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

Sanghyun Park

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

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

Event-Driven

<ul>
<li>This block deal won't lead to a float increase event. Nevertheless, it will substantially impact the rebalancing of the TIGER (WISE) Secondary Cell ETF next week.</li>
<li>A passive net inflow of up to ₩10B occurs, equivalent to 0.5x ADTV. Indeed, this level provides a significant day trade setup.</li>
<li>With today's price correction, SKIET's index weight will drop to the high 4% range. Applying the 36% float to today's price will increase the weight to 5.5% at the rebalancing. </li>
</ul>


This block deal won't lead to a float increase event. Nevertheless, it will substantially impact the rebalancing of the TIGER (WISE) Secondary Cell ETF next week.
A passive net inflow of up to ₩10B occurs, equivalent to 0.5x ADTV. Indeed, this level provides a significant day trade setup.
With today's price correction, SKIET's index weight will drop to the high 4% range. Applying the 36% float to today's price will increase the weight to 5.5% at the rebalancing. 


SKIET Block Deal: Passive Impact on TIGER (WISE) Secondary Cell ETF Rebalancing

<ul>
<li>This ETF's AUM has decreased by 17% over the past three months to ₩200B. It has 18 constituents, and it is unlikely that there will be any addition/deletion.</li>
<li>The first thing to note is Hana Tour because the increase in the number of shares through an offering will be reflected its the market cap right before the rebalancing.</li>
<li>Among the top stocks by market cap, Asiana Airlines (020560 KS) (+0,.20x ADTV) and Kangwon Land (035250 KS) (-0.21x ADTV) will likely have a significant passive impact.</li>
</ul>


This ETF's AUM has decreased by 17% over the past three months to ₩200B. It has 18 constituents, and it is unlikely that there will be any addition/deletion.
The first thing to note is Hana Tour because the increase in the number of shares through an offering will be reflected its the market cap right before the rebalancing.
Among the top stocks by market cap, Asiana Airlines (020560 KS) (+0,.20x ADTV) and Kangwon Land (035250 KS) (-0.21x ADTV) will likely have a significant passive impact.


TIGER Theme ETF "Tour Leisure" Rebalancing Projections: Hanatour, Asiana, Kangwon Land, & T'way Air

<ul>
<li>This ETF's AUM has stayed flat over the past three months, sitting at ₩1.3T. It has 28 constituents, and it is unlikely that there will be any addition/deletion.</li>
<li>SKIET is expected to have the most inflow relative to ADTV. Then, we have Ecopro BM, which will increase the number of shares through a rights offering.</li>
<li>On the other hand, among the top-tier stocks, SK Innovation, SKC, and Ecopro Co Ltd deserve our attention for shorting.</li>
</ul>


This ETF's AUM has stayed flat over the past three months, sitting at ₩1.3T. It has 28 constituents, and it is unlikely that there will be any addition/deletion.
SKIET is expected to have the most inflow relative to ADTV. Then, we have Ecopro BM, which will increase the number of shares through a rights offering.
On the other hand, among the top-tier stocks, SK Innovation, SKC, and Ecopro Co Ltd deserve our attention for shorting.


TIGER Theme ETF "Secondary Cell" Rebalancing Projections: SKIET, Ecopro BM, SKI, SKC, & Ecopro

<ul>
<li>This ETF's AUM has decreased by 20% over the past three months, remaining at ₩120B. It has 22 constituents, and there won't be any addition/deletion at the upcoming rebalancing.</li>
<li>As HYBE's recent share price plunged, we can expect a fairly interesting passive impact from this rebalancing, because its 10% cap reversion is certain to occur despite the price plunge.</li>
<li>CJ ENM (-0.19x ADTV) and Studio Dragon (+0.25x ADTV) are also expected to have a significant passive impact.</li>
</ul>


This ETF's AUM has decreased by 20% over the past three months, remaining at ₩120B. It has 22 constituents, and there won't be any addition/deletion at the upcoming rebalancing.
As HYBE's recent share price plunged, we can expect a fairly interesting passive impact from this rebalancing, because its 10% cap reversion is certain to occur despite the price plunge.
CJ ENM (-0.19x ADTV) and Studio Dragon (+0.25x ADTV) are also expected to have a significant passive impact.


WISE Theme Index "Media Contents" Rebalancing Projections: HYBE, CJ ENM, & Studio Dragon

Mirae Asset TIGER Secondary Cell ETF / Event-Driven

<ul>
<li>In general, the projection hit rate for the top market cap constituents was sufficiently high. And the correlation between their stock price direction and passive flow was also high.</li>
<li>However, the projection hit rate for the constituents with a small market cap was relatively low.</li>
<li>If we traded the proposed tradable names with an equal-weighted Long/Short basket, we would have achieved a return of 1.76%. Even excluding Hanjin Kal, we would have achieved 1.31%.</li>
</ul>


In general, the projection hit rate for the top market cap constituents was sufficiently high. And the correlation between their stock price direction and passive flow was also high.
However, the projection hit rate for the constituents with a small market cap was relatively low.
If we traded the proposed tradable names with an equal-weighted Long/Short basket, we would have achieved a return of 1.76%. Even excluding Hanjin Kal, we would have achieved 1.31%.


Recap on WISE Theme Indexes (TIGER ETFs) Rebalancing Trading on April 14

South Korea

MIRAE ASSET TIGER SECONDARY CELL ETF is an exchange-traded fund issued in South Korea. The objective of the ETF is to seek returns corresponding to the returns of the "WISE Secondary Cell Theme Index".

Mirae Asset TIGER Secondary Cell ETF (305540 KS)

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Mirae Asset TIGER Secondary Cell ETF (305540 KS)

SKIET Block Deal: Passive Impact on TIGER (WISE) Secondary Cell ETF Rebalancing

This post investigates the passive impact of SKIET's block deal yesterday on the rebalancing of the TIGER (WISE) Secondary Cell ETF next week.

Sanghyun Park

TIGER Theme ETF "Tour Leisure" Rebalancing Projections: Hanatour, Asiana, Kangwon Land, & T'way Air

This post projects the upcoming rebalancing of the TIGER Theme ETF "Tour Leisure": Hanatour, Asiana, Kangwon Land, & T'way Air.

Sanghyun Park

TIGER Theme ETF "Secondary Cell" Rebalancing Projections: SKIET, Ecopro BM, SKI, SKC, & Ecopro

This post projects the upcoming rebalancing of the TIGER Theme ETF "Secondary Cell": SKIET, Ecopro BM, SKI, SKC, & Ecopro.

Sanghyun Park

WISE Theme Index "Media Contents" Rebalancing Projections: HYBE, CJ ENM, & Studio Dragon

This post projects the upcoming rebalancing of the TIGER Theme ETF "Media Contents": Hybe Co Ltd, CJ ENM, and Studio Dragon.

Sanghyun Park

Recap on WISE Theme Indexes (TIGER ETFs) Rebalancing Trading on April 14

This post is a recap of our flow trading on the WISE Theme Indexes (TIGER ETFs) rebalancing, which was carried out on April 14.

Sanghyun Park

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