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>For KOSDAQ 150, SillaJen and WCP made it to the index. As for deletions, Intron Biotechnology, Ebest I&amp;S, and Devsisters are additional names to leave the index through regular review.</li>
<li>Lotte Confectionery and Samyang Holdings do not have sizeable DTV. And they were fully expected. Nevertheless, the passive impact is so significant that the LONG/SHORT approach still seems valid.</li>
<li>We should focus on KOSDAQ 150 inclusions whose return has been high due to the inflow to secure a borrow pool for short-selling on top of the preemptive rebalancing flow.</li>
</ul>


For KOSDAQ 150, SillaJen and WCP made it to the index. As for deletions, Intron Biotechnology, Ebest I&amp;S, and Devsisters are additional names to leave the index through regular review.
Lotte Confectionery and Samyang Holdings do not have sizeable DTV. And they were fully expected. Nevertheless, the passive impact is so significant that the LONG/SHORT approach still seems valid.
We should focus on KOSDAQ 150 inclusions whose return has been high due to the inflow to secure a borrow pool for short-selling on top of the preemptive rebalancing flow.


KOSPI 200 & KOSDAQ 150 Constituent Changes: Several Surprises

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

<ul>
<li>Korea Exchange announced the KOSPI 200, KOSDAQ 150, and KRX 300 rebalance changes today. Lotte Confectionery will be added and Samyang Holdings will be deleted from the KOSPI 200 index.</li>
<li>The rebalances of these Korean indices are regularly updated twice a year. The changes to these indices will be effective starting 9 December. </li>
<li>The potential exclusion candidates for KOSPI 200 in 2023 include K Car, Handsome, HS Enterprise, Zinus, and Hyundai Home Shopping. </li>
</ul>


Korea Exchange announced the KOSPI 200, KOSDAQ 150, and KRX 300 rebalance changes today. Lotte Confectionery will be added and Samyang Holdings will be deleted from the KOSPI 200 index.
The rebalances of these Korean indices are regularly updated twice a year. The changes to these indices will be effective starting 9 December. 
The potential exclusion candidates for KOSPI 200 in 2023 include K Car, Handsome, HS Enterprise, Zinus, and Hyundai Home Shopping. 


KOSPI 200 & KOSDAQ 150 Rebalance Changes + KOSPI 200 & KOSDAQ 150 Exclusion Candidates in 2023

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>There will be 1 addition and 1 deletion for 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> at the December rebalance that will be implemented on 8 December.</li>
<li>
<a href="https://www.smartkarma.com/entities/lotte-confectionery-co-ltd-1feb0155-08b6-44eb-bdbd-8d67cf757dac" target="_blank" data-smartkarma-citation="entities:25993:1" rel="noopener">Lotte Confectionery (280360 KS)</a> was a high probability add while <a href="https://www.smartkarma.com/entities/samyang-holdings-corp" target="_blank" data-smartkarma-citation="entities:13761:1" rel="noopener">Samyang Holdings (000070 KS)</a> was the second delete on the list. <a href="https://www.smartkarma.com/entities/hyundai-home-shopping-network-corp" target="_blank" data-smartkarma-citation="entities:2357:1" rel="noopener">Hyundai Home Shopping Network (057050 KS)</a> avoided deletion.</li>
<li>Passive trackers will need to buy around 14 days of ADV on <a href="https://www.smartkarma.com/entities/lotte-confectionery-co-ltd-1feb0155-08b6-44eb-bdbd-8d67cf757dac" target="_blank" data-smartkarma-citation="entities:25993:1" rel="noopener">Lotte Confectionery (280360 KS)</a> and sell nearly 13 days of ADV on <a href="https://www.smartkarma.com/entities/samyang-holdings-corp" target="_blank" data-smartkarma-citation="entities:13761:1" rel="noopener">Samyang Holdings (000070 KS)</a>.</li>
</ul>


There will be 1 addition and 1 deletion for the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) at the December rebalance that will be implemented on 8 December.

Lotte Confectionery (280360 KS) was a high probability add while Samyang Holdings (000070 KS) was the second delete on the list. Hyundai Home Shopping Network (057050 KS) avoided deletion.
Passive trackers will need to buy around 14 days of ADV on Lotte Confectionery (280360 KS) and sell nearly 13 days of ADV on Samyang Holdings (000070 KS).


KOSPI200 Index Rebalance: Just One Change

<ul>
<li>We have seven constituents of KOSPI 200, which are subject to a float rate adjustment due to major shareholder stake sales and lockup release in the upcoming rebalancing in December</li>
<li>In terms of passive impact x ADTV, LG Energy Solution, KT Corp, and Shinhan Financial are expected to receive the most attention from flow traders.</li>
<li>The preemptive setups of flow traders will likely be more inclined toward these float rate changes since this December rebalance will have the lowest number of constituent changes ever.</li>
</ul>


We have seven constituents of KOSPI 200, which are subject to a float rate adjustment due to major shareholder stake sales and lockup release in the upcoming rebalancing in December
In terms of passive impact x ADTV, LG Energy Solution, KT Corp, and Shinhan Financial are expected to receive the most attention from flow traders.
The preemptive setups of flow traders will likely be more inclined toward these float rate changes since this December rebalance will have the lowest number of constituent changes ever.


KOSPI 200 Index Review: Names Subject to Float Rate Adjustment

<ul>
<li>With the review period complete, we see 1 high probability change and 1 lower probability change for 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 December.</li>
<li>We estimate passive trackers will need to trade over 10 days of ADV on the high probability names. There are indications that there are pre-positions built on the stocks.</li>
<li>With short-sell eligibility flipping post implementation of the changes, a lot of pre-positions will be unwound prior to implementation and there will be trading opportunities on the reverse side.</li>
</ul>


With the review period complete, we see 1 high probability change and 1 lower probability change for the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) in December.
We estimate passive trackers will need to trade over 10 days of ADV on the high probability names. There are indications that there are pre-positions built on the stocks.
With short-sell eligibility flipping post implementation of the changes, a lot of pre-positions will be unwound prior to implementation and there will be trading opportunities on the reverse side.


KOSPI200 Index Rebalance Preview: Potential Changes, Excess Volumes & Pre-Positioning

South Korea

Lotte Confectionery Co., Ltd. operates as a snack food manufacturing company. The Company produces and sells chewing gum, candy, biscuits, chocolates, pies, snacks, and other products. Lotte Confectionery markets its products worldwide.

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Lotte Confectionery (280360 KS)

KOSPI 200 & KOSDAQ 150 Constituent Changes: Several Surprises

This post details the constituent changes of the KOSPI 200 and KOSDAQ 150 and highlights several surprises along with the passive flow estimations.

Sanghyun Park

KOSPI 200 & KOSDAQ 150 Rebalance Changes + KOSPI 200 & KOSDAQ 150 Exclusion Candidates in 2023

Korea Exchange announced the KOSPI 200, KOSDAQ 150, and KRX 300 rebalance changes today. Lotte Confectionery will be added and Samyang Holdings...

Douglas Kim

KOSPI200 Index Rebalance: Just One Change

Lotte Confectionary replaces Samyang Holdings in the KOSPI200 at the close on 8 Dec. Passives need to trade over 12 days ADV on both stocks. There...

Brian Freitas

KOSPI 200 Index Review: Names Subject to Float Rate Adjustment

This post investigates the names subject to a free float rate adjustment in the upcoming rebalancing of the KOSPI 200 in December.

Sanghyun Park

KOSPI200 Index Rebalance Preview: Potential Changes, Excess Volumes & Pre-Positioning

There could be 2 changes to the KOSPI200 in December. Passive trackers will need to trade over 10x ADV on a few stocks. Excess volume & short...

Brian Freitas

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