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

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KOSPI LargeCap & MidCap Rebalancing Preview on September 9

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KOSPI Size Index Series Rebalancing Screening Results

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Clepsydra Capital

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

Event-Driven

<ul>
<li>We generally detect an increase in the buying volume of local institutions for stocks moving from Large Cap to Mid Cap ahead of the KOSPI size index rebalancing.</li>
<li>At the last close, Mid→Large: <strong>Pan Ocean, Hyundai Mipo, BGF Retail, &amp; OCI</strong> / Large→Mid: <strong>Hanmi Science, KCC, DB Hitek, &amp; KEPCO E&amp;C</strong>
</li>
<li>The level of price impact/correlation in the last rebalancing was exceptionally high. This is reason enough for us to consider setting up a preemptive position for this rebalancing event.</li>
</ul>


We generally detect an increase in the buying volume of local institutions for stocks moving from Large Cap to Mid Cap ahead of the KOSPI size index rebalancing.
At the last close, Mid→Large: Pan Ocean, Hyundai Mipo, BGF Retail, &amp; OCI / Large→Mid: Hanmi Science, KCC, DB Hitek, &amp; KEPCO E&amp;C

The level of price impact/correlation in the last rebalancing was exceptionally high. This is reason enough for us to consider setting up a preemptive position for this rebalancing event.


Kepco Engineering & Construction (052690 KS)

KOSPI Size Index Series: September Rebalancing Preview