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 results are pretty much in line with the predictions, except for Hanwha Aerospace which made it to LARGE instead of Hyundai Marine &amp; Fire Insurance.</li>
<li>Assuming that ten names, including Hyundai Marine, were traded in a LONG/SHORT basket with equal weight, the yield from August 17 to the last close would have been 4.6%.</li>
<li>I would still approach with an equal-weighted basket trading until this Thursday. This flow trading usually loses its effect rapidly after rebalancing. So, I wouldn't carry it beyond this Thursday.</li>
</ul>


The results are pretty much in line with the predictions, except for Hanwha Aerospace which made it to LARGE instead of Hyundai Marine &amp; Fire Insurance.
Assuming that ten names, including Hyundai Marine, were traded in a LONG/SHORT basket with equal weight, the yield from August 17 to the last close would have been 4.6%.
I would still approach with an equal-weighted basket trading until this Thursday. This flow trading usually loses its effect rapidly after rebalancing. So, I wouldn't carry it beyond this Thursday.


KOSPI Size Index Migration: Official Results & Trading Approach Towards Implementation

GS Engineering & Construction / Event-Driven

<ul>
<li>Eight stocks are highly likely to migrate with a substantial passive flow. Compared to the early phase of the screening period, GS Engineering &amp; Construction newly made the list.</li>
<li>Most names should show a quite substantial passive flow (x ADTV). In particular, KCC Corp and BGF Retail deserve our special attention for their expected passive impact.</li>
<li>The flow occurs on high potential migration stocks about 20 days before the effective date. So I would start building Long/Short Basket positions with the above eight names around mid-August.</li>
</ul>


Eight stocks are highly likely to migrate with a substantial passive flow. Compared to the early phase of the screening period, GS Engineering &amp; Construction newly made the list.
Most names should show a quite substantial passive flow (x ADTV). In particular, KCC Corp and BGF Retail deserve our special attention for their expected passive impact.
The flow occurs on high potential migration stocks about 20 days before the effective date. So I would start building Long/Short Basket positions with the above eight names around mid-August.


KOSPI Size Index Series Rebalancing in September: Eight Strong Targets

Index Rebalance

<ul>
<li>We generally detect an increase in the buying volume of local institutions for stocks moving from Large Cap to Mid Cap ahead of the KOSPI size index rebalancing.</li>
<li>At the last close, Mid→Large: Pan Ocean, Hyundai Mipo, BGF Retail, &amp; OCI / Large→Mid: Hanmi Science, KCC, DB Hitek, &amp; KEPCO E&amp;C
</li>
<li>The level of price impact/correlation in the last rebalancing was exceptionally high. This is reason enough for us to consider setting up a preemptive position for this rebalancing event.</li>
</ul>


We generally detect an increase in the buying volume of local institutions for stocks moving from Large Cap to Mid Cap ahead of the KOSPI size index rebalancing.
At the last close, Mid→Large: Pan Ocean, Hyundai Mipo, BGF Retail, &amp; OCI / Large→Mid: Hanmi Science, KCC, DB Hitek, &amp; KEPCO E&amp;C

The level of price impact/correlation in the last rebalancing was exceptionally high. This is reason enough for us to consider setting up a preemptive position for this rebalancing event.


KOSPI Size Index Series: September Rebalancing Preview

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Equity Bottom-Up

<ul>
<li>This is the second weekly series on the "Top 20 Best Performers in the Korean Stock Market Adjusted for Trading Value &amp; Mkt Cap." </li>
<li>Starting this weekly, we include stocks in both KOSPI and KOSDAQ. All the stocks in KOSPI and KOSDAQ are ranked, adjusted for market cap and trading value. </li>
<li>Among the top 20 performers, NCSoft, Hyundai Motor, Kia Motors, Dohwa Engineering, DB Hitek, SK Telecom, and KT Corp were included. </li>
</ul>


This is the second weekly series on the "Top 20 Best Performers in the Korean Stock Market Adjusted for Trading Value &amp; Mkt Cap." 
Starting this weekly, we include stocks in both KOSPI and KOSDAQ. All the stocks in KOSPI and KOSDAQ are ranked, adjusted for market cap and trading value. 
Among the top 20 performers, NCSoft, Hyundai Motor, Kia Motors, Dohwa Engineering, DB Hitek, SK Telecom, and KT Corp were included. 


Top 20 Best Performers in the Korean Stock Market (Week of 13 May)

<ul>
<li>KOSPI Size Index Series rebalances twice a year in March and September. The base date is February 28. It is a three-month review, so, from December 1 to February 28.</li>
<li>In the KOSPI size index rebalancing, an increase in the buying volume of local institutions for stocks moving from LargeCap to MidCap is generally detected. </li>
<li>14 new MidCap entrants are expected to have a sizable passive impact.</li>
</ul>


KOSPI Size Index Series rebalances twice a year in March and September. The base date is February 28. It is a three-month review, so, from December 1 to February 28.
In the KOSPI size index rebalancing, an increase in the buying volume of local institutions for stocks moving from LargeCap to MidCap is generally detected. 
14 new MidCap entrants are expected to have a sizable passive impact.


KOSPI Size Index Series Rebalancing Screening Results

South Korea

Pan Ocean Co., Ltd. is a Korean shipping company that engages in marine transportation business. The Company provides bulk cargo carrier, pure car and truck carrier, container and tanker services.

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Pan Ocean (028670 KS)

KOSPI Size Index Migration: Official Results & Trading Approach Towards Implementation

This post looks at the official results of the KOSPI Size Index migration in the September rebalancing and discusses the noteworthy flow patterns...

Sanghyun Park

KOSPI Size Index Series Rebalancing in September: Eight Strong Targets

This post filters eight strong targets for long/short basket trading ahead of the September KOSPI Size Index Series rebalancing.

Sanghyun Park

KOSPI Size Index Series: September Rebalancing Preview

This post previews the upcoming rebalancing event of the KOSPI Size Index Series. Mid→Large: Pan Ocean, Hyundai Mipo, BGF Retail, & OCI /...

Sanghyun Park

Top 20 Best Performers in the Korean Stock Market (Week of 13 May)

This is the second weekly series on the "Top 20 Best Performers in the Korean Stock Market Adjusted for Trading Value & Mkt Cap." Starting this...

Douglas Kim

KOSPI Size Index Series Rebalancing Screening Results

This post has the screening results of the KOSPI Size Index Series rebalancing: 14 new MidCap entrants are expected to have a sizable passive impact.

Sanghyun Park

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