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>Compared to the tightly crowded KOSPI 200, the sector ETFs' rebalancing flow trading appears relatively less crowded, which led to a significantly higher flow/price correlation on the rebalancing day.</li>
<li>The KRX now delivers the rebalancing results of the KRX Sector &amp; K-New Deal Indexes only to paying customers. This can increase the profit effect of acquiring prior information.</li>
<li>So, safe play, which builds up a position from the time this information is acquired, rather than an aggressive preemptive position build-up, can still obtain a sufficient level of juice.</li>
</ul>


Compared to the tightly crowded KOSPI 200, the sector ETFs' rebalancing flow trading appears relatively less crowded, which led to a significantly higher flow/price correlation on the rebalancing day.
The KRX now delivers the rebalancing results of the KRX Sector &amp; K-New Deal Indexes only to paying customers. This can increase the profit effect of acquiring prior information.
So, safe play, which builds up a position from the time this information is acquired, rather than an aggressive preemptive position build-up, can still obtain a sufficient level of juice.


Backtesting Implications: Korea Sector ETFs Rebalancing on the 8th

<ul>
<li>I recommend focusing on the ceiling regression play. In this regard, SK Innovation has the most notable regression spread, and we should use Samsung SDI as a hedge against it.</li>
<li>As for constituent change, SungEel HiTech is firmly positioned with a market cap of ₩1.34T and a float rate of 50%. And it belongs to the Waste batteries keyword.</li>
<li>But, it is unclear whether SungEel will be in the top 25 in scoring. We should patiently wait until confirmation as it's still a worthy candidate requiring our attention.</li>
</ul>


I recommend focusing on the ceiling regression play. In this regard, SK Innovation has the most notable regression spread, and we should use Samsung SDI as a hedge against it.
As for constituent change, SungEel HiTech is firmly positioned with a market cap of ₩1.34T and a float rate of 50%. And it belongs to the Waste batteries keyword.
But, it is unclear whether SungEel will be in the top 25 in scoring. We should patiently wait until confirmation as it's still a worthy candidate requiring our attention.


KODEX FnGuide Battery ETF Rebalancing Checkup

<ul>
<li>KODEX doing LG Energy/LG Chem rebalancing over ten trading days for two reasons: 1. minimize the impact on LG Chem and 2. reduce the yield gap with TIGER.</li>
<li>We need to keep an eye on the possibility that KODEX will complete its LG Energy/LG Chem rebalancing schedule earlier than the full ten trading days.</li>
<li>Of course, this is also a risky trading approach. But considering the current share prices of LG Energy and LG Chem, there is sufficient circumstantial probability to support this.</li>
</ul>


KODEX doing LG Energy/LG Chem rebalancing over ten trading days for two reasons: 1. minimize the impact on LG Chem and 2. reduce the yield gap with TIGER.
We need to keep an eye on the possibility that KODEX will complete its LG Energy/LG Chem rebalancing schedule earlier than the full ten trading days.
Of course, this is also a risky trading approach. But considering the current share prices of LG Energy and LG Chem, there is sufficient circumstantial probability to support this.


KODEX Playing a Risky Game on LG Energy/LG Chem Rebalancing & Any Trading Opportunity from It?

<ul>
<li>For KODEX (FnGuide), the actual rebalancing trading must have begun yesterday, Feb 8, and runs until Feb 22, presumably at an equal daily weighting.</li>
<li>TIGER (WISE) announced that its implementation of LG Energy IN/LG Chem OUT was completed as of the end of yesterday.</li>
<li>As for the daily passive impact from KODEX until Feb 22, LG Energy is expected to receive an inflow of 0.03x DTV, whereas LG Chem's outflow should be -0.10x ADTV.</li>
</ul>


For KODEX (FnGuide), the actual rebalancing trading must have begun yesterday, Feb 8, and runs until Feb 22, presumably at an equal daily weighting.
TIGER (WISE) announced that its implementation of LG Energy IN/LG Chem OUT was completed as of the end of yesterday.
As for the daily passive impact from KODEX until Feb 22, LG Energy is expected to receive an inflow of 0.03x DTV, whereas LG Chem's outflow should be -0.10x ADTV.


LG Energy IN/LG Chem OUT: TIGER (WISE) Done on Feb 8 & KODEX (FnGuide) Under Progress Until Feb 22

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)

Backtesting Implications: Korea Sector ETFs Rebalancing on the 8th

This post backtests the flow trading performance for the rebalancings of Korea's sector ETFs on the 8th and discusses unique patterns and...

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KODEX FnGuide Battery ETF Rebalancing Checkup

This post previews the KODEX FnGuide Secondary Battery ETF rebalancing in September. It is Korea's largest-AUM local battery ETF.

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KODEX Playing a Risky Game on LG Energy/LG Chem Rebalancing & Any Trading Opportunity from It?

This post examines the game that KODEX is playing with the LG Energy/LG Chem rebalancing and potential trading opportunities from this situation.

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LG Energy IN/LG Chem OUT: TIGER (WISE) Done on Feb 8 & KODEX (FnGuide) Under Progress Until Feb 22

As for the local ETFs' LG Energy IN/LG Chem OUT trading, TIGER (WISE) was completed yesterday, whereas KODEX (FnGuide) began yesterday and runs...

Sanghyun Park

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