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 Size Index: Early Preview at One Fourth into Screening Period

Estimating Fund Size Tracking KOSPI MID Cap Index

KOSPI Size Index Migration: Names to Trade as We Are 30D Towards Effective

10 Tradable Names for KOSPI Size Index Migration & Hyundai Mipo in Conjunction with MSCI Nov IR

KOSPI Size Index Migration: Official Results & Trading Approach Towards Implementation

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>Price adjustment by passive flow started one month before the effective date. The LONG/SHORT basket set a month towards the effective dates provided a higher yield than seven days ahead.</li>
<li>The yield tended to be relatively low when the overall market was in a bearish phase. We see a positive correlation between the yields and the market direction.</li>
<li>Overall, the LONG/SHORT basket trading on this event over the past decade has shown a fairly high persistence and winning rate, substantial enough for us to have a careful look.</li>
</ul>


Price adjustment by passive flow started one month before the effective date. The LONG/SHORT basket set a month towards the effective dates provided a higher yield than seven days ahead.
The yield tended to be relatively low when the overall market was in a bearish phase. We see a positive correlation between the yields and the market direction.
Overall, the LONG/SHORT basket trading on this event over the past decade has shown a fairly high persistence and winning rate, substantial enough for us to have a careful look.


KOSPI Size Index Migration: 10-Year Backtesting

Hanwha Aerospace

KOSPI Size Index Migration: 10-Year Backtesting