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>Ecopro BM's weight has expanded to 22%. Since the probability of receiving a 15% cap is virtually 100%, it will inevitably undergo a weight change of up to nearly 7%p.</li>
<li>If the ongoing rally subsides before March 10th and returns to the January DTV level, the price impact could surge up to 0.3-0.4x daily for three trading days.</li>
<li>This seems to be a sufficient level for a shorting entry point. It may be worth considering an outright short position on Ecopro BM or Long Short with SK Innovation.</li>
</ul>


Ecopro BM's weight has expanded to 22%. Since the probability of receiving a 15% cap is virtually 100%, it will inevitably undergo a weight change of up to nearly 7%p.
If the ongoing rally subsides before March 10th and returns to the January DTV level, the price impact could surge up to 0.3-0.4x daily for three trading days.
This seems to be a sufficient level for a shorting entry point. It may be worth considering an outright short position on Ecopro BM or Long Short with SK Innovation.


Shorting Entry Point on Ecopro BM with KODEX Battery ETF Rebalancing on March 10

Mirae Asset TIGER Fn Metaverse / Event-Driven

<ul>
<li>As for the one using the creation/redemption mechanism, the tracking error (market value - NAV) is still too tight to call this an arbitrage opening.</li>
<li>Then, at this point, we need to pay attention to ETF arbitrage from a pair trade perspective. There are a total of 3 pairs we can consider for this.</li>
<li>The mean reversion cycle is still not short. However, the diversion range is not extensive, so we can aim for a relatively stable setup in a market with increased volatility.</li>
</ul>


As for the one using the creation/redemption mechanism, the tracking error (market value - NAV) is still too tight to call this an arbitrage opening.
Then, at this point, we need to pay attention to ETF arbitrage from a pair trade perspective. There are a total of 3 pairs we can consider for this.
The mean reversion cycle is still not short. However, the diversion range is not extensive, so we can aim for a relatively stable setup in a market with increased volatility.


ETF Arbitrage in Korea: Names Suitable for Pair Trades

KODEX Korea China New Energy Vehicles ETF / Event-Driven

KODEX Korea China New Energy Vehicles ETF

<ul>
<li>KRX listed ETFs tracking the KRX-CSI joint indexes: <a href="https://www.smartkarma.com/entities/samsung-kodex-korea-china-new-energy-vehicles-etf-synth" target="_blank" data-smartkarma-citation="entities:36634:1" rel="noopener">KODEX Korea China EV (450180)</a>, <a href="https://www.smartkarma.com/entities/samsung-kodex-korea-china-semiconductor-etf-synth" target="_blank" data-smartkarma-citation="entities:36635:1" rel="noopener">KODEX Korea China Semiconductor (450190)</a>, <a href="https://www.smartkarma.com/entities/mirae-asset-tiger-synth-korea-china-ev-etf" target="_blank" data-smartkarma-citation="entities:36636:1" rel="noopener">TIGER Synth Korea-China EV (449680)</a>, and <a href="https://www.smartkarma.com/entities/mirae-asset-tiger-synth-korea-china-semiconductor-etf" target="_blank" data-smartkarma-citation="entities:36637:1" rel="noopener">TIGER Synth Korea-China Semiconductor (449690)</a>
</li>
<li>From a trading perspective, whether these newly introduced ETFs will replace the existing EV ETFs would be a key thinking point.</li>
<li>This means a shift in the fund size of more than 5 trillion won and will cause a significant price impact in terms of flow trading.</li>
</ul>


KRX listed ETFs tracking the KRX-CSI joint indexes: KODEX Korea China EV (450180), KODEX Korea China Semiconductor (450190), TIGER Synth Korea-China EV (449680), and TIGER Synth Korea-China Semiconductor (449690)

From a trading perspective, whether these newly introduced ETFs will replace the existing EV ETFs would be a key thinking point.
This means a shift in the fund size of more than 5 trillion won and will cause a significant price impact in terms of flow trading.


Launching KRX CSI Joint EV & Semiconductor ETFs

<ul>
<li>As expected, Sungeel Hitech (365340) made it to the index. And C&amp;I System (222080) and Wonik PNE (217820) were added, whereas Ecopro (086520) and Dongwha Enterprise (025900) were deleted.</li>
<li>Among the existing constituents, Samsung SDI (006400), Ecopro BM (247540), SK Innovation (096770), L&amp;F (066970), and SKC (011790) are expected to have a relatively significant impact.</li>
<li>Looking at the last rebalancing, the impact/price correlation was most significant on Day 1. So, we should consider aiming for LONG/SHORT today for those with a high relative impact.</li>
</ul>


As expected, Sungeel Hitech (365340) made it to the index. And C&amp;I System (222080) and Wonik PNE (217820) were added, whereas Ecopro (086520) and Dongwha Enterprise (025900) were deleted.
Among the existing constituents, Samsung SDI (006400), Ecopro BM (247540), SK Innovation (096770), L&amp;F (066970), and SKC (011790) are expected to have a relatively significant impact.
Looking at the last rebalancing, the impact/price correlation was most significant on Day 1. So, we should consider aiming for LONG/SHORT today for those with a high relative impact.


KODEX Battery Rebalancing Results Out: From Today to Next Tuesday

<ul>
<li>Given SunEel's market cap and the level of relevance to the rechargeable battery business, KODEX will likely include it this time around.</li>
<li>If you are looking for a short-selling opportunity, I recommend adjusting the timing after this KODEX ETF passive event.</li>
<li>If you are long targeting the KOSDAQ 150 inclusion, I recommend taking a slightly longer holding window to additionally target the passive inflow of the KODEX ETF.</li>
</ul>


Given SunEel's market cap and the level of relevance to the rechargeable battery business, KODEX will likely include it this time around.
If you are looking for a short-selling opportunity, I recommend adjusting the timing after this KODEX ETF passive event.
If you are long targeting the KOSDAQ 150 inclusion, I recommend taking a slightly longer holding window to additionally target the passive inflow of the KODEX ETF.


KODEX Battery ETF Rebalancing & SungEel Hitech Trading Situation

South Korea

Samsung KODEX Secondary Battery Industry ETF is an exchange-traded fund issued in South Korea. The objective of the ETF is to seek the returns corresponding to the returns of the FnGuide Secondary Battery Industry Index.

Samsung KODEX Secondary Battery Industry ETF (305720 KS)

Samsung KODEX Secondary Battery Industry ETF

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Samsung KODEX Secondary Battery Industry ETF (305720 KS)

Shorting Entry Point on Ecopro BM with KODEX Battery ETF Rebalancing on March 10

This post analyzes the potential shorting entry point for Ecopro BM in the upcoming KODEX Battery ETF rebalancing on March 10th.

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ETF Arbitrage in Korea: Names Suitable for Pair Trades

This post investigates ETF arbitrage in Korea, with a particular focus on the names suitable for pair trades, which can be another feasible...

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Launching KRX CSI Joint EV & Semiconductor ETFs

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KODEX Battery Rebalancing Results Out: From Today to Next Tuesday

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KODEX Battery ETF Rebalancing & SungEel Hitech Trading Situation

This post examines the KODEX Battery ETF rebalancing in December and how it relates to SungEel Hitech's flow trading and shorting situation.

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