Korea / Special Situations, Clepsydra Capital

Sanghyun Park

Korea / Special Situations

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

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

Index Rebalance

How will the rebalancing trading of domestic ETFs proceed?In general, in order to reduce tracking errors, trades are made at the close of the market one day before the application date. However, there are cases where local ETFs temporarily invest in stocks not included in the underlying index to reduce market shock.FnGuide Secondary Battery Industry IndexThen, on June 11, the rebalancing trading of the KODEX Secondary Battery Industry ETF (305720) was carried out according to the basic rules.The FnGuide Secondary Battery Industry Index is regularly rebalanced twice a year. The most recent regular rebalancing was applied on June 14. Therefore, ETFs had to conduct rebalancing trading at the close on June 11th.Currently, only one ETF tracks this index. It is Samsung KODEX Secondary Battery Industry ETF and has an AUM of ₩1.27T.





Samsung KODEX Secondary Battery Industry ETF

Ticker
305720


Manager
Samsung Asset Management


Price
₩18,640


SO
68,000,000


AUM
₩1,267.5B


Underlying index
FnGuide Secondary Battery Industry Index


Rebalancing cycle
Semi-annually


Rebalancing month
June &amp; December


Implementation day
The first trading day of the week following the last trading day for KOSPI 200 futures contracts

Source: KRX &amp; FnGuide Index

In the last rebalancing, 5 stocks were added, and 5 constituents were excluded. The number of stocks included in the index is maintained at 25.








Additions
Ticker
Deletions
Ticker


SK IE Technology Co Ltd
361610
Ecopro HN Co Ltd
383310


SKC Co Ltd
011790
Sang-A Frontec Co Ltd
089980


Chunbo Co Ltd
278280
Cosmo Chemical Co Ltd
005420


E&amp;D Co Ltd
101360
Soulbrain Holdings Co Ltd
036830


TSI Co Ltd
277880
Philoptics Co Ltd
161580

Source: Samsung KODEX &amp; FnGuide

Looking at the daily trading volume on June 11, it is estimated that the KODEX ETF completed all rebalancing trading on June 11. As a result, the daily stock price fluctuations of the rebalanced stocks were quite large. In addition, the remaining stocks with high index weight changes also experienced significant share price volatility.










Constituents
Weight change between June 11 and June 14
Passive flow impact
Passive flow impact over 30-day ADTV
Price change on June 11
Note


SK IE Technology
7.15%p
₩90.7B
1.40x
10.53%
Add


SKC Co Ltd
2.54%p
₩32.2B
0.63x
7.28%
Add


Chunbo Co Ltd
0.80%p
₩10.2B
1.08x
6.59%
Add


E&amp;D Co Ltd
0.21%p
₩2.7B
0.98x
8.12%
Add


TSI Co Ltd
0.10%p
₩1.3B
0.32x
10.54%
Add


Ecopro HN Co Ltd
-5.33%p
-₩67.6B
-8.05x
-5.93%
Delete


Sang-A Frontec Co Ltd
-0.88%p
-₩11.2B
-1.86x
-2.54%
Delete


Cosmo Chemical Co Ltd
-0.42%p
-₩5.3B
-1.47x
-3.40%
Delete


Soulbrain Holdings
-0.33%p
-₩4.2B
-1.92x
-1.62%
Delete


Philoptics Co Ltd
-0.28%p
-₩3.6B
-2.87x
-5.83%
Delete

 

LG Chem Ltd
4.56%p
₩57.9B
0.23x
5.33%
Remain


Samsung SDI Co Ltd
2.08%p
₩26.4B
0.14x
4.59%
Remain


SK Innovation Co Ltd
-2.25%p
-₩28.5B
-0.13x
1.86%
Remain


Posco Chemical Co Ltd
-2.00%p
-₩25.4B
-0.64x
-0.69%
Remain


Ecopro Co., Ltd.
-3.09%p
-₩39.2B
-2.72x
-6.74%
Remain


Ecopro BM Co Ltd
0.39%p
₩4.9B
0.18x
2.49%
Remain


Iljin Materials Co Ltd
-0.47%p
-₩6.0B
-0.38x
2.56%
Remain


Creative &amp; Innovative System Corp
-0.27%p
-₩3.4B
-0.30x
-0.41%
Remain


L&amp;F Co., Ltd.
-1.44%p
-₩18.3B
-0.43x
1.62%
Remain


People &amp; Technology
-0.48%p
-₩6.1B
-1.52x
-2.43%
Remain


Cosmo Advanced Materials&amp;Technlgy
-0.17%p
-₩2.2B
-0.12x
3.43%
Remain


Foosung Co Ltd
-0.29%p
-₩3.7B
-0.65x
-0.49%
Remain


DA Technology Co Ltd
-0.19%p
-₩2.4B
-1.24x
-5.52%
Remain


Daejoo Electronic Materials Co Ltd
-0.07%p
-₩0.9B
-0.07x
2.57%
Remain


Shin Heung Energy &amp; Electronics Co Ltd
0.23%p
₩2.9B
0.68x
3.25%
Remain


mPlus Corp
0.12%p
₩1.5B
0.39x
3.65%
Remain


Wonik PNE Co Ltd
-0.06%p
-₩0.8B
-0.22x
-0.91%
Remain


Sangsin Energy Display Precision Co Ltd
-0.06%p
-₩0.8B
-0.59x
-2.20%
Remain


Chemtros Co Ltd
-0.05%p
-₩0.6B
-0.47x
-0.31%
Remain


NS Co Ltd
-0.05%p
-₩0.6B
-0.24x
-1.73%
Remain

Source: Samsung KODEX &amp; FnGuide Index

WISE Secondary Battery Theme IndexThe WISE Secondary Battery Theme Index, whose regular rebalancing date is the 9th of next month, also showed a fairly large share price change on the last regular rebalancing date.This Index is regularly rebalanced quarterly. The most recent regular rebalancing was applied on April 9. Therefore, ETFs had to conduct rebalancing trading at the close on April 8.Currently, only one ETF tracks this index. It is Mirae Asset TIGER Secondary Cell ETF and has an AUM of ₩0.89T.





Mirae Asset TIGER Secondary Cell ETF

Ticker
305540


Manager
Mirae Asset Management


Price
₩17,995


SO
49,650,000


AUM
₩893.5B


Underlying index
WISE Secondary Battery Theme Index


Rebalancing cycle
Quarterly


Rebalancing month
January, April, July, and October


Implementation day
The trading day following the option expiration dates

Source: KRX &amp; FnGuide Index

The FnGuide Secondary Battery Industry Index uses a scoring system to take a more active approach to change constituent stocks. Also, the number of constituents is limited to 25. On the other hand, the WISE Secondary Battery Theme Index adopts a comprehensive selection method. That is, the selection of excluded stocks is not flexible.Therefore, one stock was added in the most recent periodic change, and one stock was excluded.








Additions
Ticker
Deletions
Ticker


Dongwha Enterprise Co Ltd
025900
Power Logics
047310

Source: Mirae Asset TIGER &amp; FnGuide Index

Similarly, looking at the daily trading volume on April 8, it is again estimated that this TIGER ETF completed all rebalancing trading on April 8. The new addition, Dongwha, saw a 10.37% gain on this day, whereas the deletion, Power Logics, suffered an 8.29% loss. In addition, the prices of constituent stocks with increased index weight rose significantly. Conversely, most of the constituent stocks with reduced index weight experienced a decline in share prices.










Constituents
Weight change between April 8 and April 9
Passive flow impact
Passive flow impact over 30-day ADTV
Price change on April 8
Note


Dongwha Enterprise
0.80%p
₩7.1B
0.91x
10.37%
Add


Power Logics
-0.86%p
-₩7.7B
-0.39x
-8.29%
Delete



Posco Chemical Co Ltd
-3.05%p
-₩27.3B
-0.69x
-1.84%
Remain


SKC Co Ltd
-1.90%p
-₩17.0B
-0.33x
0.00%
Remain


Samsung SDI Co Ltd
1.41%p
₩12.6B
0.07x
0.46%
Remain


SK Innovation Co Ltd
2.23%p
₩19.9B
0.09x
4.73%
Remain


LG Chem Ltd
1.97%p
₩17.6B
0.07x
-0.12%
Remain


Iljin Materials Co Ltd
0.18%p
₩1.6B
0.19x
3.77%
Remain


Ecopro BM Co Ltd
-0.09%p
-₩0.8B
-0.03x
-0.42%
Remain


L&amp;F Co., Ltd.
-0.19%p
-₩1.7B
-0.04x
-2.13%
Remain


SoulBrain Co Ltd
-0.12%p
-₩1.1B
-0.11x
-0.79%
Remain


Ecopro Co., Ltd.
-0.10%p
-₩0.9B
-0.06x
-1.16%
Remain


Chunbo Co Ltd
-0.01%p
-₩0.1B
-0.01x
0.54%
Remain


Creative &amp; Innovative System Corp
-0.12%p
-₩1.1B
-0.09x
-2.88%
Remain


Foosung Co Ltd
-0.02%p
-₩0.2B
-0.03x
0.00%
Remain


Solus Advanced Materials Co Ltd
-0.04%p
-₩0.4B
-0.02x
-1.15%
Remain


Cosmo Advanced Materials&amp;Technlgy
0.01%p
₩0.1B
0.00x
1.21%
Remain


Daejoo Electronic Materials Co Ltd
0.02%p
₩0.2B
0.01x
1.06%
Remain


People &amp; Technology Inc
0.00%p
₩0.0B
0.00x
-0.21%
Remain


Wonik PNE Co Ltd
-0.02%p
-₩0.2B
-0.05x
-1.33%
Remain


Youlchon Chemical
-0.01%p
-₩0.1B
-0.04x
-0.25%
Remain


CowinTech Co Ltd
-0.02%p
-₩0.2B
-0.13x
-1.60%
Remain


Shin Heung Energy &amp; Electronics Co Ltd
0.01%p
₩0.1B
0.02x
0.73%
Remain


mPlus Corp
0.01%p
₩0.1B
0.02x
1.12%
Remain


Innometry Co Ltd
0.00%p
₩0.0B
0.00x
0.00%
Remain


Daebo Magnetic Co Ltd
0.01%p
₩0.1B
0.14x
1.56%
Remain

Source: Mirae Asset TIGER &amp; FnGuide Index



WISE Battery Index Rebalancing: Pre-Announcement Process & Actual ETF Trading

Index overviewThe WISE rechargeable battery theme index uses stocks that include the 'Secondary Battery' keyword through AI keyword analysis among stocks included in the report of the local brokerages. It is a float-adjusted market capitalization-weighted index.Screening criteria
The index first analyzes the keywords of local brokerage reports published during the last two years from the stock screening base date. It then selects the stock with 'Secondary Battery' within the top 5 of the main keyword rankings.
After checking the sales composition specified in the business report submitted at the time of the previous regular change, stocks generating sales in the following business areas are selected as index constituents.

Product production: A company that produces secondary batteries
Raw material production: A company that produces and distributes raw materials for secondary battery production
Equipment manufacturing: A company that produces and distributes equipment and machinery for secondary battery production


Stocks with total sales of ₩200B or less or those with 50% or less of the above-related sales are excluded.
Screening schedule
The index undergoes a regular rebalancing every January, April, July, and October on the trading day following the option expiration date.The screening base date for quarterly regular rebalancing is the last trading day of the month preceding the month of regular rebalancing.Therefore, the screening base date for the upcoming rebalancing is June 30, and July 9 is the implementation date. That is, we should expect a rebalancing trading at the close on July 8.





Rebalancing schedule

Rebalancing cycle
Quarterly


Rebalancing month
January, April, July, and October


Implementation date
The trading day following the option expiration dates


Next implementation date
July 9, 2021


Rebalancing trading
At the close on July 8, 2021


Screening base date
The last trading day of the month preceding the date of regular rebalancing

Source: KRX &amp; WISE Index

Index weight, as of June 18, 2021Below is the index weight of the constituent stocks based on last Friday's closing price.









WISE Secondary Cell Index tracking ETFs
Ticker
Weight
Market cap
30-day average daily trade value


SK Innovation Co Ltd
096770
11.19%
₩25,613.0B
₩228.0B


SKC Co Ltd
011790
10.25%
₩5,509.8B
₩50.1B


Samsung SDI Co Ltd
006400
9.67%
₩46,347.3B
₩181.5B


LG Chem Ltd
051910
9.53%
₩58,026.9B
₩254.2B


Posco Chemical Co Ltd
003670
8.63%
₩9,117.7B
₩38.9B


Ecopro BM Co Ltd
247540
7.39%
₩4,546.1B
₩26.3B


L&amp;F Co., Ltd.
066970
6.35%
₩2,625.4B
₩41.6B


Iljin Materials Co Ltd
020150
6.19%
₩3,255.4B
₩15.5B


SoulBrain Co Ltd
357780
5.61%
₩2,568.5B
₩9.4B


Chunbo Co Ltd
278280
3.15%
₩1,853.0B
₩9.2B


Ecopro Co., Ltd.
086520
2.83%
₩836.9B
₩14.1B


Creative &amp; IS
222080
2.33%
₩687.0B
₩11.6B


Cosmo Advanced M&amp;T
005070
2.30%
₩798.1B
₩18.7B


Foosung Co Ltd
093370
2.05%
₩990.9B
₩5.3B


Solus Advanced Materials
336370
2.05%
₩1,602.9B
₩17.4B


Daejoo Electronic Materials
078600
2.04%
₩747.8B
₩11.8B


Ecopro HN Co Ltd
383310
1.82%
₩538.7B
₩12.1B


People &amp; Technology Inc
137400
1.60%
₩515.1B
₩4.0B


Dongwha Enterprise Co Ltd
025900
0.93%
₩1,414.1B
₩7.8B


Wonik PNE Co Ltd
131390
0.87%
₩327.5B
₩3.3B


Youlchon Chemical Co. Ltd.
008730
0.80%
₩550.6B
₩2.5B


CowinTech Co Ltd
282880
0.68%
₩224.6B
₩1.4B


Shin Heung Energy &amp; Elec
243840
0.53%
₩377.2B
₩4.2B


mPlus Corp
259630
0.48%
₩171.0B
₩3.9B


Innometry Co Ltd
302430
0.39%
₩169.1B
₩0.5B


Daebo Magnetic Co Ltd
290670
0.28%
₩257.4B
₩0.6B

Source: KRX



WISE Battery Index Rebalancing Preview (Implementation on July 9): SK IE Tech, Ecopro HN & Soulbrain

SK IE Technology and LG Chem soared abruptly between 3:20 and 3:30 pm during the simultaneous bids and offers trade period. During this 10-minute period, SK IE Technology's daily gain rose from 3.51% to 10.53%. LG Chem also rose sharply from 2.97% to 5.33%.Why did this happen?The local street believes that the stock prices have moved significantly in such a short period of time as Samsung Asset Management newly added SK IE Technology to its secondary battery sector ETF and increased the weighting of LG Chem in the same ETF.Local ETFs tracking secondary battery sectorKorea currently has three ETFs specifically tracking the local secondary battery sector. The biggest one is Samsung KODEX Secondary Battery Industry ETF, mirroring the FnGuide Secondary Battery Industry Index. It now features a market cap of ₩1,233.6B with 26 constituents.The other two ETFs aren't too far behind by market cap. They are both Mirae Asset TIGER ETFs. One tracks the WISE Secondary Battery Them Index containing 26 constituents. The other one mirrors the government-initiated K-New Deal Index, which has 10 constituents.







Local secondary battery sector ETFs

Name
Samsung KODEX Secondary Battery Industry ETF
Mirae Asset TIGER Secondary Cell ETF
Mirae TIGER KRX Secondary Battery K-New Deal ETF


Ticker
305720
305540
364980


Manager
Samsung Asset Management
Mirae Asset Management
Mirae Asset Management


Market cap
₩1,233.6B
₩873.7B
₩812.8B


Underlying index
FnGuide Secondary Battery Industry Index
WISE Secondary Battery Theme Index
KRX Secondary Battery K-New Deal Index


Constituents
25
26
10

Source: KRX &amp; FnGuide Index

Portfolio Deposit File (PDF)Below is the full list of the constituents of the three ETFs with index weight as of last Friday. It seems that Samsung KODEX hasn't fully updated the constituent list of its Secondary Battery Sector Index ETF. It is presumably because most of the trades took place during the simultaneous bids and offers trade period, meaning that the trades were completed and reflected after 3:30 pm. Samsung KODEX updates the portfolio deposit file (PDF) of its ETFs at 3:30 pm of each day.










Samsung KODEX Secondary Battery Industry ETF
Weight
Mirae Asset TIGER Secondary Cell ETF
Weight
Mirae TIGER KRX Secondary Battery K-New Deal ETF
Weight


SK Innovation
17.13%
SK Innovation
11.45%
SK Innovation
26.41%


Posco Chemical
16.50%
LG Chem
9.84%
LG Chem
23.95%


LG Chem
15.96%
SKC
9.66%
Samsung SDI
22.96%


Samsung SDI
13.18%
Samsung SDI
9.21%
Posco Chemical
7.96%


Ecopro
8.35%
Posco Chemical
8.77%
SKC Co
5.22%


Ecopro HN
5.33%
Ecopro BM
6.92%
Ecopro BM
3.64%


L&amp;F
4.00%
L&amp;F
6.33%
L&amp;F
2.85%


Ecopro BM
3.94%
Iljin Materials
6.12%
Iljin Materials
2.73%


Iljin Materials
3.59%
SoulBrain
5.90%
SoulBrain
2.71%


Creative &amp; Innovative System
3.05%
Chunbo
3.14%
Chunbo
1.51%


People &amp; Technology
1.72%
Ecopro Co., Ltd.
3.06%




Foosung
1.02%
Creative &amp; Innovative System
2.49%




Cosmo Advanced Materials&amp;Technlgy
1.00%
Cosmo Advanced Materials&amp;Technlgy
2.24%




DA Technology
0.88%
Foosung
2.07%




Sang-A Frontec
0.88%
Ecopro HN
2.02%




Daejoo Electronic Materials
0.69%
Solus Advanced Materials
2.01%




Cosmo Chemical
0.42%
Daejoo Electronic Materials
1.89%




Wonik PNE
0.38%
People &amp; Technology
1.68%




mPlus
0.38%
Dongwha Enterprise
0.92%




Soulbrain Holdings
0.33%
Wonik PNE
0.91%




Philoptics
0.28%
Youlchon Chemical
0.80%




Sangsin Energy Display Precision
0.27%
CowinTech
0.71%




Shin Heung Energy &amp; Electronics
0.27%
Shin Heung Energy &amp; Electronics
0.55%




Chemtros
0.24%
mPlus
0.51%




NS
0.21%
Innometry
0.41%






Daebo Magnetic
0.27%



Source: Samsung KODEX &amp; Mirae Asset TIGER



Korea's Local Sector Index (FnGuide Secondary Battery) Rebalancing Made a Big Splash Last Friday

Pan-Asia Catalysts/Events, Quiddity Advisors

David Blennerhassett

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

<div>
<p>This week in StubWorld ...</p>
</div>
<div>
<div class="content-highlight">
<p>When a company spins off a business, wherein shares are distributed to existing shareholders on pro-rata basis, the parent company typically declines. But <a href="https://www.smartkarma.com/entities/ecopro-co-ltd" target="_blank" data-smartkarma-citation="entities:19029:1" rel="noopener">Ecopro Co Ltd (086520 KS)</a>'s 40% decline upon relisting defies logic, even for extreme Korean Holdco structures.</p>
</div>
</div>
<div>
<p>Preceding my comments on Ecopro are the weekly setup/unwind tables for Asia-Pacific Holdcos.</p>
</div>
<div><hr></div>
<div>
<p>These relationships trade with a minimum liquidity threshold of US$1mn on a 90-day moving average, and a % market capitalisation threshold - the $ value of the holding/opco held, over the parent’s market capitalisation, expressed in percent - of at least 20%.</p>
</div>


This week in StubWorld ...



When a company spins off a business, wherein shares are distributed to existing shareholders on pro-rata basis, the parent company typically declines. But Ecopro Co Ltd (086520 KS)'s 40% decline upon relisting defies logic, even for extreme Korean Holdco structures.



Preceding my comments on Ecopro are the weekly setup/unwind tables for Asia-Pacific Holdcos.



These relationships trade with a minimum liquidity threshold of US$1mn on a 90-day moving average, and a % market capitalisation threshold - the $ value of the holding/opco held, over the parent’s market capitalisation, expressed in percent - of at least 20%.


StubWorld: What Is Up (Or Down) With Ecopro Co?

South Korea

Ecopro HN Co. Ltd. operates as an environmental company. The Company provides environment engineering, environment consulting, and other related services. Ecopro Insight offers services throughout South Korea.

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Ecopro HN (383310 KS)

WISE Battery Index Rebalancing: Pre-Announcement Process & Actual ETF Trading

This post explains the pre-announcement process and actual ETF operator trading for the upcoming rebalancing of the WISE Secondary Battery Theme...

Sanghyun Park

WISE Battery Index Rebalancing Preview (Implementation on July 9): SK IE Tech, Ecopro HN & Soulbrain

This post previews the upcoming rebalancing of the WISE Secondary Battery Theme Index, scheduled for July 9. SK IE Technology, Ecopro NH, and...

Sanghyun Park

Korea's Local Sector Index (FnGuide Secondary Battery) Rebalancing Made a Big Splash Last Friday

The local sector index rebalancing made a huge passive flow impact on SK IE Tech last Friday, and here are the upcoming index events potentially...

Sanghyun Park

StubWorld: What Is Up (Or Down) With Ecopro Co?

The current share price of Ecopro Co appears unsubstantiated here. I would set up a Long Ecopro Co versus Short Ecopro BM.

David Blennerhassett

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