Korea / Special Sits, Pairs, Index Rebalancing, Clepsydra Capital

Sanghyun Park

I investigate special situations, pairs, and index rebalancing trades in Korea.

Korea / Special Sits, Pairs, Index Rebalancing

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Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

Event-Driven

<p>Below is KOSPI 200's screening methodology for the regular bi-annual rebalancing. The rebalancing trading will occur at the close on <strong>December 9</strong>, and the review period is <strong>May 1 to October 31</strong>. We will likely hear the rebalancing results in late November.</p><table class="table table-striped">
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<col width="800">
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<tbody>
<tr><td colspan="2" data-sheets-value='{"1":2,"2":"Status (₩B)"}'>KOSPI 200 bi-annual rebalancing</td></tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Rebalancing"}'>Rebalancing</td>
<td data-sheets-value='{"1":2,"2":"Biannually"}' data-sheets-numberformat='{"1":2,"2":"#,##0"}'>Biannually</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":" - Effective date"}'>- Effective date</td>
<td data-sheets-value='{"1":2,"2":"Next trading day of 2nd Thursday of June &amp; December"}' data-sheets-numberformat='{"1":2,"2":"#,##0"}'>Next trading day of 2nd Thursday of June &amp; December</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":" - December"}'>- Implementation</td>
<td data-sheets-value='{"1":3,"3":44540}' data-sheets-numberformat='{"1":5,"2":"mmmm d, yyyy","3":1}'>December 10, 2021</td>
</tr>
<tr>
<td><strong>- Rebalancing trading</strong></td>
<td><strong>December 9, 2021</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":" - Review period"}'><strong>- Review period</strong></td>
<td data-sheets-value='{"1":2,"2":"May 1 to October 31, 2021"}'><strong>May 1 to October 31, 2021</strong></td>
</tr>
<tr>
<td rowspan="6" data-sheets-value='{"1":2,"2":"Screening"}'><div><strong>Screening</strong></div></td>
<td rowspan="6" data-sheets-value='{"1":2,"2":"Select candidates for each sector in order by the cumulative average daily market cap (the cumulative cut-off at the 15th percentile). Include the first company that crosses the 15th percentile mark. Exclude those whose cumulative average daily trading value is below the 15th percentile. Also, exclude those new entrants whose average daily market cap ranking is above 110%. If not reach a full 200 members in the first and second screenings, then re-select the current constituents whose average daily market cap ranking is within 110%. Select additional names among the unselected current constituents by the average daily market cap regardless of classification."}' data-sheets-numberformat='{"1":2,"2":"#,##0"}'><ul>
<li><strong>Select candidates for each sector in order by the cumulative average daily market cap (the cumulative cut-off at the 15th percentile).</strong></li>
<li><strong>Include the first company that crosses the 15th percentile mark. Exclude those whose cumulative average daily trading value is below the 15th percentile.</strong></li>
<li><strong>Also, exclude those new entrants whose average daily market cap ranking is above 110%.</strong></li>
<li><strong>If not reach 200 members in the first and second screenings, then re-select the current constituents whose average daily market cap ranking is within 110%.</strong></li>
<li><strong>Select additional names among the unselected current constituents by the average daily market cap regardless of classification.</strong></li>
</ul></td>
</tr>
<tr></tr>
<tr></tr>
<tr></tr>
<tr></tr>
<tr></tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Total float MC (₩B)"}'>Total float MC (₩B)</td>
<td data-sheets-value='{"1":3,"3":1247667.684}' data-sheets-numberformat='{"1":2,"2":"#,##0.0"}'>1,247,667.7</td>
</tr>
<tr><td colspan="2" data-sheets-value='{"1":2,"2":"Source: KRX"}'>Source: KRX</td></tr>
</tbody>
</table><section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/231/157/original/1.png?1632295209" class="editor-image img-responsive" data-smartkarma-image-id="231157"></figure></section>

Below is KOSPI 200's screening methodology for the regular bi-annual rebalancing. The rebalancing trading will occur at the close on December 9, and the review period is May 1 to October 31. We will likely hear the rebalancing results in late November.





KOSPI 200 bi-annual rebalancing

Rebalancing
Biannually


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


- Implementation
December 10, 2021


- Rebalancing trading
December 9, 2021


- Review period
May 1 to October 31, 2021


Screening

Select candidates for each sector in order by the cumulative average daily market cap (the cumulative cut-off at the 15th percentile).
Include the first company that crosses the 15th percentile mark. Exclude those whose cumulative average daily trading value is below the 15th percentile.
Also, exclude those new entrants whose average daily market cap ranking is above 110%.
If not reach 200 members in the first and second screenings, then re-select the current constituents whose average daily market cap ranking is within 110%.
Select additional names among the unselected current constituents by the average daily market cap regardless of classification.








Total float MC (₩B)
1,247,667.7

Source: KRX



Myoung Shin Industrial Co.,Ltd (009900 KS)

KOSPI 200 Bi-Annual Rebalancing Preview (December 9)

F&F

KOSPI 200 Bi-Annual Rebalancing Preview (December 9)