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.

Event-Driven

Mirae Asset TIGER Secondary Cell ETF / Event-Driven

Mirae Asset TIGER Secondary Cell ETF (305540 KS)

<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

<ul>
<li>Three WISE theme indexes undergo quarterly rebalancing today at the close.</li>
<li>The flow projections shown below in the DETAIL are based on the closing prices of April 12.</li>
<li>We have 13 Long/Short tradable names based on these flow projections: an ADTV of at least ₩10B &amp; a passive flow impact of 0.10x ADTV or more</li>
</ul>


Three WISE theme indexes undergo quarterly rebalancing today at the close.
The flow projections shown below in the DETAIL are based on the closing prices of April 12.
We have 13 Long/Short tradable names based on these flow projections: an ADTV of at least ₩10B &amp; a passive flow impact of 0.10x ADTV or more


WISE Theme Indexes Rebalancing Today: Flow Projections as of Close on April 12

Mirae Asset Tiger Tour Leisure ETF / Event-Driven

Mirae Asset Tiger Tour Leisure ETF (228800 KS)

<ul>
<li>Next Thursday, the rebalancing trading of the WISE Secondary Cell Index will occur. The current AUM is ₩0.24T, and the AUM has slightly increased in the last two weeks.</li>
<li>Five names (2 Longs &amp; 3 Shorts) are screened: <strong>Hana Tour Service, Lotte Tour Development, Asiana Airlines, Paradise Co Ltd, &amp; Hanjin KAL Corp</strong>.</li>
<li>All the short targets are available for short-selling. The Long targets have also not seen much volatility recently, so it looks fine to put them all in a Long/Short basket.</li>
</ul>


Next Thursday, the rebalancing trading of the WISE Secondary Cell Index will occur. The current AUM is ₩0.24T, and the AUM has slightly increased in the last two weeks.
Five names (2 Longs &amp; 3 Shorts) are screened: Hana Tour Service, Lotte Tour Development, Asiana Airlines, Paradise Co Ltd, &amp; Hanjin KAL Corp.
All the short targets are available for short-selling. The Long targets have also not seen much volatility recently, so it looks fine to put them all in a Long/Short basket.


WISE Tour Leisure Rebalancing (TIGER ETF): Long/Short Tradable Names

<ul>
<li>WISE Tour is another fast-growing theme index in Korea with an AUM of ₩0.23T. The next rebalancing will be on April 15. So, the rebalancing trading is on April 14.</li>
<li>Although the flow size of this ETF rebalancing is not substantial, it seems clear that the flow/price (direction) correlation is at a level we should pay attention to.</li>
<li>Those expected to receive a meaningful flow impact at this point are: (LONG) Hana Tour, GKL, &amp; Yong Pyong Resort / (SHORT) Hanjin KAL, Ananti, &amp; SK Rent A Car</li>
</ul>


WISE Tour is another fast-growing theme index in Korea with an AUM of ₩0.23T. The next rebalancing will be on April 15. So, the rebalancing trading is on April 14.
Although the flow size of this ETF rebalancing is not substantial, it seems clear that the flow/price (direction) correlation is at a level we should pay attention to.
Those expected to receive a meaningful flow impact at this point are: (LONG) Hana Tour, GKL, &amp; Yong Pyong Resort / (SHORT) Hanjin KAL, Ananti, &amp; SK Rent A Car


WISE Tour Leisure (TIGER ETF) Rebalancing Preview

<ul>
<li>The TIGER Tour Leisure ETF shows the fastest AUM growth among the local themed ETFs in Korea. It seems clear that this is due to the reopening expectations.</li>
<li>The absolute size of AUM seems small. But the number of components is only 19, and most of them are small caps. So the actual passive impact is not small.</li>
<li>Another noteworthy aspect is that the rebalancing is pretty straightforward. It primarily relies on the float-adjusted market caps. So, the rebalancing estimation visibility is relatively high.</li>
</ul>


The TIGER Tour Leisure ETF shows the fastest AUM growth among the local themed ETFs in Korea. It seems clear that this is due to the reopening expectations.
The absolute size of AUM seems small. But the number of components is only 19, and most of them are small caps. So the actual passive impact is not small.
Another noteworthy aspect is that the rebalancing is pretty straightforward. It primarily relies on the float-adjusted market caps. So, the rebalancing estimation visibility is relatively high.


TIGER WISE Tour Leisure ETF Rebalancing Preview

South Korea

Hanjin KAL Corporation is a holding company. The Company, through its subsidiaries, engages in airline, hotel, and travel related services. Hanjin also invests in real estates.

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Hanjin KAL Corp (180640 KS)

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

WISE Theme Indexes Rebalancing Today: Flow Projections as of Close on April 12

Three WISE Theme Indexes undergo quarterly rebalancing today at the close. This post screens 13 tradable names for a Long/Short basket day trading.

Sanghyun Park

WISE Tour Leisure Rebalancing (TIGER ETF): Long/Short Tradable Names

This post recommends Long/Short tradable names for the rebalancing trading event of the WISE Tour Leisure Index (TIGER ETF) next Thursday.

Sanghyun Park

WISE Tour Leisure (TIGER ETF) Rebalancing Preview

This post previews the upcoming rebalancing of the WISE Tour Leisure (TIGER ETF), effective April 15. The screening at this point delivers 3 LONG...

Sanghyun Park

TIGER WISE Tour Leisure ETF Rebalancing Preview

TIGER Tour Leisure ETF's passive impact should be of a meaningful level given its AUM size. So, we need to consider a long/short setup as a basket...

Sanghyun Park

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