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>This is an equity spinoff where the existing shareholders receive shares in the spun-off company. But this creates two LISTED companies. In such a case, there won't be appraisal rights.</li>
<li>PASSIVE's selling flow towards the trade suspension tends to be offset by ACTIVE's buying flow aiming for value accretion. So, developing a timely entry/exit between these opposing flows is critical.</li>
<li>Holdco's 30% rule dynamic generally, in relative terms, leads to an increase in the value of Opco's stake and a decline in the value of Holdco's stake.</li>
</ul>


This is an equity spinoff where the existing shareholders receive shares in the spun-off company. But this creates two LISTED companies. In such a case, there won't be appraisal rights.
PASSIVE's selling flow towards the trade suspension tends to be offset by ACTIVE's buying flow aiming for value accretion. So, developing a timely entry/exit between these opposing flows is critical.
Holdco's 30% rule dynamic generally, in relative terms, leads to an increase in the value of Opco's stake and a decline in the value of Holdco's stake.


A Walkthrough of Hyundai Department Store Demerger Event

<ul>
<li>Although not many, there are strong candidates for a safe play aimed at constituent change. Inclusion: Lotte Confectionery &amp; Exclusion: Samyang Holdings
</li>
<li>Lotte Confectionery's average daily market cap must fall by more than 30% to be pushed out of the borderline. Samyang Holdings's market cap gap to the second-lowest one is 17%.</li>
<li>The trading volume of these two is so small that a significant passive impact (relative to DTV) will likely occur. We should consider a little more aggressive approach, timing-wise.</li>
</ul>


Although not many, there are strong candidates for a safe play aimed at constituent change. Inclusion: Lotte Confectionery &amp; Exclusion: Samyang Holdings

Lotte Confectionery's average daily market cap must fall by more than 30% to be pushed out of the borderline. Samyang Holdings's market cap gap to the second-lowest one is 17%.
The trading volume of these two is so small that a significant passive impact (relative to DTV) will likely occur. We should consider a little more aggressive approach, timing-wise.


Hyundai Home Shopping Network / Event-Driven

<ul>
<li>This post explains how the rebalancing of the KOSPI 200 and KOSDAQ 150 is calculated. So, please note that this post does not have any investment recommendations.</li>
<li>Both indices have the same calculation method. However, the thresholds are different. They screen stocks using the three metrics: Market Cap, ADTV, and Market Cap Ranking (buffer).</li>
<li>The concept itself of these three metrics is not difficult. However, ranking it cumulatively often confuses us.</li>
</ul>


This post explains how the rebalancing of the KOSPI 200 and KOSDAQ 150 is calculated. So, please note that this post does not have any investment recommendations.
Both indices have the same calculation method. However, the thresholds are different. They screen stocks using the three metrics: Market Cap, ADTV, and Market Cap Ranking (buffer).
The concept itself of these three metrics is not difficult. However, ranking it cumulatively often confuses us.


A Thorough Guide to KOSPI 200 & KOSDAQ 150 Rebalancing Calculations

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

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

<ul>
<li>A third of the way through the review period, we see one potential change. There are four stocks that are close to inclusion zone and could lead to more changes.</li>
<li>Currently, Miwon Specialty Chemical Co (268280 KS) is an add while <a href="https://www.smartkarma.com/entities/hyundai-home-shopping-network-corp" target="_blank" data-smartkarma-citation="entities:2357:1" rel="noopener">Hyundai Home Shopping Network (057050 KS)</a> is a delete.</li>
<li>
<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/lotte-confectionery-co-ltd-1feb0155-08b6-44eb-bdbd-8d67cf757dac" target="_blank" data-smartkarma-citation="entities:25993:1" rel="noopener">Lotte Confectionery (280360 KS)</a>, <a href="https://www.smartkarma.com/entities/unid-co-ltd" target="_blank" data-smartkarma-citation="entities:11197:1" rel="noopener">Unid Co Ltd (014830 KS)</a> and <a href="https://www.smartkarma.com/entities/miwon-commercial-co-ltd" target="_blank" data-smartkarma-citation="entities:13416:1" rel="noopener">Miwon Commercial (002840 KS)</a> are close adds currently.</li>
</ul>


A third of the way through the review period, we see one potential change. There are four stocks that are close to inclusion zone and could lead to more changes.
Currently, Miwon Specialty Chemical Co (268280 KS) is an add while Hyundai Home Shopping Network (057050 KS) is a delete.

Samyang Foods (003230 KS), Lotte Confectionery (280360 KS), Unid Co Ltd (014830 KS) and Miwon Commercial (002840 KS) are close adds currently.


KOSPI200 Dec Index Rebalance Preview: Stocks Nearing the Inclusion Zone

<ul>
<li>At this point, Lotte Confectionery and Miwon Specialty Chemical are currently within less than a 5% increase in market cap to beat the buffer rule.</li>
<li>Three constituents are out of the buffer zone: Cheil Worldwide, HDC Hyundai Development, and Boryung Pharmaceutical. Hanall Biopharma, Samyang Holdings, and Hyundai Home Shopping sit on the buffer zone borderline.</li>
<li>We should target Samyang Holdings and Hyundai Home Shopping for a short position against Lotte Confectionery and Miwon Specialty Chemical.</li>
</ul>


At this point, Lotte Confectionery and Miwon Specialty Chemical are currently within less than a 5% increase in market cap to beat the buffer rule.
Three constituents are out of the buffer zone: Cheil Worldwide, HDC Hyundai Development, and Boryung Pharmaceutical. Hanall Biopharma, Samyang Holdings, and Hyundai Home Shopping sit on the buffer zone borderline.
We should target Samyang Holdings and Hyundai Home Shopping for a short position against Lotte Confectionery and Miwon Specialty Chemical.


KOSPI 200 December Rebelancing: Names Currently Close To & Out of Buffer Zone

South Korea

Samyang Holdings Corp manufactures a wide range of food, such as sugar, cooking oil, wheat flour, and livestock feed.  The Company also operates trading business and produces industrial fibers and chemical products, such as engineering plastics, PET bottles and ion exchange resin.

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Samyang Holdings (000070 KS)

A Walkthrough of Hyundai Department Store Demerger Event

This post is a detailed walkthrough of the Hyundai Department Store demerger, officially announced last Friday. It includes the demerger process...

Sanghyun Park

KOSPI 200 December Rebalancing Safe Play

This post examines the KOSPI 200 rebalancing situation in December and discusses the names suitable for a safe play at this point.

Sanghyun Park

A Thorough Guide to KOSPI 200 & KOSDAQ 150 Rebalancing Calculations

This post explains how the rebalancing of the KOSPI 200 and KOSDAQ 150 is calculated. So, please note that this post does not have any investment...

Sanghyun Park

KOSPI200 Dec Index Rebalance Preview: Stocks Nearing the Inclusion Zone

We currently see one potential change to the KOSPI200 in Dec, though there are 4 more changes possible. There will be a lot to trade on some stocks...

Brian Freitas

KOSPI 200 December Rebelancing: Names Currently Close To & Out of Buffer Zone

This post screens the names currently close to and out of the buffer zone at the KOSPI 200's upcoming rebalancing in December for a preemptive...

Sanghyun Park

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