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>Although not explicitly outlined, it appears practical to interpret that we should filter out stocks that have entered a trading suspension among those receiving a WARNING designation.</li>
<li>The dynamics of KOSPI 200 flow trading have become notably tumultuous due to the abrupt short selling ban and additional liquidity halts imposed on market makers in the futures market.</li>
<li>The manifestation of price impact due to passive flows may be significantly delayed. So, we should prepare for this week's announcement day setup targeting the delayed impact of passive flows.</li>
</ul>


Although not explicitly outlined, it appears practical to interpret that we should filter out stocks that have entered a trading suspension among those receiving a WARNING designation.
The dynamics of KOSPI 200 flow trading have become notably tumultuous due to the abrupt short selling ban and additional liquidity halts imposed on market makers in the futures market.
The manifestation of price impact due to passive flows may be significantly delayed. So, we should prepare for this week's announcement day setup targeting the delayed impact of passive flows.


KOSPI 200 December Rebalancing: Rule Change Clarifications & Possible Delay in Price Impact

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 coming week has a lot of review periods ending - <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a>, <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150</a>, <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300</a>, <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500</a>, <a href="https://www.smartkarma.com/entities/shanghai-stock-exchange-sse-50-a-share-index" target="_blank" data-smartkarma-citation="entities:31073:1" rel="noopener">SSE50</a>, <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50</a>, <a href="https://www.smartkarma.com/entities/chinext-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">ChiNext</a> and <a href="https://www.smartkarma.com/entities/s-p-bse-sensex-index" target="_blank" data-smartkarma-citation="entities:31494:1" rel="noopener">SENSEX</a>, among others.</li>
<li>The <a href="https://www.smartkarma.com/entities/tokyo-stock-exchange-tokyo-price-index-topix" target="_blank" data-smartkarma-citation="entities:22910:1" rel="noopener">TOPIX</a> rebalance will be implemented on Monday while the <a href="https://www.smartkarma.com/entities/global-x-lithium-battery-tech-etf" target="_blank" data-smartkarma-citation="entities:32745:1" rel="noopener">Global X Lithium &amp; Battery Tech ETF (LIT US)</a> and IDX indices will rebalance at the close on Tuesday.</li>
<li>There were outflows from Emerging Market ETFs including <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets" target="_blank" data-smartkarma-citation="entities:438:1" rel="noopener">iShares Emerging Markets (EEM)</a>, <a href="https://www.smartkarma.com/entities/ishares-core-msci-emerging-mar" target="_blank" data-smartkarma-citation="entities:32967:1" rel="noopener">iShares Core Emerging Mar (IEMG),</a> <a href="https://www.smartkarma.com/entities/schwab-emerging-markets-equi" target="_blank" data-smartkarma-citation="entities:32879:1" rel="noopener">Schwab Emerging Markets Equi (SCHE)</a> and <a href="https://www.smartkarma.com/entities/ishares-edge-msci-min-vol-emerging-markets-etf" target="_blank" data-smartkarma-citation="entities:725:1" rel="noopener">IShares Edge Min Vol Emerging Markets ETF (EEMV)</a>.</li>
</ul>


The coming week has a lot of review periods ending - KOSPI 200, KOSDAQ 150, CSI 300, CSI 500, SSE50, STAR50, ChiNext and SENSEX, among others.
The TOPIX rebalance will be implemented on Monday while the Global X Lithium &amp; Battery Tech ETF (LIT US) and IDX indices will rebalance at the close on Tuesday.
There were outflows from Emerging Market ETFs including iShares Emerging Markets (EEM), iShares Core Emerging Mar (IEMG), Schwab Emerging Markets Equi (SCHE) and IShares Edge Min Vol Emerging Markets ETF (EEMV).


Index Rebalance & ETF Flow Recap: KS200, KQ150, Yuanta Div+, LIT, HSCI, IDX, Japan Positioning

<ul>
<li>With the review period nearly complete, we expect 7 changes to the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX)</a> in December. Couple of changes are low probability though.</li>
<li>The Materials sector could be the biggest gainer at the rebalance while nearly all deletions could come from the Consumer Discretionary sector.</li>
<li>The impact on the potential inclusion ranges from 0.15-15 days of ADV while the impact on the potential deletions varies from 1.7-8.1 days of ADV.</li>
</ul>


With the review period nearly complete, we expect 7 changes to the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) in December. Couple of changes are low probability though.
The Materials sector could be the biggest gainer at the rebalance while nearly all deletions could come from the Consumer Discretionary sector.
The impact on the potential inclusion ranges from 0.15-15 days of ADV while the impact on the potential deletions varies from 1.7-8.1 days of ADV.


KOSPI200 Index Rebalance Preview: The Tail End

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Korea Stock Exchange KOSPI 200 / Event-Driven

<ul>
<li>The <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a> Index is currently rising for the 3rd week in a row and approaching the Q2 WEEKLY resistance level, but it's a very weak rally.</li>
<li>Between 329 and 331 there id a good area to go SHORT, the index could fall for 2-3 weeks from here, into early November.</li>
<li>A negative close in October would be =3 months down in a row (CC=-3), November in that case would have good odds for a rebound and close up.</li>
</ul>


The KOSPI 200 Index is currently rising for the 3rd week in a row and approaching the Q2 WEEKLY resistance level, but it's a very weak rally.
Between 329 and 331 there id a good area to go SHORT, the index could fall for 2-3 weeks from here, into early November.
A negative close in October would be =3 months down in a row (CC=-3), November in that case would have good odds for a rebound and close up.


EQD | KOSPI 200 Frail WEEKLY Rally Is Ending

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Equity Bottom-Up

<ul>
<li>In this insight, we highlight the pricing gap divergences of the major Korean holdcos and opcos in 4Q 2023.</li>
<li>Of the 38 pair trades, 18 of them involved holdcos outperforming opcos YTD and 20 of them involved opcos outperforming holdcos in the same period.</li>
<li>We highlight 38 pair trades that involve Korean holdcos and opcos.</li>
</ul>


In this insight, we highlight the pricing gap divergences of the major Korean holdcos and opcos in 4Q 2023.
Of the 38 pair trades, 18 of them involved holdcos outperforming opcos YTD and 20 of them involved opcos outperforming holdcos in the same period.
We highlight 38 pair trades that involve Korean holdcos and opcos.


Korean Holdcos Vs Opcos Gap Trading Opportunities in 4Q 2023

South Korea

Cuckoo Homesys Co. Ltd. manufactures kitchen appliances. The Company produces and sells electric pressure cookers, dishwashers, blenders, water purifiers, and other products. Cuckoo Homesys also provides kitchen appliances exporting services. Cuckoo Homesys markets its products worldwide.

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Cuckoo Homesys (284740 KS)

KOSPI 200 December Rebalancing: Rule Change Clarifications & Possible Delay in Price Impact

This post clarifies recent rule changes in the KOSPI 200 and examines trading opportunities that may arise from a potential delay in price impact...

Sanghyun Park

Index Rebalance & ETF Flow Recap: KS200, KQ150, Yuanta Div+, LIT, HSCI, IDX, Japan Positioning

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

KOSPI200 Index Rebalance Preview: The Tail End

There could be 7 changes for the KOSPI200 in Dec. There could be changes driven by index methodology, section transfers, alleged stock manipulation...

Brian Freitas

EQD | KOSPI 200 Frail WEEKLY Rally Is Ending

The KOSPI 200 Index is rising for the 3rd week but it's a weak rally. Go SHORT between 329 and 331, hold 2-3 weeks. A negative close in October...

Nico Rosti

Korean Holdcos Vs Opcos Gap Trading Opportunities in 4Q 2023

In this insight, we highlight the pricing gap divergences of the major Korean holdcos and opcos in 4Q 2023. We highlight 38 pair trades that...

Douglas Kim

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

KOSPI 200 December Rebalancing: Rule Change Clarifications & Possible Delay in Price Impact

This post clarifies recent rule changes in the KOSPI 200 and examines trading opportunities that may arise from a potential delay in price impact...

Sanghyun Park

Index Rebalance & ETF Flow Recap: KS200, KQ150, Yuanta Div+, LIT, HSCI, IDX, Japan Positioning

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

KOSPI200 Index Rebalance Preview: The Tail End

There could be 7 changes for the KOSPI200 in Dec. There could be changes driven by index methodology, section transfers, alleged stock manipulation...

Brian Freitas

EQD | KOSPI 200 Frail WEEKLY Rally Is Ending

​The KOSPI 200 Index is rising for the 3rd week but it's a weak rally. Go SHORT between 329 and 331, hold 2-3 weeks. A negative close in October...

Nico Rosti

Korean Holdcos Vs Opcos Gap Trading Opportunities in 4Q 2023

In this insight, we highlight the pricing gap divergences of the major Korean holdcos and opcos in 4Q 2023. We highlight 38 pair trades that...

Douglas Kim

The KOSPI 200 Index is rising for the 3rd week but it's a weak rally. Go SHORT between 329 and 331, hold 2-3 weeks. A negative close in October...