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>Korea's local ETF market has experienced explosive growth in recent years. Over the past year, total ETF net assets have increased by 42%.</li>
<li>As a result, the flow impact they have on the market is growing significantly. So, we are now in great need to thoroughly investigates the local equity ETF market.</li>
<li><strong>Hence, this post looks at the thematic ETFs, which are still somewhat overlooked by the market, thus providing uncrowded flow trading opportunities.</strong></li>
</ul>


Korea's local ETF market has experienced explosive growth in recent years. Over the past year, total ETF net assets have increased by 42%.
As a result, the flow impact they have on the market is growing significantly. So, we are now in great need to thoroughly investigates the local equity ETF market.
Hence, this post looks at the thematic ETFs, which are still somewhat overlooked by the market, thus providing uncrowded flow trading opportunities.


A Guide to Thematic Equity ETFs in Korea for Uncrowded Flow Trading Opportunities

<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 Tour Leisure ETF(Equity) is an exchange traded Fund established in South Korea. The Fund's objective is to provide investment return that corresponds closely to the performance of the WISE Tour Leisure Index.

Mirae Asset Tiger Tour Leisure ETF (228800 KS)

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Mirae Asset Tiger Tour Leisure ETF (228800 KS)

A Guide to Thematic Equity ETFs in Korea for Uncrowded Flow Trading Opportunities

This post looks at the thematic ETFs, which are still somewhat overlooked by the market, thus providing uncrowded flow trading opportunities.

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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52-week Range

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