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>All of these additions experienced significant levels of short trading yesterday. In particular, those newly listed stocks saw harsher shorting attacks, similar to what we witnessed at the last rebalancing.</li>
<li>A certain level of short selling trend for newly listed stocks will likely work the same this time, and the applicable period is expected to be 3-4 trading days.</li>
<li>That is, we need to target the newly listed stocks again for this rebalancing: Iljin Hysolus (271940 KS), K Car (381970 KS), and SD Biosensor (137310 KS).</li>
</ul>


All of these additions experienced significant levels of short trading yesterday. In particular, those newly listed stocks saw harsher shorting attacks, similar to what we witnessed at the last rebalancing.
A certain level of short selling trend for newly listed stocks will likely work the same this time, and the applicable period is expected to be 3-4 trading days.
That is, we need to target the newly listed stocks again for this rebalancing: Iljin Hysolus (271940 KS), K Car (381970 KS), and SD Biosensor (137310 KS).


Shorting Trend Projections on KOSPI 200 Additions

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>We should pay attention to the following three stocks: F&amp;F, Iljin Hysolus, and K Car. They all have recently seen a drastic increase in the loan balance.</li>
<li>Their passive flow sizes relative to ADTVs are the lowest among the additions. It seems that those with relatively little passive impact are targeted.</li>
<li>Also, their projected earnings are highly volatile, and they all face overvaluation issues, whereas the other four names have more clear projections for earnings.</li>
</ul>


We should pay attention to the following three stocks: F&amp;F, Iljin Hysolus, and K Car. They all have recently seen a drastic increase in the loan balance.
Their passive flow sizes relative to ADTVs are the lowest among the additions. It seems that those with relatively little passive impact are targeted.
Also, their projected earnings are highly volatile, and they all face overvaluation issues, whereas the other four names have more clear projections for earnings.


Post KOSPI 200 Rebalancing Shorting Event: Watch Iljin Hysolus, F&F, & K Car

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

<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.


South Korea

K Car Co., Ltd. retails used automobiles. The Company distributes sedans, commercial vehicles, light trucks, utility vehicles, used vehicles, and other related automobiles. K Car markets its products throughout South Korea.

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K Car (381970 KS)

Shorting Trend Projections on KOSPI 200 Additions

This post examines the shorting patterns for the KOSPI 200 additions at the last rebalancing and argues the same patterns will likely repeat for...

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

Post KOSPI 200 Rebalancing Shorting Event: Watch Iljin Hysolus, F&F, & K Car

This post investigates the latest loaned share balance trend of the KOSPI 200 new members to figure out which are being targeted for post...

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

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