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>K200 futures' yearend contango exceeded expectations, triggering a surge in buy arbitrage. The subsequent selling pressure intensified, with strategic shifts observed in January futures/options, contributing to KOSPI's underperformance this year.</li>
<li>Still, significant closure of K200 futures buy arbitrage should come around March, impacting February or March single-stock futures, potentially introducing substantial contango and suggesting lucrative dividend arbitrage in select stocks.</li>
<li>These 40 K200 constituents, with single-stock futures, are vital for our pioneering dividend arbitrage in Korea, directly influenced by buy arbitrage closures using K200 futures from last year.</li>
</ul>


K200 futures' yearend contango exceeded expectations, triggering a surge in buy arbitrage. The subsequent selling pressure intensified, with strategic shifts observed in January futures/options, contributing to KOSPI's underperformance this year.
Still, significant closure of K200 futures buy arbitrage should come around March, impacting February or March single-stock futures, potentially introducing substantial contango and suggesting lucrative dividend arbitrage in select stocks.
These 40 K200 constituents, with single-stock futures, are vital for our pioneering dividend arbitrage in Korea, directly influenced by buy arbitrage closures using K200 futures from last year.


40 Names for Dividend Arbitrage in 1Q, Marking a Pioneering Initiative in Korea

<ul>
<li>The index focuses on qualitative factors like capital efficiency and shareholder returns, but efforts to impose sector balance may have overextended its market benchmark role.</li>
<li>Some companies not fitting the 'value-up' narrative got included, while market favorites were sidelined by sector rankings, which is puzzling given the index's original goal.</li>
<li>Still, with rebalancing cut down to once a year, we should expect the flow impact on the index names to hit harder than initially thought compared to their sector peers.</li>
</ul>


The index focuses on qualitative factors like capital efficiency and shareholder returns, but efforts to impose sector balance may have overextended its market benchmark role.
Some companies not fitting the 'value-up' narrative got included, while market favorites were sidelined by sector rankings, which is puzzling given the index's original goal.
Still, with rebalancing cut down to once a year, we should expect the flow impact on the index names to hit harder than initially thought compared to their sector peers.


All the Scoop on the Korea Value-Up Index

Asia Pac IPO & Placement Research, China biotech, Aequitas Research

Ke Yan, CFA, FRM

Asia Pac IPO & Placement Research, China biotech

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Quantitative Analysis

<ul>
<li>We analyzed the changes in foreign holdings of KRX stocks as of Sep 27th which has an aggregated holding worth USD565.8bn.</li>
<li>We estimate that foreign flows to be outflows of USD805mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.</li>
<li>We highlight changes of foreign holdings in Sk Hynix, Naver, Hyundai Motor, Samsung Electronics.</li>
</ul>


We analyzed the changes in foreign holdings of KRX stocks as of Sep 27th which has an aggregated holding worth USD565.8bn.
We estimate that foreign flows to be outflows of USD805mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
We highlight changes of foreign holdings in Sk Hynix, Naver, Hyundai Motor, Samsung Electronics.


KRX Foreign Holding Weekly (Sep 27th): Sk Hynix, Naver, Hyundai Motor, Samsung Electronics

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Douglas Research Advisory

Equity Bottom-Up

<ul>
<li>We have a Positive view of KT Corp (030200 KS) due to three main reasons.</li>
<li>First, KT has started to implement aggressive capital return policy (returning 50% of net income through dividends and share buybacks/cancellations). Two other reasons include Corporate Value Up and higher Smartscore.</li>
<li>KT Corp has been the best performing stock among the three major Korean telcos in the past one year. KT Corp's shares are up 27.9% in the past one year.</li>
</ul>


We have a Positive view of KT Corp (030200 KS) due to three main reasons.
First, KT has started to implement aggressive capital return policy (returning 50% of net income through dividends and share buybacks/cancellations). Two other reasons include Corporate Value Up and higher Smartscore.
KT Corp has been the best performing stock among the three major Korean telcos in the past one year. KT Corp's shares are up 27.9% in the past one year.


Cross Asset Strategy

<ul>
<li>Korea Value-Up index is finally expected to be launched in September 2024 which is likely to include at least 100 companies in KOSPI and KOSDAQ.</li>
<li>There are expectations that Korea's Value Up index could resemble JPX Prime 150 index which is a Japanese version of the value up index launched last year.</li>
<li>We provide 70 stocks in Korea that could be included in the Korea Value Up index. These 70 stocks could outperform the market in the next several months.</li>
</ul>


Korea Value-Up index is finally expected to be launched in September 2024 which is likely to include at least 100 companies in KOSPI and KOSDAQ.
There are expectations that Korea's Value Up index could resemble JPX Prime 150 index which is a Japanese version of the value up index launched last year.
We provide 70 stocks in Korea that could be included in the Korea Value Up index. These 70 stocks could outperform the market in the next several months.


Launch of Korea Value Up Index in September

South Korea

Hyundai Motor Company manufactures, sells, and exports passenger cars, trucks, and commercial vehicles. The Company also sells various auto parts and operates auto repair service centers throughout South Korea. Hyundai Motor provides financial services through its subsidiaries.

Price Gauge
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Hyundai Motor (005387 KS)

40 Names for Dividend Arbitrage in 1Q, Marking a Pioneering Initiative in Korea

This post identifies 40 KOSPI 200 constituents we should target for our pioneering dividend arbitrage initiative in March of this year.

Sanghyun Park

All the Scoop on the Korea Value-Up Index

This post breaks down everything we need to know about the Korea Value-up Index that KRX just unveiled today, especially focusing on those...

Sanghyun Park

KRX Foreign Holding Weekly (Sep 27th): Sk Hynix, Naver, Hyundai Motor, Samsung Electronics

We analyzed KRX foreign holding data for the past week and highlighted foreign holding changes in Sk Hynix, Naver, Hyundai Motor, Samsung Electronics.

Ke Yan, CFA, FRM

Asian Dividend Gems: KT Corp

Positive outlook on KT Corp (030200 KS) due to aggressive capital return policy, Corporate Value Up, and higher Smartscore leading to strong stock...

Douglas Kim

Launch of Korea Value Up Index in September

Korea Value-Up index is finally expected to be launched in September 2024 which is likely to include at least 100 companies in KOSPI and KOSDAQ.

Douglas Kim

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

40 Names for Dividend Arbitrage in 1Q, Marking a Pioneering Initiative in Korea

This post identifies 40 KOSPI 200 constituents we should target for our pioneering dividend arbitrage initiative in March of this year.

Sanghyun Park

All the Scoop on the Korea Value-Up Index

This post breaks down everything we need to know about the Korea Value-up Index that KRX just unveiled today, especially focusing on those...

Sanghyun Park

KRX Foreign Holding Weekly (Sep 27th): Sk Hynix, Naver, Hyundai Motor, Samsung Electronics

We analyzed KRX foreign holding data for the past week and highlighted foreign holding changes in Sk Hynix, Naver, Hyundai Motor, Samsung Electronics.

Ke Yan, CFA, FRM

Asian Dividend Gems: KT Corp

​Positive outlook on KT Corp (030200 KS) due to aggressive capital return policy, Corporate Value Up, and higher Smartscore leading to strong stock...

Douglas Kim

Launch of Korea Value Up Index in September

Korea Value-Up index is finally expected to be launched in September 2024 which is likely to include at least 100 companies in KOSPI and KOSDAQ.

Douglas Kim

Positive outlook on KT Corp (030200 KS) due to aggressive capital return policy, Corporate Value Up, and higher Smartscore leading to strong stock...