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>As expected, most of the KOSPI 200 deletions, except for Bukwang Pharm, significantly outperformed the KOSPI index today.</li>
<li>Those that fit the pattern shown in the last rebalancing are CJ CGV and Bukwang. The problem, however, is that they have potential events triggering their price to fall.</li>
<li>So, I suggest paying attention to Yungjin Pharm and SK Discovery, which also have a sizable level of short interest and are expected to have stable short-coverings by end-June.</li>
</ul>


As expected, most of the KOSPI 200 deletions, except for Bukwang Pharm, significantly outperformed the KOSPI index today.
Those that fit the pattern shown in the last rebalancing are CJ CGV and Bukwang. The problem, however, is that they have potential events triggering their price to fall.
So, I suggest paying attention to Yungjin Pharm and SK Discovery, which also have a sizable level of short interest and are expected to have stable short-coverings by end-June.


Short-Covering Trend of KOSPI 200 Deletions by Month-End

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 are 7 adds and 7 deletes 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> rebalance to be implemented at the close on 9 June.</li>
<li>There are also a bunch of stocks that will have changes applied to their free float. There were announced last week and are much less tracked.</li>
<li>The flows and impact on some of the float change names are significant and pre-positioning and passive flows could move the stocks over the next few days.</li>
</ul>


There are 7 adds and 7 deletes for the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) rebalance to be implemented at the close on 9 June.
There are also a bunch of stocks that will have changes applied to their free float. There were announced last week and are much less tracked.
The flows and impact on some of the float change names are significant and pre-positioning and passive flows could move the stocks over the next few days.


KOSPI200 Index Rebalance: Float Changes, Flows & Trades

<ul>
<li>Flows from the ETFs/index funds serve as a minimal flow for rebalancing trading at the close on June 9. The total AUM is ₩18.9T: ETFs ₩15.0T and index funds ₩3.9T.</li>
<li>There are only three trading days left until the rebalancing trading. At this point, a setup aimed at the NPS/Insurance's preemptive trading seems a bit off, timing-wise.</li>
<li>It seems more appropriate at this point to design a day basket-trading based on the minimal flow size on the day of rebalancing trading, June 9.</li>
</ul>


Flows from the ETFs/index funds serve as a minimal flow for rebalancing trading at the close on June 9. The total AUM is ₩18.9T: ETFs ₩15.0T and index funds ₩3.9T.
There are only three trading days left until the rebalancing trading. At this point, a setup aimed at the NPS/Insurance's preemptive trading seems a bit off, timing-wise.
It seems more appropriate at this point to design a day basket-trading based on the minimal flow size on the day of rebalancing trading, June 9.


KOSPI 200 Rebalancing Minimal Flow at the Close on June 9 For Day Basket-Trading

<ul>
<li>
SD Biosensor leads the addition group with an estimated inflow of 4.59x ADTV. SK Discovery and Yungjin Pharmaceutical have the most substantial outflow at 7.23x and 6.07x ADTVs, respectively.</li>
<li>For short-covering, CJ CGV stands out the most at this point. Its short interest is 4.57% of SO, and the short interest has increased the most of late.</li>
<li>For short resumption, two names stand out: Meritz Fire and Hana Tour.</li>
</ul>



SD Biosensor leads the addition group with an estimated inflow of 4.59x ADTV. SK Discovery and Yungjin Pharmaceutical have the most substantial outflow at 7.23x and 6.07x ADTVs, respectively.
For short-covering, CJ CGV stands out the most at this point. Its short interest is 4.57% of SO, and the short interest has increased the most of late.
For short resumption, two names stand out: Meritz Fire and Hana Tour.


KOSPI 200 Rebalancing: Noteworthy Names for Passive, Shorting, & Short Covering Flows

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

<ul>
<li>Korea Exchange announced the additions and deletions to KOSPI200 today.</li>
<li>There were no major surprises with regards to the additions and deletions.</li>
<li>SK Discovery is a potential buy candidate and Hana Tour Service is a potential sell candidate post the announcement of KOSPI200 additions and deletions.</li>
</ul>


Korea Exchange announced the additions and deletions to KOSPI200 today.
There were no major surprises with regards to the additions and deletions.
SK Discovery is a potential buy candidate and Hana Tour Service is a potential sell candidate post the announcement of KOSPI200 additions and deletions.


Additions & Deletions to KOSPI 200 and Trading Strategies Post Announcement

South Korea

Huchems Fine Chemical Corp. develops and provides fine chemical products. The main products include polyurethane, ammonium nitrate, nitric acid, and ammonia.

Korea Petrochemical Ind Co., Ltd. manufactures chemical products such as high density polyethylene and polypropylene.  The Company also produces basic organic chemicals including ethylene, propylene, and mixed C4s.  Korea Petrochemical supplies its products to the industrial and home appliances, film, pipe, toy, electric wire, and medical instrument manufacturers.

Foosung Co., Ltd. manufactures and sells chemical compounds and also car accessories such as car mats.

Chunbo Co.,Ltd manufactures and sells chemical materials. The Company produces and sells display, semiconductor, and secondary battery application materials, as well as pharmaceutical intermediates and specialty chemicals. Chunbo markets its products worldwide.

Cosmochemical Co., Ltd. manufactures and markets titanium dioxide used in synthetic resins, rubber, paper, paint, and TV cathode-ray tubes.  The Company also produces titanium dioxide byproducts, ferrous sulfate, koferis, ferosol for wastewater treatment agent uses, and sports equipment.

Taekwang Industrial Co., Ltd. manufactures synthetic yarns, petrochemical products, and textiles.  The Company's products include acrylic yarns, nylons, spandex, carbon fibers, spun yarns, polyester materials, and blankets.  Taekwang also produces electric equipment, such as audio equipment, and cordless telephones.  In addition, The Company operates real estate business.

PI Advanced Materials Co., Ltd. manufactures and sells plastics films. The Company produces and sells polyimide films and other products. PI Advanced Materials conducts businesses in South Korea.

Unid Co., Ltd. manufactures and sells chemicals and timber products.  The Company's chemicals include potassium carbonate, hydrochloric acid, and caustic potash.  Unid also produces board and timber products, such as medium density fiberboard (MDF) and timber boards and formalin for construction uses.

Hankuk Carbon Co., Ltd. develops, produces, and sells carbon products. The Company manufactures LNG panelling, sporting goods, aircraft parts, glass paper and other related carbon products. Hankuk Carbon offers its products to customers in Southeast Asia and Europe.

Aekyung Chemical Co., Ltd manufactures basic organic chemicals such as pht halic anhydride and plasticizers. The Company also produces maleic anhydride, itaconic acid, polyol and bio-diesel. Aekyung Chemical markets its products primarily throughout Korea with limited overseas.

USI Corporation manufactures and markets polyethylene resins, a raw material used in the manufacture of plastic. The Company's products are low density polyethylene (LDPE), ethylene vinyl acetate copolymers (EVA), high density polyethylene (HDPE), and linear low density polyethylene (LLDPE).

Suzhou Kingswood Printing Ink Company Limited produces and sells offset printing inks, researches and develops modified polymer materials and vegetable oils for the production of printing inks. The Company's major products are environmentally friendly offset printing inks.

LSB Industries, Inc., through its subsidiaries, manufactures and sells chemical products for the mining, agricultural, and industrial markets.  The Company also manufactures and sells commercial and residential climate control products, as well as provides specialized engineering services and other activities.

Jiangsu Huifeng Agrochemical Co., Ltd. develops and produces chemical pesticide. The Company's products include prochloraz-manganese chloride, bromoxynial octanoate, ioxynil octanoate, and diflufenican.

Jiangsu Huifeng Agrochemical Co (002496 CH)

Oriental Union Chemical Corporation manufactures and markets chemicals. The Company produces ethylene glycol, ethylene oxide, ethylene gas, and diethylene glycol.

INEOS Styrolution India Limited manufactures ABS resins, ABS sheets and SAN resins. The Company's products are used in a wide range of industries, including personal care, consumer durables, automobiles and telecommunications. Styrolution ABS sells its products in India and abroad.

INEOS Styrolution India Limited (INEOS IN)

MEC COMPANY LTD. manufactures and markets chemicals and equipment for printed circuit boards.  The Company has sales/manufacturing subsidiaries in Taiwan, Hong Kong, Belgium, and US.

International CSRC Investment Holdings Co., Ltd. produces carbon black used for the manufacture of tire and other rubber products and operates a co-generation system to generate electricity and super heated steam.  The Company also manufactures pharmaceutical products and gelatin.

International CSRC Investment Holdings Co., Ltd. (2104 TT)

International CSRC Investment Holdings Co., Ltd.

Bharat Rasayan Ltd. manufactures and distributes pesticides and agrochemicals for crop protection and pharmaceutical intermediates. The Company has manufacturing facilities located throughout India.

ASAHI ORGANIC CHEMICALS INDUSTRY CO., LTD. produces polyvinyl chloride resin valves & pipes, phenol resin products, and resin-coated sand. The Company develops semiconductor-related products as well as housing-related products such as flooring materials.

SK Discovery Co.,Ltd. wholesales and distributes natural gas. The Company wholesales and distributes propylene, propane, and other natural gas SK Discovery markets its products throughout South Korea.

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

Sk Discovery (006120 KS)

Short-Covering Trend of KOSPI 200 Deletions by Month-End

This post investigates the pattern shown in the last KOSPI 200 rebalancing for short-covering on the deletions and applies it to this rebalancing...

Sanghyun Park

KOSPI200 Index Rebalance: Float Changes, Flows & Trades

There are significant flows and impact on some stocks that have float changes at the upcoming KOSPI2 rebalance. With over 5 days ADV to buy,...

Brian Freitas

KOSPI 200 Rebalancing Minimal Flow at the Close on June 9 For Day Basket-Trading

This post gathers the combined AUM of the local ETFs/index funds mirroring the KOSPI 200 and estimates the minimal passive flow on the rebalancing...

Sanghyun Park

KOSPI 200 Rebalancing: Noteworthy Names for Passive, Shorting, & Short Covering Flows

This post supplies the estimated flow data of passive, shorting, and short-covering trades for the additions and deletions at June's upcoming KOSPI...

Sanghyun Park

Additions & Deletions to KOSPI 200 and Trading Strategies Post Announcement

SK Discovery is a potential buy candidate and Hana Tour Service is a potential sell candidate post the announcement of KOSPI200 additions and...

Douglas Kim

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)