Korea / Special Sits, Pairs, Index Rebalancing, Clepsydra Capital

Sanghyun Park

I investigate special situations, pairs, and index rebalancing trades in Korea.

Korea / Special Sits, Pairs, Index Rebalancing

KOSDAQ 150 Exceptional Addition of Large-Scale Stocks: Ecopro HN & HK Inno.N

KOSPI 200 December Rebalancing: Constituents with a Substantial Free Float Change

7 Adds & 7 Deletes in KOSPI 200 Rebalancing: Passive Impact & Trade Setups

KOSPI 200 December Rebalancing: 5 Adds/Deletes & Special Considerations

KOSPI Major Lockup Releases: Kakao Bank, Krafton, SKIET, & Shinhan Financial

Battle Lines Drawn As BABA Builds Out First/Last-Mile Capacity; But Who Will Fund 75+ Bn CNY CapEx?

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

Event-Driven

<h2>Rebalancing results</h2><p>The review period for the KOSPI 200 December rebalancing ended on October 29. Below are the results of applying the screening criteria based on the average daily market cap of the review period (May 3 to October 29).</p><section class="figure"><section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/239/758/original/Screen+Shot+2021-11-04+at+7.22.44+PM.png?1636068186" class="editor-image img-responsive" data-smartkarma-image-id="239758"></figure></section><ul>
<li><strong>As a result of regular rebalancing, we can see four adds and four deletes.</strong></li>
<li><strong>In addition, Hyundai Heavy Industries and Kakao Pay are almost 100% likely to join the KOSPI 200 through Fast Entry. The joining date of both will be December 10, the same date as the regular rebalancing.</strong></li>
<li><strong>The stocks that will leave the KOSPI 200 for HHI and Kakao Pay will be Nexen Tire and Lotte Himart (the stocks with the lowest average daily market cap in the previous review period).</strong></li>
</ul>
<h2>Passive impact</h2>
<p>The following is a passive impact assuming KOSPI 200 tracking funds at ₩80T, including both local pensions and variable insurance index funds in addition to ETFs/index funds.</p>
<div class="content-highlight"><p><strong>Compared to the absolute size of the passive impact, Meritz Financial Group (add) and Nexen Tire (delete) are likely to face relatively large flow effects.</strong></p></div>
<section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/239/760/original/Screen+Shot+2021-11-04+at+7.29.44+PM.png?1636068621" class="editor-image img-responsive" data-smartkarma-image-id="239760"></figure></section><p>Below is a passive impact that we can expect if only ₩20T of funds from local ETFs/index funds are applied. This can be seen as a size that will occur on the implementation date (at the close on December 9).</p>
<section class="figure"><section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/239/764/original/Screen+Shot+2021-11-04+at+7.36.10+PM.png?1636068984" class="editor-image img-responsive" data-smartkarma-image-id="239764"></figure></section></section></section>

Rebalancing resultsThe review period for the KOSPI 200 December rebalancing ended on October 29. Below are the results of applying the screening criteria based on the average daily market cap of the review period (May 3 to October 29).
As a result of regular rebalancing, we can see four adds and four deletes.
In addition, Hyundai Heavy Industries and Kakao Pay are almost 100% likely to join the KOSPI 200 through Fast Entry. The joining date of both will be December 10, the same date as the regular rebalancing.
The stocks that will leave the KOSPI 200 for HHI and Kakao Pay will be Nexen Tire and Lotte Himart (the stocks with the lowest average daily market cap in the previous review period).

Passive impact
The following is a passive impact assuming KOSPI 200 tracking funds at ₩80T, including both local pensions and variable insurance index funds in addition to ETFs/index funds.
Compared to the absolute size of the passive impact, Meritz Financial Group (add) and Nexen Tire (delete) are likely to face relatively large flow effects.
Below is a passive impact that we can expect if only ₩20T of funds from local ETFs/index funds are applied. This can be seen as a size that will occur on the implementation date (at the close on December 9).


Myoung Shin Industrial Co.,Ltd (009900 KS)

KOSPI 200 Rebalancing Update After the Review Period Ended