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 index targets the GICS Financials/Banks sector stocks: 12 stocks belong to this sector. Then nine of these are currently included in the KRX Banks.</li>
<li>Compared to the last rebalancing, where we had Kakao Bank's inclusion event, the impact size for the upcoming rebalancing will likely be significantly reduced.</li>
<li>The last rebalancing showed that the directional correlation between passive flow and price movement was high. So, we can still consider a Long/Short Day Trade even with this impact size.</li>
</ul>


The index targets the GICS Financials/Banks sector stocks: 12 stocks belong to this sector. Then nine of these are currently included in the KRX Banks.
Compared to the last rebalancing, where we had Kakao Bank's inclusion event, the impact size for the upcoming rebalancing will likely be significantly reduced.
The last rebalancing showed that the directional correlation between passive flow and price movement was high. So, we can still consider a Long/Short Day Trade even with this impact size.


KRX Banks Index (KODEX ETF): September Rebalancing Preview

<ul>
<li>Among the local theme ETFs in Korea, the TIGER (FnGuide) Top 10 has the highest win rate on rebalancing flow trade.</li>
<li>LG Energy deserves the most attention at the next rebalancing event. If LG Chem disposes of some of its LG Energy shares, LG Energy can bypass those on the borderline.</li>
<li>In this case, Shinhan, the one on the borderline at this point, will face a passive flow of -0.65x ADTV, while LG Energy will receive +0.25x.</li>
</ul>


Among the local theme ETFs in Korea, the TIGER (FnGuide) Top 10 has the highest win rate on rebalancing flow trade.
LG Energy deserves the most attention at the next rebalancing event. If LG Chem disposes of some of its LG Energy shares, LG Energy can bypass those on the borderline.
In this case, Shinhan, the one on the borderline at this point, will face a passive flow of -0.65x ADTV, while LG Energy will receive +0.25x.


FnGuide Top 10 (TIGER ETF) Rebalancing Review & Preview: LG Energy's Potential Inclusion

<ul>
<li>With the screening period over (May 3-31), Shinhan IN/Celltrion OUT is virtually a foregone conclusion.</li>
<li>We should consider an individually-hedged approach, instead of a plain long/short, with a tightly moving-together peer, preferably on a single-day trading window.</li>
<li>I suggest using KB Financial and Celltrion Healthcare as hedges of LONG &amp; SHORT for Shinhan and Celltrion, respectively.</li>
</ul>


With the screening period over (May 3-31), Shinhan IN/Celltrion OUT is virtually a foregone conclusion.
We should consider an individually-hedged approach, instead of a plain long/short, with a tightly moving-together peer, preferably on a single-day trading window.
I suggest using KB Financial and Celltrion Healthcare as hedges of LONG &amp; SHORT for Shinhan and Celltrion, respectively.


FnGuide Top 10 Rebalancing: How We Trade Shinhan IN/Celltrion OUT

<ul>
<li>Celltrion Inc (068270 KS)'s deletion seems pretty much a foregone conclusion as its average float-adjusted market cap on May 3-19 is way below the next one in line.</li>
<li>Shinhan Financial (055550 KS) is the one to replace Celltrion based on the numbers so far. There is close to a ₩1T gap with the next one, POSCO (005490 KS).</li>
<li>In this rebalancing, the flow impact of the addition/deletion is even more significant. So, their share price fluctuations on June 10 will likely be more substantial than last time.</li>
</ul>


Celltrion Inc (068270 KS)'s deletion seems pretty much a foregone conclusion as its average float-adjusted market cap on May 3-19 is way below the next one in line.
Shinhan Financial (055550 KS) is the one to replace Celltrion based on the numbers so far. There is close to a ₩1T gap with the next one, POSCO (005490 KS).
In this rebalancing, the flow impact of the addition/deletion is even more significant. So, their share price fluctuations on June 10 will likely be more substantial than last time.


FnGuide Top 10 Rebalancing on June 10: More Substantial Flow Impact than Last Time

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

<ul>
<li>After the market close today, it was announced that KDIC will sell its 1.81% stake of Woori Financial Group. </li>
<li>The block deal price will range from 15,229 won to 15,700 won (0 to 3% discount) and we would take the deal even at little discount.</li>
<li>Woori Financial Group's share price continues to trade at deep valuation multiples as it is trading at P/B of 0.4x and P/E of 3.9x (using 2022 consensus earnings estimates).</li>
</ul>


After the market close today, it was announced that KDIC will sell its 1.81% stake of Woori Financial Group. 
The block deal price will range from 15,229 won to 15,700 won (0 to 3% discount) and we would take the deal even at little discount.
Woori Financial Group's share price continues to trade at deep valuation multiples as it is trading at P/B of 0.4x and P/E of 3.9x (using 2022 consensus earnings estimates).


South Korea

KB Financial Group Inc. (the "Company"), in accordance with Financial Holding Companies Act, was established on September 29, 2008, through stock transfer with the former shareholders of its subsidiaries including Kookmin Bank in order to provide management services and financing to associated companies. The headquarters are located at Seoul, Korea

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KB Financial (105560 KS)

KRX Banks Index (KODEX ETF): September Rebalancing Preview

This post previews the upcoming rebalancing of the KRX Banks Index, one of the KRX-owned thematic indexes with a meaningful AUM despite a small...

Sanghyun Park

FnGuide Top 10 (TIGER ETF) Rebalancing Review & Preview: LG Energy's Potential Inclusion

This post reviews the trading pattern seen in the last rebalancing of the FnGuide Top 10 Index (TIGER ETF) and previews the rebalancing flow...

Sanghyun Park

FnGuide Top 10 Rebalancing: How We Trade Shinhan IN/Celltrion OUT

This post looks at the FnGuide Top 10 Index (TIGER ETF) rebalancing results as we are past the screening period and suggests a trading approach on...

Sanghyun Park

FnGuide Top 10 Rebalancing on June 10: More Substantial Flow Impact than Last Time

This post looks at the current status of the FnGuide Top 10 Index rebalancing as we are halfway through the completion of the review period.

Sanghyun Park

Block Deal Sale of Woori Financial Group

After the market close today, it was announced that KDIC will sell its 1.81% stake of Woori Financial Group. We would take the deal even at little...

Douglas Kim

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52-week Range

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