Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Event-Driven

With <a href="https://www.smartkarma.com/entities/kakaobank-corp" target="_blank" data-smartkarma-citation="entities:33501:1" rel="noopener">KakaoBank (323410 KS)</a> and <a href="https://www.smartkarma.com/entities/krafton-inc" target="_blank" data-smartkarma-citation="entities:28956:1" rel="noopener"> Krafton Inc (259960 KS)</a> nearing the end of their first 15 days of trading, they are a certainty to be included in 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 September rebalance that coincides with the index futures expiry.Post the changes at the June rebalance, we see <a href="https://www.smartkarma.com/entities/lock-lock-co-ltd" target="_blank" data-smartkarma-citation="entities:4739:1" rel="noopener">Lock&amp;Lock (115390 KS)</a> and <a href="https://www.smartkarma.com/entities/jw-pharmaceutical-corp" target="_blank" data-smartkarma-citation="entities:18784:1" rel="noopener">Jw Pharmaceutical (001060 KS)</a> as the lowest ranked constituents and the stocks could be deleted at the September rebalance.We expect the announcement of the changes on 1 September and the implementation at the close of trading on 9 September.The impact from passive trading is not very high on the inclusions while the impact on the potential deletions is a lot higher. There is a bit of short interest on the potential deletions and some of that could be covered in the lead up to index deletion.The dynamics of the index changes are pretty interesting. <a href="https://www.smartkarma.com/entities/kakaobank-corp" target="_blank" data-smartkarma-citation="entities:33501:1" rel="noopener">KakaoBank (323410 KS)</a> and <a href="https://www.smartkarma.com/entities/krafton-inc" target="_blank" data-smartkarma-citation="entities:28956:1" rel="noopener"> Krafton Inc (259960 KS)</a> will be short-sell eligible from 10 September while the deletions will no longer be short-sell eligible. We suggest potential trading strategies to take advantage of these dynamics.

With KakaoBank (323410 KS) and  Krafton Inc (259960 KS) nearing the end of their first 15 days of trading, they are a certainty to be included in the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) at the September rebalance that coincides with the index futures expiry.Post the changes at the June rebalance, we see Lock&amp;Lock (115390 KS) and Jw Pharmaceutical (001060 KS) as the lowest ranked constituents and the stocks could be deleted at the September rebalance.We expect the announcement of the changes on 1 September and the implementation at the close of trading on 9 September.The impact from passive trading is not very high on the inclusions while the impact on the potential deletions is a lot higher. There is a bit of short interest on the potential deletions and some of that could be covered in the lead up to index deletion.The dynamics of the index changes are pretty interesting. KakaoBank (323410 KS) and  Krafton Inc (259960 KS) will be short-sell eligible from 10 September while the deletions will no longer be short-sell eligible. We suggest potential trading strategies to take advantage of these dynamics.

KOSPI200 September Rebalance Preview: Double Edged Sword

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.

<h2>KOSPI 200 likely deletes</h2>Lock&amp;Lock and JW Pharmaceutical Corp are expected to be excluded due to Kakao Bank and Krafton's inclusion in the KOSPI 200.Below is the Fast Entry rule of KOSPI 200. Stocks with the lowest market cap in the recent rebalancing period are excluded.<section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/225/508/original/image?1629690665" class="editor-image img-responsive" data-smartkarma-image-id="225508"></figure></section>The recent rebalancing period is from November 1, 2020 to April 30, 2021. The stocks with the lowest daily average market cap during this period are as follows:<table class="table table-striped">
<colgroup>
<col width="200">
<col width="70">
<col width="70">
</colgroup>
<tbody>
<tr>
<td>KOSPI 200 constituents sitting at the bottom by average daily market cap</td>
<td style="text-align: right;">Ticker</td>
<td style="text-align: right;">Average daily market cap from November 1, 2020 to April 30, 2021</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"LX Hausys Ltd"}' data-sheets-formula='=googlefinance(R[0]C[1], "name")'>LX Hausys Ltd</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":108670}' data-sheets-formula='=if(len(R[0]C[2])=2, "0000"&amp;R[0]C[2], if(len(R[0]C[2])=3, "000"&amp;R[0]C[2], if(LEN(R[0]C[2])=4, "00"&amp;R[0]C[2], if(len(R[0]C[2])=5, "0"&amp;R[0]C[2], if(len(R[0]C[2])=6, R[0]C[2], 0)))))'>108670</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":694.5749694677418}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B","3":1}' data-sheets-formula='=average(index(googlefinance(R[0]C[-1], "price", date(2020,11,1), date(2021,4,30)), 0, 2))*googlefinance(R[0]C[-1], "shares")/1000000000'>₩694.6B</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Doosan Infracore Co Ltd"}' data-sheets-formula='=googlefinance(R[0]C[1], "name")'>Doosan Infracore Co Ltd</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"042670"}' data-sheets-formula='=if(len(R[0]C[2])=2, "0000"&amp;R[0]C[2], if(len(R[0]C[2])=3, "000"&amp;R[0]C[2], if(LEN(R[0]C[2])=4, "00"&amp;R[0]C[2], if(len(R[0]C[2])=5, "0"&amp;R[0]C[2], if(len(R[0]C[2])=6, R[0]C[2], 0)))))'>042670</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":694.195389710244}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B","3":1}' data-sheets-formula='=average(index(googlefinance(R[0]C[-1], "price", date(2020,11,1), date(2021,4,30)), 0, 2))*googlefinance(R[0]C[-1], "shares")/1000000000'>₩694.2B</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Nexen Tire Corp"}' data-sheets-formula='=googlefinance(R[0]C[1], "name")'>Nexen Tire Corp</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"002350"}' data-sheets-formula='=if(len(R[0]C[2])=2, "0000"&amp;R[0]C[2], if(len(R[0]C[2])=3, "000"&amp;R[0]C[2], if(LEN(R[0]C[2])=4, "00"&amp;R[0]C[2], if(len(R[0]C[2])=5, "0"&amp;R[0]C[2], if(len(R[0]C[2])=6, R[0]C[2], 0)))))'>002350</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":676.5942179175}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B","3":1}' data-sheets-formula='=average(index(googlefinance(R[0]C[-1], "price", date(2020,11,1), date(2021,4,30)), 0, 2))*googlefinance(R[0]C[-1], "shares")/1000000000'>₩676.6B</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"JW Pharmaceutical Corp"}' data-sheets-formula='=googlefinance(R[0]C[1], "name")'>JW Pharmaceutical Corp</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"001060"}' data-sheets-formula='=if(len(R[0]C[2])=2, "0000"&amp;R[0]C[2], if(len(R[0]C[2])=3, "000"&amp;R[0]C[2], if(LEN(R[0]C[2])=4, "00"&amp;R[0]C[2], if(len(R[0]C[2])=5, "0"&amp;R[0]C[2], if(len(R[0]C[2])=6, R[0]C[2], 0)))))'>001060</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":675.1852089654669}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B","3":1}' data-sheets-formula='=average(index(googlefinance(R[0]C[-1], "price", date(2020,11,1), date(2021,4,30)), 0, 2))*googlefinance(R[0]C[-1], "shares")/1000000000'>₩675.2B</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Lock&amp;Lock Co Ltd"}' data-sheets-formula='=googlefinance(R[0]C[1], "name")'>Lock&amp;Lock Co Ltd</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":115390}' data-sheets-formula='=if(len(R[0]C[2])=2, "0000"&amp;R[0]C[2], if(len(R[0]C[2])=3, "000"&amp;R[0]C[2], if(LEN(R[0]C[2])=4, "00"&amp;R[0]C[2], if(len(R[0]C[2])=5, "0"&amp;R[0]C[2], if(len(R[0]C[2])=6, R[0]C[2], 0)))))'>115390</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":669.7708991682928}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B","3":1}' data-sheets-formula='=average(index(googlefinance(R[0]C[-1], "price", date(2020,11,1), date(2021,4,30)), 0, 2))*googlefinance(R[0]C[-1], "shares")/1000000000'>₩669.8B</td>
</tr>
<tr>
<td>Source: KRX</td>
<td style="text-align: right;"></td>
<td style="text-align: right;"></td>
</tr>
</tbody>
</table>

KOSPI 200 likely deletesLock&amp;Lock and JW Pharmaceutical Corp are expected to be excluded due to Kakao Bank and Krafton's inclusion in the KOSPI 200.Below is the Fast Entry rule of KOSPI 200. Stocks with the lowest market cap in the recent rebalancing period are excluded.The recent rebalancing period is from November 1, 2020 to April 30, 2021. The stocks with the lowest daily average market cap during this period are as follows:







KOSPI 200 constituents sitting at the bottom by average daily market cap
Ticker
Average daily market cap from November 1, 2020 to April 30, 2021


LX Hausys Ltd
108670
₩694.6B


Doosan Infracore Co Ltd
042670
₩694.2B


Nexen Tire Corp
002350
₩676.6B


JW Pharmaceutical Corp
001060
₩675.2B


Lock&amp;Lock Co Ltd
115390
₩669.8B


Source: KRX






Likely Deletes by KOSPI 200 Fast Entry on September 9: JW Pharma & Lock&Lock

There could be two changes to 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 September index futures expiry with <a href="https://www.smartkarma.com/entities/kakaobank-corp" target="_blank" data-smartkarma-citation="entities:33501:1" rel="noopener">KakaoBank (1349010D KS)</a> and <a href="https://www.smartkarma.com/entities/krafton-inc" target="_blank" data-smartkarma-citation="entities:28956:1" rel="noopener"> Krafton Inc (259960 KS)</a> getting Fast Entry and replacing <a href="https://www.smartkarma.com/entities/lock-lock-co-ltd" target="_blank" data-smartkarma-citation="entities:4739:1" rel="noopener">Lock&amp;Lock (115390 KS)</a> and <a href="https://www.smartkarma.com/entities/jw-pharmaceutical-corp" target="_blank" data-smartkarma-citation="entities:18784:1" rel="noopener">Jw Pharmaceutical (001060 KS)</a> at the close of trading on 9 September.Then, the Korea Exchange (KRX) will announce the results of the December 2021 review of 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> in November. The constituent changes will be effective after the close of trading on 9 December.We see 5 potential changes at the December rebalance with <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/sl-corp" target="_blank" data-smartkarma-citation="entities:20694:1" rel="noopener">SL Corp (005850 KS)</a>, <a href="https://www.smartkarma.com/entities/geneone-life-science-inc" target="_blank" data-smartkarma-citation="entities:6549:1" rel="noopener">GeneOne Life Science Inc. (011000 KS)</a>, <a href="https://www.smartkarma.com/entities/myoung-shin-industrial-co-ltd" target="_blank" data-smartkarma-citation="entities:29698:1" rel="noopener">Myoung Shin Industrial Co.,Ltd (009900 KS)</a> and <a href="https://www.smartkarma.com/entities/hyosung-chemical-corp" target="_blank" data-smartkarma-citation="entities:27752:1" rel="noopener">Hyosung Chemical Corp (298000 KS)</a> replacing <a href="https://www.smartkarma.com/entities/f-f-co-ltd" target="_blank" data-smartkarma-citation="entities:15983:1" rel="noopener">F&amp;F Co Ltd (007700 KS)</a>, <a href="https://www.smartkarma.com/entities/samyang-foods-co-ltd" target="_blank" data-smartkarma-citation="entities:9100:1" rel="noopener">Samyang Foods (003230 KS)</a>, <a href="https://www.smartkarma.com/entities/ilyang-pharmaceutical-co-ltd" target="_blank" data-smartkarma-citation="entities:2789:1" rel="noopener">Ilyang Pharmaceutical Co., (007570 KS)</a>, <a href="https://www.smartkarma.com/entities/lx-holdings" target="_blank" data-smartkarma-citation="entities:33384:1" rel="noopener">LX Holdings (383800 KS)</a> and <a href="https://www.smartkarma.com/entities/dongwon-f-b-co-ltd" target="_blank" data-smartkarma-citation="entities:3274:1" rel="noopener">Dongwon F&amp;B (049770 KS)</a>.The potential inclusions have been outperforming the potential exclusions and this could continue as short selling is only permitted on index constituents and as active funds position for the rebalance following excellent returns at the June rebalance.

There could be two changes to the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) at the September index futures expiry with KakaoBank (1349010D KS) and  Krafton Inc (259960 KS) getting Fast Entry and replacing Lock&amp;Lock (115390 KS) and Jw Pharmaceutical (001060 KS) at the close of trading on 9 September.Then, the Korea Exchange (KRX) will announce the results of the December 2021 review of the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) in November. The constituent changes will be effective after the close of trading on 9 December.We see 5 potential changes at the December rebalance with F&amp;F (383220 KS), SL Corp (005850 KS), GeneOne Life Science Inc. (011000 KS), Myoung Shin Industrial Co.,Ltd (009900 KS) and Hyosung Chemical Corp (298000 KS) replacing F&amp;F Co Ltd (007700 KS), Samyang Foods (003230 KS), Ilyang Pharmaceutical Co., (007570 KS), LX Holdings (383800 KS) and Dongwon F&amp;B (049770 KS).The potential inclusions have been outperforming the potential exclusions and this could continue as short selling is only permitted on index constituents and as active funds position for the rebalance following excellent returns at the June rebalance.

KOSPI200 Index Rebalance Preview: Two Changes in September; Five in December

The Korea Exchange (KRX) will announce the results of the December 2021 review of 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> in November. The constituent changes will be effective after the close of trading on 9 December.There could be a change at the September futures expiry with <a href="https://www.smartkarma.com/entities/sd-biosensor-inc" target="_blank" data-smartkarma-citation="entities:33333:1" rel="noopener">SD Biosensor (SDBIOZ KS)</a> getting Fast Entry into the index. We see <a href="https://www.smartkarma.com/entities/lock-lock-co-ltd" target="_blank" data-smartkarma-citation="entities:4739:1" rel="noopener">Lock&amp;Lock (115390 KS)</a> as a potential deletion to make way for <a href="https://www.smartkarma.com/entities/sd-biosensor-inc" target="_blank" data-smartkarma-citation="entities:33333:1" rel="noopener">SD Biosensor (SDBIOZ KS)</a>. At the current time, we see 3 potential changes at the regular review in December with F&amp;F Co (383220 KS), <a href="https://www.smartkarma.com/entities/sl-corp" target="_blank" data-smartkarma-citation="entities:20694:1" rel="noopener">Sl Corp (005850 KS)</a> and <a href="https://www.smartkarma.com/entities/seah-besteel-corp" target="_blank" data-smartkarma-citation="entities:11760:1" rel="noopener">Seah Besteel (001430 KS)</a> replacing <a href="https://www.smartkarma.com/entities/samyang-foods-co-ltd" target="_blank" data-smartkarma-citation="entities:9100:1" rel="noopener">Samyang Foods (003230 KS)</a>, <a href="https://www.smartkarma.com/entities/f-f-co-ltd" target="_blank" data-smartkarma-citation="entities:15983:1" rel="noopener">F&amp;F Co Ltd (007700 KS)</a> and <a href="https://www.smartkarma.com/entities/jw-pharmaceutical-corp" target="_blank" data-smartkarma-citation="entities:18784:1" rel="noopener">Jw Pharmaceutical (001060 KS)</a>. These names could change over the next few months and their prices (and the prices of the other stocks) move around.After the 100%+ returns in 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> June review by buying the inclusions and selling the exclusions (or the KOSPI2 index futures), there will be a lot of interest in the December review.In this Insight we look at the KOSPI 200 index methodology, the historical performance of inclusions vs exclusions, at potential candidates for inclusion/exclusion in this review and some of the details around the names.

The Korea Exchange (KRX) will announce the results of the December 2021 review of the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) in November. The constituent changes will be effective after the close of trading on 9 December.There could be a change at the September futures expiry with SD Biosensor (SDBIOZ KS) getting Fast Entry into the index. We see Lock&amp;Lock (115390 KS) as a potential deletion to make way for SD Biosensor (SDBIOZ KS). At the current time, we see 3 potential changes at the regular review in December with F&amp;F Co (383220 KS), Sl Corp (005850 KS) and Seah Besteel (001430 KS) replacing Samyang Foods (003230 KS), F&amp;F Co Ltd (007700 KS) and Jw Pharmaceutical (001060 KS). These names could change over the next few months and their prices (and the prices of the other stocks) move around.After the 100%+ returns in the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) June review by buying the inclusions and selling the exclusions (or the KOSPI2 index futures), there will be a lot of interest in the December review.In this Insight we look at the KOSPI 200 index methodology, the historical performance of inclusions vs exclusions, at potential candidates for inclusion/exclusion in this review and some of the details around the names.

KOSPI200 Index Rebalance Preview: Focus Shifts to December After a Fantastic June Review

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Cross Asset Strategy

The Korea Exchange announced its KOSDAQ150 and KRX300 indices rebalances today. There were 17 new additions and 17 deletions for KOSDAQ150. Most of the stocks that were expected to be included in KOSDAQ 150 were officially included in the rebalance. However there were a few surprises. For example <a href="https://www.smartkarma.com/entities/nanos-co-ltd" target="_blank" data-smartkarma-citation="entities:16796:1" rel="noopener">Nanos Co Ltd (151910 KS),</a>which was one of the stocks that was expected to be included in KOSDAQ150, did not get included in this indext this time. On the other hand, the following stocks including <a href="https://www.smartkarma.com/entities/sang-a-frontec-co-ltd" target="_blank" data-smartkarma-citation="entities:20692:1" rel="noopener">Sang A Frontec (089980 KS)</a>, Novarex (194700 KS(, CIS (222080 KS), MedPacto (215980 KS), <a href="https://www.smartkarma.com/entities/koreacenter-com-co-ltd" target="_blank" data-smartkarma-citation="entities:28329:1" rel="noopener">Koreacenter.com Co Ltd (290510 KS)</a>, and Soulbrain (357780 KS) which were not on the top of the lists of getting selected into the KOSDAQ150 index by the locals, were formally selected be part of the new KOSDAQ150 inclusions.  The Korea Exchange also made changes to the KRX300 index. Although the KRX300 index is not currently as important as KOSPI200 and KOSDAQ150 indices, it is increasingly gaining in importance among the local institutional investors. The KRX300 had 33 new additions and 35 deletions.

The Korea Exchange announced its KOSDAQ150 and KRX300 indices rebalances today. There were 17 new additions and 17 deletions for KOSDAQ150. Most of the stocks that were expected to be included in KOSDAQ 150 were officially included in the rebalance. However there were a few surprises. For example Nanos Co Ltd (151910 KS),which was one of the stocks that was expected to be included in KOSDAQ150, did not get included in this indext this time. On the other hand, the following stocks including Sang A Frontec (089980 KS), Novarex (194700 KS(, CIS (222080 KS), MedPacto (215980 KS), Koreacenter.com Co Ltd (290510 KS), and Soulbrain (357780 KS) which were not on the top of the lists of getting selected into the KOSDAQ150 index by the locals, were formally selected be part of the new KOSDAQ150 inclusions.  The Korea Exchange also made changes to the KRX300 index. Although the KRX300 index is not currently as important as KOSPI200 and KOSDAQ150 indices, it is increasingly gaining in importance among the local institutional investors. The KRX300 had 33 new additions and 35 deletions. 

KOSDAQ150 and KRX300 Indices Rebalances (Overlapping Additions & Deletions)

South Korea

LOCK&LOCK CO., LTD. produces and sells plastic food storage and outdoor airtight containers.  The Company also produces various materials such as ceramic ware, pot, glass, and other kitchen stuffs.

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Lock&Lock (115390 KS)

KOSPI200 September Rebalance Preview: Double Edged Sword

KakaoBank and Krafton are high probability inclusions to the KOSPI200 in September while Lock&Lock and JW Pharma are potential deletions. KakaoBank...

Brian Freitas

Likely Deletes by KOSPI 200 Fast Entry on September 9: JW Pharma & Lock&Lock

This post examines the likely deletes (JW Pharma & Lock&Lock) due to the KOSPI 200 Fast Entry on September 9. It looks into the passive impact and...

Sanghyun Park

KOSPI200 Index Rebalance Preview: Two Changes in September; Five in December

We see 2 potential Fast Entry changes in September & then 5 more changes at the December rebalance. The adds are outperforming the deletes and the...

Brian Freitas

KOSPI200 Index Rebalance Preview: Focus Shifts to December After a Fantastic June Review

We see 1 potential change in September and 3 potential changes at the KOSPI200 December review. Post the excellent returns at the June rebalance,...

Brian Freitas

KOSDAQ150 and KRX300 Indices Rebalances (Overlapping Additions & Deletions)

We highlight the KOSDAQ150 and KRX300 indices rebalances. There are some interesting new names, especially among those that are over lapping in...

Douglas Kim

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