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>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

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

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 7 additions and 7 deletions 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 June rebalance that will be implemented on 9 June.</li>
<li>We got all 7 inclusions right and 5 of the 7 deletions right. The adds have 3-6 days ADV to buy, while the deletes have 4-12 days ADV to sell.</li>
<li>Short interest on the deletions is a significant portion of the estimated passive selling and there could be short covering in the week leading up to implementation of the changes.</li>
</ul>


There will be 7 additions and 7 deletions for the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) at the June rebalance that will be implemented on 9 June.
We got all 7 inclusions right and 5 of the 7 deletions right. The adds have 3-6 days ADV to buy, while the deletes have 4-12 days ADV to sell.
Short interest on the deletions is a significant portion of the estimated passive selling and there could be short covering in the week leading up to implementation of the changes.


<ul>
<li>Poongsan was pushed out of the 110% threshold in the average daily market ranking at the last minute. So, CJ CGV gets to remain in the KOSPI 200.</li>
<li>Additions: <a href="https://www.smartkarma.com/entities/f-f-co-ltd-new" target="_blank" data-smartkarma-citation="entities:33479:1" rel="noopener">F&amp;F (383220 KS)</a>, <a href="https://www.smartkarma.com/entities/meritz-fire-marine-insurance-co-ltd" target="_blank" data-smartkarma-citation="entities:20468:1" rel="noopener">Meritz Fire &amp; Marine (000060 KS)</a>, <a href="https://www.smartkarma.com/entities/sd-biosensor-inc" target="_blank" data-smartkarma-citation="entities:33333:1" rel="noopener">SD Biosensor (137310 KS)</a>, <a href="https://www.smartkarma.com/entities/iljin-hysolus-co-ltd" target="_blank" data-smartkarma-citation="entities:33565:1" rel="noopener">Iljin Hysolus (271940 KS)</a>, <a href="https://www.smartkarma.com/entities/hanil-cement-co-ltd-new" target="_blank" data-smartkarma-citation="entities:27447:1" rel="noopener">Hanil Cement (300720 KS)</a>, <a href="https://www.smartkarma.com/entities/k-car" target="_blank" data-smartkarma-citation="entities:34118:1" rel="noopener">K Car (381970 KS)</a>, <a href="https://www.smartkarma.com/entities/hana-tour-service-inc" target="_blank" data-smartkarma-citation="entities:4852:1" rel="noopener">Hana Tour (039130 KS)</a> </li>
<li>Deletions: <a href="https://www.smartkarma.com/entities/nexen-tire-corp" target="_blank" data-smartkarma-citation="entities:14206:1" rel="noopener">Nexen Tire (002350 KS)</a>, <a href="https://www.smartkarma.com/entities/yungjin-pharmaceutical-co" target="_blank" data-smartkarma-citation="entities:9781:1" rel="noopener">Yungjin Pharmaceutical (003520 KS)</a>, <a href="https://www.smartkarma.com/entities/poongsan-corp" target="_blank" data-smartkarma-citation="entities:16504:1" rel="noopener">Poongsan Corp (103140 KS)</a>, <a href="https://www.smartkarma.com/entities/bukwang-pharmaceutical-co-ltd" target="_blank" data-smartkarma-citation="entities:15076:1" rel="noopener">Bukwang Pharmaceutical (003000 KS)</a>, <a href="https://www.smartkarma.com/entities/sk-discovery-co-ltd" target="_blank" data-smartkarma-citation="entities:5181:1" rel="noopener">SK Discovery (006120 KS)</a>, <a href="https://www.smartkarma.com/entities/s-t-motiv-co-ltd" target="_blank" data-smartkarma-citation="entities:6116:1" rel="noopener">S&amp;T Motiv (064960 KS)</a>, <a href="https://www.smartkarma.com/entities/cuckoo-holdings-co-ltd" target="_blank" data-smartkarma-citation="entities:4231:1" rel="noopener">Cuckoo Holdings (192400 KS)</a>
</li>
</ul>


Poongsan was pushed out of the 110% threshold in the average daily market ranking at the last minute. So, CJ CGV gets to remain in the KOSPI 200.
Additions: F&amp;F (383220 KS), Meritz Fire &amp; Marine (000060 KS), SD Biosensor (137310 KS), Iljin Hysolus (271940 KS), Hanil Cement (300720 KS), K Car (381970 KS), Hana Tour (039130 KS) 
Deletions: Nexen Tire (002350 KS), Yungjin Pharmaceutical (003520 KS), Poongsan Corp (103140 KS), Bukwang Pharmaceutical (003000 KS), SK Discovery (006120 KS), S&amp;T Motiv (064960 KS), Cuckoo Holdings (192400 KS)



KOSPI 200 Rebalancing Last-Minute Change to Deletions: Poongsan Pushed Out for CJ CGV

<ul>
<li>Short-Selling is not possible after being deleted from the KOSPI 200. So, active short-covering for deletions is witnessed before and after the rebalancing implementation.</li>
<li>
<strong><a href="https://www.smartkarma.com/entities/cj-cgv-co-ltd" target="_blank" data-smartkarma-citation="entities:2885:1" rel="noopener">CJ CGV (079160 KS)</a></strong> stands out the most at this point. Its short interest is 4.10% of SO, and the short interest has increased the most over the past month.</li>
<li>The short-covering/price movement started to be observed from the end of the prior month. So, I'd consider building positions from the third week of this month.</li>
</ul>


Short-Selling is not possible after being deleted from the KOSPI 200. So, active short-covering for deletions is witnessed before and after the rebalancing implementation.

CJ CGV (079160 KS) stands out the most at this point. Its short interest is 4.10% of SO, and the short interest has increased the most over the past month.
The short-covering/price movement started to be observed from the end of the prior month. So, I'd consider building positions from the third week of this month.


KOSPI 200 Rebalancing: Trade Short Covering Event for Deletions

South Korea

Cuckoo Holdings Co.,Ltd manufactures and distributes electric home appliances. The Company produces electronic pressure cookers, humidifiers, vacuum cleaners, and air purifiers. Cuckoo Holdings markets its products throughout South Korea.

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Cuckoo Holdings (192400 KS)

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

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

KOSPI200 Index Rebalance: Se7en Changes

There are 7 changes for the KOSPI 200 at the June rebalance. The impact on the deletions is higher than that on the inclusions, but there are a lot...

Brian Freitas

KOSPI 200 Rebalancing Last-Minute Change to Deletions: Poongsan Pushed Out for CJ CGV

KOSPI 200's upcoming rebalancing sees one last-minute change to the deletions. Poongsan Corp was pushed out by the average market cap ranking....

Sanghyun Park

KOSPI 200 Rebalancing: Trade Short Covering Event for Deletions

This post discusses the trading opportunities on the short-covering event for the deletions in the upcoming KOSPI 200 rebalancing.

Sanghyun Park

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