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

Mirae Asset TIGER Secondary Cell ETF / Event-Driven

<ul>
<li>Next Thursday, the rebalancing trading of the WISE Secondary Cell Index will occur. The current AUM is ₩1.26T, and the AUM has slightly increased in the last two weeks.</li>
<li>Six names (2 Longs &amp; 4 Shorts) are screened: <strong>SK Innovation, LG Energy Solution, Posco Chemical, SKC Co Ltd, Iljin Materials, &amp; Solus Advanced Materials</strong>. </li>
<li>Considering the 20-day price returns, long/short basket trading seems valid as the long targets have relatively outperformed. However, since Solus Advanced Materials is short-restricted, we need to exclude it.</li>
</ul>


Next Thursday, the rebalancing trading of the WISE Secondary Cell Index will occur. The current AUM is ₩1.26T, and the AUM has slightly increased in the last two weeks.
Six names (2 Longs &amp; 4 Shorts) are screened: SK Innovation, LG Energy Solution, Posco Chemical, SKC Co Ltd, Iljin Materials, &amp; Solus Advanced Materials. 
Considering the 20-day price returns, long/short basket trading seems valid as the long targets have relatively outperformed. However, since Solus Advanced Materials is short-restricted, we need to exclude it.


WISE Secondary Cell Rebalancing (TIGER ETF): Long/Short Tradable Names

<ul>
<li>WISE Secondary Cell rebalances every quarter in January, April, July, and October. The effective date for the upcoming rebalancing is April 15.</li>
<li>The flow impact/price correlation of small/mid-caps is shown to be at a meaningful level. Therefore, we may need to design long/short basket trading setups focusing on these small/mid-caps.</li>
<li>The following five stocks are expected to have a significant level of flow impact at this point: SKC, Soulbrain, Youlchon Chemical, Posco Chemical, and LG Energy Solution.</li>
</ul>


WISE Secondary Cell rebalances every quarter in January, April, July, and October. The effective date for the upcoming rebalancing is April 15.
The flow impact/price correlation of small/mid-caps is shown to be at a meaningful level. Therefore, we may need to design long/short basket trading setups focusing on these small/mid-caps.
The following five stocks are expected to have a significant level of flow impact at this point: SKC, Soulbrain, Youlchon Chemical, Posco Chemical, and LG Energy Solution.


WISE Secondary Cell (TIGER ETF) Rebalancing Preview

<ul>
<li>KODEX battery ETF does rebalancing four times a year from this March. The rebalancing trading is done for 3-trading days from March 14 to 16, presumably equal daily weight.</li>
<li>Due to the low float rate, LG Energy will fall to third place. Samsung SDI should become the top constituent with a 20% cap, followed by SK Innovation at 15%.</li>
<li>The passive impact sizes of the top four stocks are significant, considering they are in the same sector. So, they should make themselves a suitable target for long/short basket trading.</li>
</ul>


KODEX battery ETF does rebalancing four times a year from this March. The rebalancing trading is done for 3-trading days from March 14 to 16, presumably equal daily weight.
Due to the low float rate, LG Energy will fall to third place. Samsung SDI should become the top constituent with a 20% cap, followed by SK Innovation at 15%.
The passive impact sizes of the top four stocks are significant, considering they are in the same sector. So, they should make themselves a suitable target for long/short basket trading.


KODEX (FnGuide) Battery ETF Rebalancing: Passive Flow Tracking for Two Remaining Days

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Quantitative Analysis

<ul>
<li>In this insight, we provide the data analysis regarding most shorted stocks and short selling ratios for stocks in KOSPI. </li>
<li>Among these 20 most shorted stocks in KOSPI, the % changes in the short amount on a one week and one month basis were -0.2% and 6.4%, respectively.</li>
<li>Among these 20 most shorted stocks in KOSPI, three stocks with the biggest decline in shorts on a one month basis included Krafton, Kumho Petro Chemical, and Samsung Heavy Industries. </li>
</ul>


In this insight, we provide the data analysis regarding most shorted stocks and short selling ratios for stocks in KOSPI. 
Among these 20 most shorted stocks in KOSPI, the % changes in the short amount on a one week and one month basis were -0.2% and 6.4%, respectively.
Among these 20 most shorted stocks in KOSPI, three stocks with the biggest decline in shorts on a one month basis included Krafton, Kumho Petro Chemical, and Samsung Heavy Industries. 


Korea Short Selling Data Analysis: Celltrion, Amorepacific, Hotel Shilla, & Hanssem

<ul>
<li>Three local indexes in Korea face rebalancing trading on March 10, supposedly at the close.</li>
<li>They are 1. KOSPI 200 Fast Entry for LG Energy Solution, 2. KOSPI Size Index Series biannual rebalancing, and 3. KRX BBIG K-New Deal biannual rebalancing.</li>
<li>There are 18 stocks in total, which have an estimated passive flow of ±0.5x ADTV &amp; an average daily trade value of +₩5.0B.</li>
</ul>


Three local indexes in Korea face rebalancing trading on March 10, supposedly at the close.
They are 1. KOSPI 200 Fast Entry for LG Energy Solution, 2. KOSPI Size Index Series biannual rebalancing, and 3. KRX BBIG K-New Deal biannual rebalancing.
There are 18 stocks in total, which have an estimated passive flow of ±0.5x ADTV &amp; an average daily trade value of +₩5.0B.


Combined Rebalancing Flow Estimations of Three Indexes in Korea on March 10

South Korea

Posco Future M Co., Ltd. manufactures and distributes energy materials. The Company produces battery materials, advanced chemical materials, basic industrial materials, and other related products. Posco Future M also produces lime chemical and refractory products.

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Posco Future M (003670 KS)

WISE Secondary Cell Rebalancing (TIGER ETF): Long/Short Tradable Names

This post recommends Long/Short tradable names for the rebalancing trading event of the WISE Secondary Cell Index (TIGER ETF) next Thursday.

Sanghyun Park

WISE Secondary Cell (TIGER ETF) Rebalancing Preview

This post previews the upcoming rebalancing of the WISE Secondary Cell Theme Index (TIGER ETF), whose effective date is April 15.

Sanghyun Park

KODEX (FnGuide) Battery ETF Rebalancing: Passive Flow Tracking for Two Remaining Days

This post tracks and estimates the passive flows of the KODEX (FnGuide) Battery ETF rebalancing for the remaining two days until this Tuesday.

Sanghyun Park

Korea Short Selling Data Analysis: Celltrion, Amorepacific, Hotel Shilla, & Hanssem

Among these 20 most shorted stocks in KOSPI, the % changes in the short amount on a one week and one month basis were -0.2% and 6.4%, respectively.

Douglas Kim

Combined Rebalancing Flow Estimations of Three Indexes in Korea on March 10

This post estimates the combined rebalancing flows of Korea's three local indexes, which should be seen on March 10, supposedly at the close.

Sanghyun Park

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