 to October 30. So, I checked the 6M average MC of all the stocks listed on KOSPI. Here are the results with...

Sanghyun Park

KOSPI200 Index Rebalance Preview: Review Period Nearly Complete, Nine (Or Ten) Possible Changes

The KOSPI200 index review will be announced in the next 4 weeks. We see 9 inclusions/ exclusions and significant volume to sell on the deletions....

Brian Freitas

KOSPI 200 Rebalancing Projection: Safe Bets & Those in Grey Area

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Sanghyun Park

KOSPI200 Index Rebalance Preview: Adds Outperform Deletes; Short Sell Ban The Wildcard

The Korea Exchange (KRX) will announce the results of the December 2020 review of the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) in...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)