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>KOSPI 200 IT sector index rebalances twice a year in June and December. The effective date for the upcoming rebalancing is June 10.</li>
<li>The IT sector has a high degree of price cointegration of the stocks within the sector. Therefore, the impact/price correlation is robust despite a smaller impact size.</li>
<li>At this point, the following three stocks deserve our attention: Samsung SDI, Kakao Pay, and LG Corp. We can expect a passive inflow of +0.15x for these highly liquid names.</li>
</ul>


KOSPI 200 IT sector index rebalances twice a year in June and December. The effective date for the upcoming rebalancing is June 10.
The IT sector has a high degree of price cointegration of the stocks within the sector. Therefore, the impact/price correlation is robust despite a smaller impact size.
At this point, the following three stocks deserve our attention: Samsung SDI, Kakao Pay, and LG Corp. We can expect a passive inflow of +0.15x for these highly liquid names.


KOSPI 200 IT (TIGER ETF) Rebalancing Preview

Asian Insight Provider - Actionable ideas, CrossASEAN Research

Henry Soediarko

Asian Insight Provider - Actionable ideas

CrossASEAN Research

At CrossASEAN Research we strive to produce unbiased and differentiated on the ground insights on companies across South East Asia. Our Research is produced for the most part after face to face meetings and conversations with company management to dig deep into the long term vision and strategy of the companies we cover. We seek to deliver investable and actionable themes on sectors and markets across SE Asia, often in collaboration with other Insight Providers across the region, pooling the vast experience of the analysts within the Smartkarma Ecosystem. We also offer bespoke work and tailor made trips for our clients. 

Insights across South East Asia

Equity Bottom-Up

<ul>
<li>Nickel price was the catalyst for the share price underperformance in the last 2 weeks, especially after the Russian invasion of Ukraine which drove it up to a 100% increase.</li>
<li>Its main product is a lithium-ion secondary battery separator that is critical for rechargeable battery safety. Thus the sell-off due to the higher commodity price especially nickel is unwarranted.</li>
<li>
<a href="https://www.smartkarma.com/entities/w-scope-corp" target="_blank" data-smartkarma-citation="entities:8597:1" rel="noopener">W Scope Corp (6619 JP)</a> share price has underperformed the NCM and LFP battery makers presents a compelling buying opportunity. </li>
</ul>


Nickel price was the catalyst for the share price underperformance in the last 2 weeks, especially after the Russian invasion of Ukraine which drove it up to a 100% increase.
Its main product is a lithium-ion secondary battery separator that is critical for rechargeable battery safety. Thus the sell-off due to the higher commodity price especially nickel is unwarranted.

W Scope Corp (6619 JP) share price has underperformed the NCM and LFP battery makers presents a compelling buying opportunity. 


W Scope (6619): Wrong Victim of Nickel Price Surge

<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

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

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

<ul>
<li>The announced changes are exactly in line with our forecasts with one change each for the Secondary Battery, Bio and Game Index. There are three changes to the Internet Index.</li>
<li>There are two changes to the BBIG Index with <a href="https://www.smartkarma.com/entities/lg-energy-solution" target="_blank" data-smartkarma-citation="entities:33464:1" rel="noopener">LG Energy Solution (373220 KS)</a> replacing <a href="https://www.smartkarma.com/entities/lg-chem-ltd" target="_blank" data-smartkarma-citation="entities:3583:1" rel="noopener">LG Chem Ltd (051910 KS)</a> and <a href="https://www.smartkarma.com/entities/afreecatv-co-ltd" target="_blank" data-smartkarma-citation="entities:20163:1" rel="noopener">AfreecaTV (067160 KS)</a> replacing <a href="https://www.smartkarma.com/entities/douzone-bizon-co-ltd" target="_blank" data-smartkarma-citation="entities:20161:1" rel="noopener">Douzone Bizon (012510 KS)</a>. </li>
<li>The largest buying impact will be on <a href="https://www.smartkarma.com/entities/afreecatv-co-ltd" target="_blank" data-smartkarma-citation="entities:20163:1" rel="noopener">AfreecaTV (067160 KS)</a> while the largest selling impact will be on <a href="https://www.smartkarma.com/entities/douzone-bizon-co-ltd" target="_blank" data-smartkarma-citation="entities:20161:1" rel="noopener">Douzone Bizon (012510 KS)</a>, <a href="https://www.smartkarma.com/entities/soulbrain-co-ltd-4208cf78-7fa9-4449-af35-bd0bde9d4726" target="_blank" data-smartkarma-citation="entities:35407:1" rel="noopener">Soulbrain (357780)</a> and <a href="https://www.smartkarma.com/entities/lg-chem-ltd" target="_blank" data-smartkarma-citation="entities:3583:1" rel="noopener">LG Chem Ltd (051910 KS)</a>.</li>
</ul>


The announced changes are exactly in line with our forecasts with one change each for the Secondary Battery, Bio and Game Index. There are three changes to the Internet Index.
There are two changes to the BBIG Index with LG Energy Solution (373220 KS) replacing LG Chem Ltd (051910 KS) and AfreecaTV (067160 KS) replacing Douzone Bizon (012510 KS). 
The largest buying impact will be on AfreecaTV (067160 KS) while the largest selling impact will be on Douzone Bizon (012510 KS), Soulbrain (357780) and LG Chem Ltd (051910 KS).


KRX New Deal Index Rebalance: No Surprises as LG Chem Not Deleted from Battery Index

<ul>
<li>FnGuide Samsung Group has the most AUM among locally themed indexes. As of last Friday's closing price, AUM is ₩1.52T.</li>
<li>The share price movements of Samsung Group affiliates basically show high cointegration. Therefore, a small differential impact on the flow significantly affects the short-term price direction of these stocks. </li>
<li>So, we should consider a long/short setup on a swing trading window. Particularly, we need to focus on the first two trading days, when the rebalancing impact is relatively significant.</li>
</ul>


FnGuide Samsung Group has the most AUM among locally themed indexes. As of last Friday's closing price, AUM is ₩1.52T.
The share price movements of Samsung Group affiliates basically show high cointegration. Therefore, a small differential impact on the flow significantly affects the short-term price direction of these stocks. 
So, we should consider a long/short setup on a swing trading window. Particularly, we need to focus on the first two trading days, when the rebalancing impact is relatively significant.


FnGuide Samsung Group Index Rebalancing Preview

South Korea

Samsung SDI Co., Ltd. specializes in developing Lithium Ion Battery (LIB) technology.  The Company also manufactures cathode ray tubes (CRTs) for televisions and computer monitors.  Samsung SDI also produces liquid crystal display (LCD) components and rechargeable batteries for cellular phones , personal digital assistants (PDAs), Energy Storage Systems and solar panels.

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Samsung SDI (006400 KS)

KOSPI 200 IT (TIGER ETF) Rebalancing Preview

This post previews the upcoming rebalancing of the KOSPI 200 IT Sector Index (TIGER ETF), whose effective date is June 10.

Sanghyun Park

W Scope (6619): Wrong Victim of Nickel Price Surge

W Scope's main product, secondary battery separator, is for LFP battery and not for NCM battery thus the surge in nickel price should have less...

Henry Soediarko

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

KRX New Deal Index Rebalance: No Surprises as LG Chem Not Deleted from Battery Index

There is one change each for the Secondary Battery, Bio and Game Index. There are three changes to the Internet Index. LG Chem has not been deleted...

Brian Freitas

FnGuide Samsung Group Index Rebalancing Preview

FnGuide Samsung Group Index has the largest AUM among the locally-themed indexes. This post previews the upcoming rebalancing in June.

Sanghyun Park

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