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 momentum for getting ahead on positions with KOSPI 200 rebalancing is holding steady. With around 60% of the screening period behind us, it’s time to start preparing our positions.</li>
<li>The current rebalancing's screened changes have a relatively lower price volatility, suggesting a stronger chance for more aggressive position build-up now compared to previous rebalancings.</li>
<li>Trading volumes vary greatly among these changes, affecting their passive impact sizes. Consider using different weights in basket trading instead of equal weights.</li>
</ul>


The momentum for getting ahead on positions with KOSPI 200 rebalancing is holding steady. With around 60% of the screening period behind us, it’s time to start preparing our positions.
The current rebalancing's screened changes have a relatively lower price volatility, suggesting a stronger chance for more aggressive position build-up now compared to previous rebalancings.
Trading volumes vary greatly among these changes, affecting their passive impact sizes. Consider using different weights in basket trading instead of equal weights.


KOSPI 200 December Rebalancing: Key Points to Watch for in Proactive Position Build-Up

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 review period for the September rebalance of the KOSPI Size Indices commenced on 1 June and will end on 31 August. Only 4 trading days to go.</li>
<li>We see 7 migrations from MidCap to LargeCap, 1 new addition to LargeCap, 12 stocks moving from SmallCap to MidCap and 3 new additions to MidCap.</li>
<li>The upward migrations have underperformed the downward migrations over the last month as a few stocks have sold off hard. Some despite being included in global indices.</li>
</ul>


The review period for the September rebalance of the KOSPI Size Indices commenced on 1 June and will end on 31 August. Only 4 trading days to go.
We see 7 migrations from MidCap to LargeCap, 1 new addition to LargeCap, 12 stocks moving from SmallCap to MidCap and 3 new additions to MidCap.
The upward migrations have underperformed the downward migrations over the last month as a few stocks have sold off hard. Some despite being included in global indices.


KOSPI Size Indices: Momentum Stalls; (Some) Upward Migrations Sell-Off

<ul>
<li>The September KOSPI Size Index rebalancing could bring back the typical price impacts seen over the past decade, unlike the March rebalancing.</li>
<li>The previous rebalancing had anomalies due to newly listed stocks in LARGE and a stronger downward trend in LARGE-to-MID transitions, disrupting the expected price impact.</li>
<li>For September's rebalancing, fewer distortions are expected compared to March. The NPS Mid to Small Cap fund, a key influence, shows no significant changes in benchmark or AUM.</li>
</ul>


The September KOSPI Size Index rebalancing could bring back the typical price impacts seen over the past decade, unlike the March rebalancing.
The previous rebalancing had anomalies due to newly listed stocks in LARGE and a stronger downward trend in LARGE-to-MID transitions, disrupting the expected price impact.
For September's rebalancing, fewer distortions are expected compared to March. The NPS Mid to Small Cap fund, a key influence, shows no significant changes in benchmark or AUM.


Examining the September Reshuffle of the KOSPI Size Index Series

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Douglas Research Advisory

Equity Bottom-Up

<ul>
<li>According to our NAV analysis, it suggests a base case valuation of 122,473 won per share for HD Hyundai, representing a 50% upside from current levels.</li>
<li>The combined value of HD Korea Shipbuilding &amp; Offshore Engineering, HD Hyundai Electric &amp; Energy, and HD Hyundai Marine Solution is 11.4 trillion won.</li>
<li>We estimate HD Hyundai's 73.85% stake in Hyundai Oilbank to be 7.0 trillion won. We also applied a 5x OP of its core business and a 50% holdco discount.</li>
</ul>


According to our NAV analysis, it suggests a base case valuation of 122,473 won per share for HD Hyundai, representing a 50% upside from current levels.
The combined value of HD Korea Shipbuilding &amp; Offshore Engineering, HD Hyundai Electric &amp; Energy, and HD Hyundai Marine Solution is 11.4 trillion won.
We estimate HD Hyundai's 73.85% stake in Hyundai Oilbank to be 7.0 trillion won. We also applied a 5x OP of its core business and a 50% holdco discount.


<ul>
<li>We discuss the potential additions and deletions to KOSPI 200 in December 2024 amid big declines in share prices of many stocks in KOSPI in the past week.</li>
<li>The eight potential additions are up on average 8.5% from end of 2023. The eight potential deletion candidates are down on average 39.1% YTD.</li>
<li>The average market cap of the seven potential additions is 1.9 trillion won. The average market cap of the seven potential deletion candidates is 0.6 trillion won.</li>
</ul>


We discuss the potential additions and deletions to KOSPI 200 in December 2024 amid big declines in share prices of many stocks in KOSPI in the past week.
The eight potential additions are up on average 8.5% from end of 2023. The eight potential deletion candidates are down on average 39.1% YTD.
The average market cap of the seven potential additions is 1.9 trillion won. The average market cap of the seven potential deletion candidates is 0.6 trillion won.


Potential Additions and Deletions to KOSPI 200 in December 2024 Amid Market Downturn

South Korea

HD Hyundai Marine Solution Co., Ltd. operates as a engineering service company. The Company provides maintenance and other related services. HD Hyundai Marine Solution also offers ecological friendly solution development, smart solution utilizing information and communications technology, and power plant services.

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HD Hyundai Marine Solution (443060 KS)

KOSPI 200 December Rebalancing: Key Points to Watch for in Proactive Position Build-Up

This post previews the KOSPI 200 December rebalancing and discusses key points for proactive position build-up, now that 60% of the screening...

Sanghyun Park

KOSPI Size Indices: Momentum Stalls; (Some) Upward Migrations Sell-Off

There could be 41 changes to the KOSPI Size Indices in September. The upward migrations have underperformed the downward migrations over the last...

Brian Freitas

Examining the September Reshuffle of the KOSPI Size Index Series

This post examines the potential for flow trading setups targeting the September rebalancing of the KOSPI Size Index Series.

Sanghyun Park

HD Hyundai: Updated NAV Analysis

According to our NAV analysis, it suggests a base case valuation of 122,473 won per share for HD Hyundai, representing a 50% upside from current...

Douglas Kim

Potential Additions and Deletions to KOSPI 200 in December 2024 Amid Market Downturn

We discuss the potential additions and deletions to KOSPI 200 in December 2024 amid big declines in share prices of many stocks in KOSPI in the...

Douglas Kim

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