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

Korea ETF Market Size Breakdown from a Flow Trading Perspective

Backtesting Implications: Korea Sector ETFs Rebalancing on the 8th

Assessing the Korea NPS-Originated Flow Trends and Allocation Breakdown

Compact Summary of Hanwha Group Reorganization

KOSPI Size Index Series Rebalancing in September: Eight Strong Targets

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

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 results are pretty much in line with the predictions, except for Hanwha Aerospace which made it to LARGE instead of Hyundai Marine &amp; Fire Insurance.</li>
<li>Assuming that ten names, including Hyundai Marine, were traded in a LONG/SHORT basket with equal weight, the yield from August 17 to the last close would have been 4.6%.</li>
<li>I would still approach with an equal-weighted basket trading until this Thursday. This flow trading usually loses its effect rapidly after rebalancing. So, I wouldn't carry it beyond this Thursday.</li>
</ul>


The results are pretty much in line with the predictions, except for Hanwha Aerospace which made it to LARGE instead of Hyundai Marine &amp; Fire Insurance.
Assuming that ten names, including Hyundai Marine, were traded in a LONG/SHORT basket with equal weight, the yield from August 17 to the last close would have been 4.6%.
I would still approach with an equal-weighted basket trading until this Thursday. This flow trading usually loses its effect rapidly after rebalancing. So, I wouldn't carry it beyond this Thursday.


Kepco Engineering & Construction (052690 KS)

Hyundai Marine & Fire Insurance Co., Ltd (001450 KS)

GS Engineering & Construction (006360 KS)

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