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>The ETF operator's room to play around in index weighting is relatively minimal. Rebalancing is completed in one trading day. So, the actual passive impact was more intense and substantial.</li>
<li>The rebalancing result based on the average float-adjusted MC from May 2 to yesterday: Additions <strong>Iljin Hysolus, Halla Holdings, &amp; DTR Automotive</strong> / Deletions <strong>Nexen Tire, Kumho HT, &amp; Seoyon</strong>
</li>
<li>Their estimated passive impact is more significant than that of the previous rebalancing. It is substantial enough to consider a preemptive position build-up for them.</li>
</ul>


The ETF operator's room to play around in index weighting is relatively minimal. Rebalancing is completed in one trading day. So, the actual passive impact was more intense and substantial.
The rebalancing result based on the average float-adjusted MC from May 2 to yesterday: Additions Iljin Hysolus, Halla Holdings, &amp; DTR Automotive / Deletions Nexen Tire, Kumho HT, &amp; Seoyon

Their estimated passive impact is more significant than that of the previous rebalancing. It is substantial enough to consider a preemptive position build-up for them.


KRX Autos (KODEX ETF) Rebalancing: Watch Iljin HySolus, Halla Holdings, & DTR Automotive

<ul>
<li>KRX Autos rebalances once a year in September. The effective date of the upcoming rebalancing is September 9.</li>
<li>The market cap difference between the top three stocks and the rest of the stocks is significant. So, the passive impact of the non-capped constituents is substantial.</li>
<li>Accordingly, this index rebalancing is well worth a preemptive position build-up. At this point, notable stocks from a flow perspective are Hanon Systems, Kumho Tire, and Halla Holdings.</li>
</ul>


KRX Autos rebalances once a year in September. The effective date of the upcoming rebalancing is September 9.
The market cap difference between the top three stocks and the rest of the stocks is significant. So, the passive impact of the non-capped constituents is substantial.
Accordingly, this index rebalancing is well worth a preemptive position build-up. At this point, notable stocks from a flow perspective are Hanon Systems, Kumho Tire, and Halla Holdings.


<ul>
<li>We can consider three types of dividend stocks, targeting the March 31 dividend base date: 1. 1Q fiscal year-ending dividends, 2. Interim (quarterly) dividends, 3. REITs regular dividends</li>
<li>The ex-dividend price corrections of fiscal year-ending dividend stocks have been pretty tight recently. In addition, the futures basis has not reached a desirable level either.</li>
<li>So, either outright dividend trading or dividend arb play does not have much trade opening. So, I'd consider setting up a long/short basket trading, by focusing on high DTV ones.</li>
</ul>


We can consider three types of dividend stocks, targeting the March 31 dividend base date: 1. 1Q fiscal year-ending dividends, 2. Interim (quarterly) dividends, 3. REITs regular dividends
The ex-dividend price corrections of fiscal year-ending dividend stocks have been pretty tight recently. In addition, the futures basis has not reached a desirable level either.
So, either outright dividend trading or dividend arb play does not have much trade opening. So, I'd consider setting up a long/short basket trading, by focusing on high DTV ones.


KOSPI/KOSDAQ End-March Dividends: 1Q Fiscal Year-Ending, Interim(Quarterly), & REITs

<ul>
<li>The local street hears KRX has bumped it up to 14.68%. With the 1% rounding applied, it becomes 15%.</li>
<li>It is extremely rare for a Fast Entry to come in with a float market cap of +₩10T. So, we will see significant weight adjustments for the other constituents.</li>
<li>As we move towards the implementation date, we can consider basket-shorting those high-impact names for LG Energy's long hedge.</li>
</ul>


The local street hears KRX has bumped it up to 14.68%. With the 1% rounding applied, it becomes 15%.
It is extremely rare for a Fast Entry to come in with a float market cap of +₩10T. So, we will see significant weight adjustments for the other constituents.
As we move towards the implementation date, we can consider basket-shorting those high-impact names for LG Energy's long hedge.


LG Energy's KOSPI 200 Float Is 15%: Weight Adjustment Trading for Other Constituents

<ul>
<li>There are 71 interim dividend stocks on KOSPI and KOSDAQ. Of these, 9 stocks pay quarterly dividends: 7 KOSPI and 2 KOSDAQ.</li>
<li>All except POSCO and Shinhan Financial employ an equal quarterly split. As expected, SKT offers the highest quarterly dividend yield. At the last closing price, it is 1.55%.</li>
<li>Since the absolute yield level is tight, it may not be appropriate to consider a dividend arb play, except for SKT. Nevertheless, it may act as short-term price momentum.</li>
</ul>


There are 71 interim dividend stocks on KOSPI and KOSDAQ. Of these, 9 stocks pay quarterly dividends: 7 KOSPI and 2 KOSDAQ.
All except POSCO and Shinhan Financial employ an equal quarterly split. As expected, SKT offers the highest quarterly dividend yield. At the last closing price, it is 1.55%.
Since the absolute yield level is tight, it may not be appropriate to consider a dividend arb play, except for SKT. Nevertheless, it may act as short-term price momentum.


KOSPI/KOSDAQ Quarterly Dividend Stocks: DPS & Yield Estimations

South Korea

Hanon Systems manufactures a variety of automotive air control equipment.  The Company's products include air conditioners, heaters, cooling modules, compressors, radiators, fans, evaporators, and condensers. Hanon Systems distributes its products on an original equipment manufacturing (OEM) basis.

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Hanon Systems (018880 KS)

KRX Autos (KODEX ETF) Rebalancing: Watch Iljin HySolus, Halla Holdings, & DTR Automotive

We are midway through the KRX Autos rebalancing screening period. The results at the last close are Iljin HySolus, Halla Holdings, & DTR Auto...

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KRX Auto (KODEX ETF) Rebalancing Preview

This post previews the upcoming rebalancing of the KRX Autos Sector Index (KODEX ETF), whose effective date is September 9.

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KOSPI/KOSDAQ End-March Dividends: 1Q Fiscal Year-Ending, Interim(Quarterly), & REITs

This post offers the latest update on the expected dividends and dividend yields of the three types of end-1Q dividend stocks.

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LG Energy's KOSPI 200 Float Is 15%: Weight Adjustment Trading for Other Constituents

KRX has bumped up LG Energy's float to 15%. As a result, we will see a more substantial passive impact on LG Energy. Also, we should see...

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KOSPI/KOSDAQ Quarterly Dividend Stocks: DPS & Yield Estimations

This post lists all 71 interim dividend stocks, of which 9 are quarterly dividend stocks. It then estimates DPS and dividend yield of these 9...

Sanghyun Park

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