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

<h2>Rebalancing results</h2><p>The review period for the KOSPI 200 December rebalancing ended on October 29. Below are the results of applying the screening criteria based on the average daily market cap of the review period (May 3 to October 29).</p><section class="figure"><section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/239/758/original/Screen+Shot+2021-11-04+at+7.22.44+PM.png?1636068186" class="editor-image img-responsive" data-smartkarma-image-id="239758"></figure></section><ul>
<li><strong>As a result of regular rebalancing, we can see four adds and four deletes.</strong></li>
<li><strong>In addition, Hyundai Heavy Industries and Kakao Pay are almost 100% likely to join the KOSPI 200 through Fast Entry. The joining date of both will be December 10, the same date as the regular rebalancing.</strong></li>
<li><strong>The stocks that will leave the KOSPI 200 for HHI and Kakao Pay will be Nexen Tire and Lotte Himart (the stocks with the lowest average daily market cap in the previous review period).</strong></li>
</ul>
<h2>Passive impact</h2>
<p>The following is a passive impact assuming KOSPI 200 tracking funds at ₩80T, including both local pensions and variable insurance index funds in addition to ETFs/index funds.</p>
<div class="content-highlight"><p><strong>Compared to the absolute size of the passive impact, Meritz Financial Group (add) and Nexen Tire (delete) are likely to face relatively large flow effects.</strong></p></div>
<section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/239/760/original/Screen+Shot+2021-11-04+at+7.29.44+PM.png?1636068621" class="editor-image img-responsive" data-smartkarma-image-id="239760"></figure></section><p>Below is a passive impact that we can expect if only ₩20T of funds from local ETFs/index funds are applied. This can be seen as a size that will occur on the implementation date (at the close on December 9).</p>
<section class="figure"><section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/239/764/original/Screen+Shot+2021-11-04+at+7.36.10+PM.png?1636068984" class="editor-image img-responsive" data-smartkarma-image-id="239764"></figure></section></section></section>

Rebalancing resultsThe review period for the KOSPI 200 December rebalancing ended on October 29. Below are the results of applying the screening criteria based on the average daily market cap of the review period (May 3 to October 29).
As a result of regular rebalancing, we can see four adds and four deletes.
In addition, Hyundai Heavy Industries and Kakao Pay are almost 100% likely to join the KOSPI 200 through Fast Entry. The joining date of both will be December 10, the same date as the regular rebalancing.
The stocks that will leave the KOSPI 200 for HHI and Kakao Pay will be Nexen Tire and Lotte Himart (the stocks with the lowest average daily market cap in the previous review period).

Passive impact
The following is a passive impact assuming KOSPI 200 tracking funds at ₩80T, including both local pensions and variable insurance index funds in addition to ETFs/index funds.
Compared to the absolute size of the passive impact, Meritz Financial Group (add) and Nexen Tire (delete) are likely to face relatively large flow effects.
Below is a passive impact that we can expect if only ₩20T of funds from local ETFs/index funds are applied. This can be seen as a size that will occur on the implementation date (at the close on December 9).


KOSPI 200 Rebalancing Update After the Review Period Ended

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

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

HD Hyundai Heavy Industries  / Event-Driven

<p>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> later this month and the constituent changes will be effective after the close of trading on 9 December.</p><p>With the review period now complete, we see 7 potential inclusions (5 regular + 2 Fast Entry) and 8 potential deletions from the index. There is one extra deletion to keep the number of index constituents at 200 following the inclusion of SK Square in the index post its spin-off from <a href="https://www.smartkarma.com/entities/sk-telecom-co-ltd-bbccd86c-474d-4a4d-946d-10e911a225a2" target="_blank" data-smartkarma-citation="entities:395:1" rel="noopener">SK Telecom (017670 KS)</a>.</p><p>The potential regular inclusions are <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/skckolonpi-inc" target="_blank" data-smartkarma-citation="entities:9196:1" rel="noopener">Skckolonpi Inc (178920 KS)</a>, <a href="https://www.smartkarma.com/entities/meritz-financial-group-inc" target="_blank" data-smartkarma-citation="entities:11776:1" rel="noopener">Meritz Financial Group (138040 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> and <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> while the potential Fast Entry inclusions are <a href="https://www.smartkarma.com/entities/hyundai-heavy-industries-co-ltd" target="_blank" data-smartkarma-citation="entities:33808:1" rel="noopener">Hyundai Heavy Industries (329180 KS)</a> and <a href="https://www.smartkarma.com/entities/kakao-pay-corp" target="_blank" data-smartkarma-citation="entities:29675:1" rel="noopener">Kakao Pay (377300 KS)</a>.</p><p>The potential deletions are <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>, <a href="https://www.smartkarma.com/entities/lotte-himart-co-ltd" target="_blank" data-smartkarma-citation="entities:12895:1" rel="noopener">Lotte Himart (071840 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>, <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>, <a href="https://www.smartkarma.com/entities/lx-hausys-ltd" target="_blank" data-smartkarma-citation="entities:11613:1" rel="noopener">LX Hausys Ltd (108670 KS)</a> and <a href="https://www.smartkarma.com/entities/nexen-tire-corp" target="_blank" data-smartkarma-citation="entities:14206:1" rel="noopener">Nexen Tire Corp (002350 KS)</a>.</p><p>There are quite a few stocks that are close adds but just miss out on making the 85% cumulative market cap cut or the 90% of current stocks from the sector in the index cut.</p><p>The potential inclusions have outperformed the potential deletions since August. After giving up some gains and then consolidating, the potential inclusion have started to outperform the potential deletions again over the last week.</p>

The Korea Exchange (KRX) will announce the results of the December 2021 review of the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) later this month and the constituent changes will be effective after the close of trading on 9 December.With the review period now complete, we see 7 potential inclusions (5 regular + 2 Fast Entry) and 8 potential deletions from the index. There is one extra deletion to keep the number of index constituents at 200 following the inclusion of SK Square in the index post its spin-off from SK Telecom (017670 KS).The potential regular inclusions are F&amp;F (383220 KS), Skckolonpi Inc (178920 KS), Meritz Financial Group (138040 KS), SL Corp (005850 KS) and Myoung Shin Industrial Co.,Ltd (009900 KS) while the potential Fast Entry inclusions are Hyundai Heavy Industries (329180 KS) and Kakao Pay (377300 KS).The potential deletions are Samyang Foods (003230 KS), Ilyang Pharmaceutical Co., (007570 KS), LX Holdings (383800 KS), Lotte Himart (071840 KS), F&amp;F Co Ltd (007700 KS), Dongwon F&amp;B (049770 KS), LX Hausys Ltd (108670 KS) and Nexen Tire Corp (002350 KS).There are quite a few stocks that are close adds but just miss out on making the 85% cumulative market cap cut or the 90% of current stocks from the sector in the index cut.The potential inclusions have outperformed the potential deletions since August. After giving up some gains and then consolidating, the potential inclusion have started to outperform the potential deletions again over the last week.

KOSPI200 Index Rebalance Preview:  Review Period Complete & Trades Performing Well

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

<div class="content-highlight">
<p>In this insight, we provide a trading strategy on the upcoming KOSPI 200 rebalance announcement in November amid heightened market volatility. The classic "bread and butter" trading strategy is to go long on the companies that could get included in the KOSPI 200 rebalance and go short on the companies that could get excluded. However, this is typical on relatively normal market conditions. In this high vol market environment, we would argue that this strategy should be tweaked a bit. </p>
<p>In the tables below, we provided a list of 7 stocks that could get included and 10 stocks that could get excluded in the next round of KOSPI 200 rebalance. In normal conditions, the regular strategy would be to go long on the 7 stocks which could get included and go short on the 10 stocks that could get excluded. </p>
<p>Because of heightened market volatility, we would argue that a BETTER strategy is to go long on the top 3 high market cap companies (which tend to be more resistant to high volatility environment) which would be SK Telecom/SK Square, Hyundai Heavy Industries, and Meritz Financial and go short on the 10 stocks that could get excluded in the KOSPI 200 rebalance. </p>
</div>


In this insight, we provide a trading strategy on the upcoming KOSPI 200 rebalance announcement in November amid heightened market volatility. The classic "bread and butter" trading strategy is to go long on the companies that could get included in the KOSPI 200 rebalance and go short on the companies that could get excluded. However, this is typical on relatively normal market conditions. In this high vol market environment, we would argue that this strategy should be tweaked a bit. 
In the tables below, we provided a list of 7 stocks that could get included and 10 stocks that could get excluded in the next round of KOSPI 200 rebalance. In normal conditions, the regular strategy would be to go long on the 7 stocks which could get included and go short on the 10 stocks that could get excluded. 
Because of heightened market volatility, we would argue that a BETTER strategy is to go long on the top 3 high market cap companies (which tend to be more resistant to high volatility environment) which would be SK Telecom/SK Square, Hyundai Heavy Industries, and Meritz Financial and go short on the 10 stocks that could get excluded in the KOSPI 200 rebalance. 


A Trading Strategy on the Upcoming KOSPI 200 Index Rebalance Amid Heightened Market Volatility

<p>KOSPI 200 December rebalancing's review period is May 1 to October 31.</p><h2>Adds</h2><p>Below is the list of the likely additions based on the average daily market cap from May 1 to yesterday. All of them have a pretty decent shot at joining KOSPI 200 at this point.</p><table class="table table-striped">
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<col width="100">
<col width="100">
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<tbody>
<tr>
<td data-sheets-value='{"1":2,"2":"KOSPI 200 adds - screening"}'>KOSPI 200 adds - screening</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Ticker"}'>Ticker</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Cumulative average daily market cap"}'>Cumulative average daily market cap</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Average daily market cap ranking"}'>Average daily market cap ranking</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Cumulative average daily trading value"}'>Cumulative average daily trading value</td>
</tr>
<tr>
<td></td>
<td style="text-align: right;"></td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"&gt; 15th percentile"}'>&gt; 15th percentile</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"&lt; 90.00%"}'>&lt; 90.00%</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"&gt; 15th percentile"}'><div><div>&gt; 15th percentile</div></div></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"PI Advanced Materials Co Ltd"}'><strong>PI Advanced Materials</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":178920}'>178920</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.19436336904045193}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>19.44%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.8148148148148148}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>81.48%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.8313253012048193}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'>83.13%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Myoung Shin Industrial Co Ltd"}'><strong>Myoung Shin Industrial</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"009900"}'>009900</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.18064633216832338}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>18.06%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.6388888888888888}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>63.89%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.9681528662420382}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'>96.82%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"SL Corp"}'><strong>SL Corp</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"005850"}'>005850</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.16233071177081637}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>16.23%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.7222222222222222}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>72.22%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.6751592356687899}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'>67.52%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Meritz Financial Group Inc"}'><strong>Meritz Financial Group</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":138040}'>138040</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.18331189030260275}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>18.33%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.8947368421052632}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>89.47%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.6268656716417911}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'>62.69%</td>
</tr>
<tr><td colspan="5" rowspan="1" data-sheets-value='{"1":2,"2":"Source: KRX &amp; FnGuide"}'>Source: KRX &amp; FnGuide</td></tr>
</tbody>
</table><div class="content-highlight"><p>F&amp;F (383220), Iljin Hysolus (271940), and SD Biosensor (137310) are also meeting the inclusion screening requirements. But they do not meet the minimum listing period of 6 months, so they will not be included in the index for this rebalancing. At their current market caps, they will likely join KOSPI 200 in the June rebalancing next year.</p></div><p>Below are the passive inflow estimates for each likely addition. Meritz Financial Group and SL Corp are expected to experience significant passive inflow at 1.91x and 1.69x compared to ADTV, respectively.</p><table class="table table-striped">
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<tbody>
<tr>
<td data-sheets-value='{"1":2,"2":"KOSPI 200 adds - passive inflow"}'>KOSPI 200 adds - passive inflow</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Ticker"}'>Ticker</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Estimated passive inflow"}'>Estimated passive inflow</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Shares in"}'>Shares-in</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Days to buy"}'>Days to buy (est. passive inflow / ADTV)</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"PI Advanced Materials Co Ltd"}'><strong>PI Advanced Materials</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":178920}'>178920</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":10.825840665461046}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>₩10.8B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":214798.42590200488}' data-sheets-numberformat='{"1":2,"2":"#,##0","3":1}'>214,798</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.9039685638683741}' data-sheets-numberformat='{"1":2,"2":"#,##0.00x","3":1}'><strong>0.90x</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Myoung Shin Industrial Co Ltd"}'><strong>Myoung Shin Industrial</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"009900"}'>009900</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":10.991761963498126}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>₩11.0B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":427695.0180349466}' data-sheets-numberformat='{"1":2,"2":"#,##0","3":1}'>427,695</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.30905100286068315}' data-sheets-numberformat='{"1":2,"2":"#,##0.00x","3":1}'><strong>0.31x</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"SL Corp"}'><strong>SL Corp</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"005850"}'>005850</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":6.550051172140481}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>₩6.6B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":254370.91930642645}' data-sheets-numberformat='{"1":2,"2":"#,##0","3":1}'>254,371</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.6851889200919719}' data-sheets-numberformat='{"1":2,"2":"#,##0.00x","3":1}'><strong>1.69x</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Meritz Financial Group Inc"}'><strong>Meritz Financial Group</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":138040}'>138040</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":15.155515711760314}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>₩15.2B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":470668.18980622094}' data-sheets-numberformat='{"1":2,"2":"#,##0","3":1}'>470,668</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.905338234034025}' data-sheets-numberformat='{"1":2,"2":"#,##0.00x","3":1}'><strong>1.91x</strong></td>
</tr>
<tr><td colspan="5" rowspan="1" data-sheets-value='{"1":2,"2":"Source: KRX &amp; FnGuide"}'>Source: KRX &amp; FnGuide</td></tr>
</tbody>
</table><h2>Deletes</h2><p>Below is the list of the likely deletions based on the average daily market cap from May 1 to yesterday. Of these five candidates, the first three have a higher chance of leaving the index. Then, one of the last two (Lotte Himart or LX Hausys) will likely join the rest to leave the index.</p><table class="table table-striped">
<colgroup>
<col width="100">
<col width="100">
<col width="100">
<col width="100">
<col width="100">
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<tbody>
<tr>
<td data-sheets-value='{"1":2,"2":"KOSPI 200 deletes - screening"}'>KOSPI 200 deletes - screening</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Ticker"}'>Ticker</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Cumulative average daily market cap"}'>Cumulative average daily market cap</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Average daily market cap ranking"}'>Average daily market cap ranking</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Cumulative average daily trading value"}'>Cumulative average daily trading value</td>
</tr>
<tr>
<td></td>
<td style="text-align: right;"></td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"&gt; 15th percentile"}'>&lt; 15th percentile</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"&gt; 110.00%"}'>&gt; 110.00%</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"&gt; 15th percentile"}'><div><div>&gt; 15th percentile</div></div></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Samyang Foods Co Ltd"}'><strong>Samyang Foods</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"003230"}'>003230</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.09118900815365227}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>9.12%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.2173913043478262}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>121.74%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.5416666666666667}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'>54.17%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Ilyang Pharmaceutical Co., Ltd"}'><strong>Ilyang Pharmaceutical</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"007570"}'>007570</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.05931317465504915}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>5.93%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.4444444444444444}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>144.44%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.5614035087719298}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'>56.14%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"LX Holdings Corp"}'><strong>LX Holdings</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":383800}'>383800</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.09812342876337998}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>9.81%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.2}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>120.00%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.5176470588235293}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'>51.76%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"LOTTE Himart Co Ltd"}'><strong>LOTTE Himart</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"071840"}'>071840</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.09733771137498692}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>9.73%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.1388888888888888}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>113.89%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.5605095541401274}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'>56.05%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"LX Hausys Ltd"}'><strong>LX Hausys</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":108670}'>108670</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.10423769792069448}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>10.42%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.16}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'><strong>116.00%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.6705882352941177}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'>67.06%</td>
</tr>
<tr><td colspan="5" rowspan="1" data-sheets-value='{"1":2,"2":"Source: KRX &amp; FnGuide"}'>Source: KRX &amp; FnGuide</td></tr>
</tbody>
</table><p>Below are the passive outflow estimates for each likely deletion. Samyang Foods and Lotte Himart will likely suffer the harshest passive outflow at 2.40x and 2.12x compared to ADTV, respectively.</p><table class="table table-striped">
<colgroup>
<col width="100">
<col width="100">
<col width="100">
<col width="100">
<col width="100">
</colgroup>
<tbody>
<tr>
<td data-sheets-value='{"1":2,"2":"KOSPI 200 deletes - passive outflow"}'>KOSPI 200 deletes - passive outflow</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Ticker"}'>Ticker</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Estimated passive outflow"}'>Estimated passive outflow</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Shares-out"}'>Shares-out</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Days to cover"}'>Days to cover (est. passive outflow / ADTV)</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Samyang Foods Co Ltd"}'><strong>Samyang Foods</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"003230"}'>003230</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":4}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>₩4.0B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":46948.35680751174}' data-sheets-numberformat='{"1":2,"2":"#,##0","3":1}'>46,948</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":2.3955941922623576}' data-sheets-numberformat='{"1":2,"2":"#,##0.00x","3":1}'><strong>2.40x</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Ilyang Pharmaceutical Co., Ltd"}'><strong>Ilyang Pharmaceutical</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"007570"}'>007570</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":5.999999999999999}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>₩6.0B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":207972.27036395145}' data-sheets-numberformat='{"1":2,"2":"#,##0","3":1}'>207,972</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.1713189148648702}' data-sheets-numberformat='{"1":2,"2":"#,##0.00x","3":1}'><strong>1.17x</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"LX Holdings Corp"}'><strong>LX Holdings</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":383800}'>383800</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":5.999999999999999}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>₩6.0B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":673400.6734006733}' data-sheets-numberformat='{"1":2,"2":"#,##0","3":1}'>673,401</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.7705475669560264}' data-sheets-numberformat='{"1":2,"2":"#,##0.00x","3":1}'><strong>1.77x</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"LOTTE Himart Co Ltd"}'><strong>LOTTE Himart</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"071840"}'>071840</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":4}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>₩4.0B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":139616.05584642233}' data-sheets-numberformat='{"1":2,"2":"#,##0","3":1}'>139,616</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":2.1244720753282564}' data-sheets-numberformat='{"1":2,"2":"#,##0.00x","3":1}'><strong>2.12x</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"LX Hausys Ltd"}'><strong>LX Hausys</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":108670}'>108670</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":8}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>₩8.0B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":108695.65217391304}' data-sheets-numberformat='{"1":2,"2":"#,##0","3":1}'>108,696</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.2487943625014968}' data-sheets-numberformat='{"1":2,"2":"#,##0.00x","3":1}'><strong>1.25x</strong></td>
</tr>
<tr><td colspan="5" rowspan="1" data-sheets-value='{"1":2,"2":"Source: KRX &amp; FnGuide"}'>Source: KRX &amp; FnGuide</td></tr>
</tbody>
</table>

KOSPI 200 December rebalancing's review period is May 1 to October 31.AddsBelow is the list of the likely additions based on the average daily market cap from May 1 to yesterday. All of them have a pretty decent shot at joining KOSPI 200 at this point.









KOSPI 200 adds - screening
Ticker
Cumulative average daily market cap
Average daily market cap ranking
Cumulative average daily trading value




&gt; 15th percentile
&lt; 90.00%
&gt; 15th percentile


PI Advanced Materials
178920
19.44%
81.48%
83.13%


Myoung Shin Industrial
009900
18.06%
63.89%
96.82%


SL Corp
005850
16.23%
72.22%
67.52%


Meritz Financial Group
138040
18.33%
89.47%
62.69%

Source: KRX &amp; FnGuide

F&amp;F (383220), Iljin Hysolus (271940), and SD Biosensor (137310) are also meeting the inclusion screening requirements. But they do not meet the minimum listing period of 6 months, so they will not be included in the index for this rebalancing. At their current market caps, they will likely join KOSPI 200 in the June rebalancing next year.Below are the passive inflow estimates for each likely addition. Meritz Financial Group and SL Corp are expected to experience significant passive inflow at 1.91x and 1.69x compared to ADTV, respectively.









KOSPI 200 adds - passive inflow
Ticker
Estimated passive inflow
Shares-in
Days to buy (est. passive inflow / ADTV)


PI Advanced Materials
178920
₩10.8B
214,798
0.90x


Myoung Shin Industrial
009900
₩11.0B
427,695
0.31x


SL Corp
005850
₩6.6B
254,371
1.69x


Meritz Financial Group
138040
₩15.2B
470,668
1.91x

Source: KRX &amp; FnGuide

DeletesBelow is the list of the likely deletions based on the average daily market cap from May 1 to yesterday. Of these five candidates, the first three have a higher chance of leaving the index. Then, one of the last two (Lotte Himart or LX Hausys) will likely join the rest to leave the index.









KOSPI 200 deletes - screening
Ticker
Cumulative average daily market cap
Average daily market cap ranking
Cumulative average daily trading value




&lt; 15th percentile
&gt; 110.00%
&gt; 15th percentile


Samyang Foods
003230
9.12%
121.74%
54.17%


Ilyang Pharmaceutical
007570
5.93%
144.44%
56.14%


LX Holdings
383800
9.81%
120.00%
51.76%


LOTTE Himart
071840
9.73%
113.89%
56.05%


LX Hausys
108670
10.42%
116.00%
67.06%

Source: KRX &amp; FnGuide

Below are the passive outflow estimates for each likely deletion. Samyang Foods and Lotte Himart will likely suffer the harshest passive outflow at 2.40x and 2.12x compared to ADTV, respectively.









KOSPI 200 deletes - passive outflow
Ticker
Estimated passive outflow
Shares-out
Days to cover (est. passive outflow / ADTV)


Samyang Foods
003230
₩4.0B
46,948
2.40x


Ilyang Pharmaceutical
007570
₩6.0B
207,972
1.17x


LX Holdings
383800
₩6.0B
673,401
1.77x


LOTTE Himart
071840
₩4.0B
139,616
2.12x


LX Hausys
108670
₩8.0B
108,696
1.25x

Source: KRX &amp; FnGuide



KOSPI 200 December Rebalancing: 5 Adds/Deletes & Special Considerations

<p>In this insight, we discuss the stocks that could get included or excluded in the November 2021 KOSPI 200 rebalance. We highlight 15 stocks that could get included and 10 stocks that could get excluded in the upcoming KOSPI 200 rebalance.</p><div class="content-highlight">
<p>This rebalance of the KOSPI 200 strategy is a type of<strong> momentum-driven strategy.</strong> The 15 stocks that we think could get included in the next KOSPI 200 rebalance have generated strong share price performances <strong>(up 55% on average in the past six months</strong>). </p>
<p>On the other hand, the 10 stocks which we think could get excluded in the next KOSPI 200 rebalance (the bottom 5% of KOSPI 200 index in terms of market cap) have done much worse in terms of their share price performance (<strong>down 6.1% on average in the past six months</strong>). </p>
</div>

In this insight, we discuss the stocks that could get included or excluded in the November 2021 KOSPI 200 rebalance. We highlight 15 stocks that could get included and 10 stocks that could get excluded in the upcoming KOSPI 200 rebalance.
This rebalance of the KOSPI 200 strategy is a type of momentum-driven strategy. The 15 stocks that we think could get included in the next KOSPI 200 rebalance have generated strong share price performances (up 55% on average in the past six months). 
On the other hand, the 10 stocks which we think could get excluded in the next KOSPI 200 rebalance (the bottom 5% of KOSPI 200 index in terms of market cap) have done much worse in terms of their share price performance (down 6.1% on average in the past six months). 


Potential Changes of KOSPI 200 Index Components in the November 2021 Rebalance

South Korea

Meritz Financial Group Inc is a holding company of Meritz Securities, Meritz Asset Management, Meritz Financial Information Service and et cetera. The Company manages and controls its financial subsidiaries.

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Meritz Financial Group (138040 KS)

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