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

KOSPI 200 & KOSDAQ 150 Constituent Changes: Several Surprises

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

<ul>
<li>The additional Lotte Confectionery/Samyang Holdings flow will come from K200/KRX 300 Consumer Staples, K200 MidSmallCap, and K200 Ex-Top. However, the actual flow impact wouldn't be significant.</li>
<li>From a flow trading standpoint, the KOSPI 50's HMM/Hanon System probably deserves our attention because additional inflows come from the pensions that account for more than half of local PASSIVE.</li>
<li>Since their rebalancing trading tends to be somewhat dispersed, the return rate was the best when the position holding period was from T-3 to the effective date.</li>
</ul>


The additional Lotte Confectionery/Samyang Holdings flow will come from K200/KRX 300 Consumer Staples, K200 MidSmallCap, and K200 Ex-Top. However, the actual flow impact wouldn't be significant.
From a flow trading standpoint, the KOSPI 50's HMM/Hanon System probably deserves our attention because additional inflows come from the pensions that account for more than half of local PASSIVE.
Since their rebalancing trading tends to be somewhat dispersed, the return rate was the best when the position holding period was from T-3 to the effective date.


KOSPI 200 Sector/Size & KRX 300 Sector: Constituent Changes & Trading Points

HMM Co., Ltd.

KOSPI 200 Sector/Size & KRX 300 Sector: Constituent Changes & Trading Points