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

Below is KOSPI 200's screening methodology for the regular bi-annual rebalancing. The rebalancing trading will occur at the close on December 9, and the review period is May 1 to October 31. We will likely hear the rebalancing results in late November.<table class="table table-striped">
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<tr><td colspan="2" data-sheets-value='{"1":2,"2":"Status (₩B)"}'>KOSPI 200 bi-annual rebalancing</td></tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Rebalancing"}'>Rebalancing</td>
<td data-sheets-value='{"1":2,"2":"Biannually"}' data-sheets-numberformat='{"1":2,"2":"#,##0"}'>Biannually</td>
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<td data-sheets-value='{"1":2,"2":" - Effective date"}'>- Effective date</td>
<td data-sheets-value='{"1":2,"2":"Next trading day of 2nd Thursday of June &amp; December"}' data-sheets-numberformat='{"1":2,"2":"#,##0"}'>Next trading day of 2nd Thursday of June &amp; December</td>
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<td data-sheets-value='{"1":2,"2":" - December"}'>- Implementation</td>
<td data-sheets-value='{"1":3,"3":44540}' data-sheets-numberformat='{"1":5,"2":"mmmm d, yyyy","3":1}'>December 10, 2021</td>
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<tr>
<td>- Rebalancing trading</td>
<td>December 9, 2021</td>
</tr>
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<td data-sheets-value='{"1":2,"2":" - Review period"}'>- Review period</td>
<td data-sheets-value='{"1":2,"2":"May 1 to October 31, 2021"}'>May 1 to October 31, 2021</td>
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<td rowspan="6" data-sheets-value='{"1":2,"2":"Screening"}'><div>Screening</div></td>
<td rowspan="6" data-sheets-value='{"1":2,"2":"Select candidates for each sector in order by the cumulative average daily market cap (the cumulative cut-off at the 15th percentile). Include the first company that crosses the 15th percentile mark. Exclude those whose cumulative average daily trading value is below the 15th percentile. Also, exclude those new entrants whose average daily market cap ranking is above 110%. If not reach a full 200 members in the first and second screenings, then re-select the current constituents whose average daily market cap ranking is within 110%. Select additional names among the unselected current constituents by the average daily market cap regardless of classification."}' data-sheets-numberformat='{"1":2,"2":"#,##0"}'><ul>
<li>Select candidates for each sector in order by the cumulative average daily market cap (the cumulative cut-off at the 15th percentile).</li>
<li>Include the first company that crosses the 15th percentile mark. Exclude those whose cumulative average daily trading value is below the 15th percentile.</li>
<li>Also, exclude those new entrants whose average daily market cap ranking is above 110%.</li>
<li>If not reach 200 members in the first and second screenings, then re-select the current constituents whose average daily market cap ranking is within 110%.</li>
<li>Select additional names among the unselected current constituents by the average daily market cap regardless of classification.</li>
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<td data-sheets-value='{"1":2,"2":"Total float MC (₩B)"}'>Total float MC (₩B)</td>
<td data-sheets-value='{"1":3,"3":1247667.684}' data-sheets-numberformat='{"1":2,"2":"#,##0.0"}'>1,247,667.7</td>
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<tr><td colspan="2" data-sheets-value='{"1":2,"2":"Source: KRX"}'>Source: KRX</td></tr>
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</table><section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/231/157/original/1.png?1632295209" class="editor-image img-responsive" data-smartkarma-image-id="231157"></figure></section>

Below is KOSPI 200's screening methodology for the regular bi-annual rebalancing. The rebalancing trading will occur at the close on December 9, and the review period is May 1 to October 31. We will likely hear the rebalancing results in late November.





KOSPI 200 bi-annual rebalancing

Rebalancing
Biannually


- Effective date
Next trading day of 2nd Thursday of June &amp; December


- Implementation
December 10, 2021


- Rebalancing trading
December 9, 2021


- Review period
May 1 to October 31, 2021


Screening

Select candidates for each sector in order by the cumulative average daily market cap (the cumulative cut-off at the 15th percentile).
Include the first company that crosses the 15th percentile mark. Exclude those whose cumulative average daily trading value is below the 15th percentile.
Also, exclude those new entrants whose average daily market cap ranking is above 110%.
If not reach 200 members in the first and second screenings, then re-select the current constituents whose average daily market cap ranking is within 110%.
Select additional names among the unselected current constituents by the average daily market cap regardless of classification.








Total float MC (₩B)
1,247,667.7

Source: KRX



KOSPI 200 Bi-Annual Rebalancing Preview (December 9)

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

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.<div class="content-highlight">
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). 
</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

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

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

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

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

South Korea

Samyang Foods Co., Ltd. manufactures instant and processed food products, such as noodles, snacks, cooking oil, and feed.  The Company also produces dairy goods including milk, cheese, and ice cream.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Samyang Foods (003230 KS)

KOSPI 200 Bi-Annual Rebalancing Preview (December 9)

This post previews the upcoming regular bi-annual rebalancing of KOSPI 200, whose rebalancing trading will take place on December 9.

Sanghyun Park

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

In this insight, we discuss stocks that could get included or excluded in the November 2021 KOSPI 200 rebalance. We highlight 15 stocks that could...

Douglas Kim

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

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

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)