Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>Following extraordinary price swings in <a href="https://www.smartkarma.com/entities/samsung-electronics-co-ltd" target="_blank" data-smartkarma-citation="entities:191:1" rel="noopener">Samsung Electronics (005930 KS)</a> last week, combined AUM in KRX-listed 2x long ETFs retreated from its June peak but remains 47% above launch levels.</li>
<li>Medium-Term returns expose significant performance drag: since launch, Samsung Electronics has fallen 21.0%, while the leveraged index declined 51.8%; net flows also shifted towards outflows in late July.</li>
<li>This Insight examines AUM, flows and return multiples across the long and inverse products, showing how daily rebalancing can undermine performance even when the directional call appears correct.</li>
</ul>


Following extraordinary price swings in Samsung Electronics (005930 KS) last week, combined AUM in KRX-listed 2x long ETFs retreated from its June peak but remains 47% above launch levels.
Medium-Term returns expose significant performance drag: since launch, Samsung Electronics has fallen 21.0%, while the leveraged index declined 51.8%; net flows also shifted towards outflows in late July.
This Insight examines AUM, flows and return multiples across the long and inverse products, showing how daily rebalancing can undermine performance even when the directional call appears correct.


Samsung Electronics (005930 KS): 2x Leveraged ETF AUM Retreats as Performance Drag Mounts

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

<ul>
<li>We are starting to see early signs of a potential bottom on MSCI EM (EEM-US).</li>
<li>Specifically, the EEM-US has reversed topside its 6-month downtrend. If MSCI EM has indeed bottomed, we want to be buying the leaders; that is where this report comes in.</li>
<li>Specific themes include attractive opportunities in India and Thailand, and also many in Taiwan and South Korea. Attractive Sectors include Energy, Financials, Materials, and Industrials.</li>
</ul>


We are starting to see early signs of a potential bottom on MSCI EM (EEM-US).
Specifically, the EEM-US has reversed topside its 6-month downtrend. If MSCI EM has indeed bottomed, we want to be buying the leaders; that is where this report comes in.
Specific themes include attractive opportunities in India and Thailand, and also many in Taiwan and South Korea. Attractive Sectors include Energy, Financials, Materials, and Industrials.


Finding Leadership Within Emerging Markets

<ul>
<li>
<a href="https://www.smartkarma.com/entities/sk-hynix-inc" target="_blank" data-smartkarma-citation="entities:16955:1" rel="noopener">SK Hynix (000660 KS)</a>’s sharp rebound lifted combined leveraged ETF AUM back to 72% above launch levels, reversing much of the recent decline.</li>
<li>Medium-Term returns continue to demonstrate the risks of daily rebalancing, reinforcing that leveraged and inverse ETFs are ultra-short-term trading instruments.</li>
<li>Today’s rally triggered renewed inflows, led by Samsung Asset Management’s KODEX product, even as tighter regulation clouds the segment’s growth outlook.</li>
</ul>



SK Hynix (000660 KS)’s sharp rebound lifted combined leveraged ETF AUM back to 72% above launch levels, reversing much of the recent decline.
Medium-Term returns continue to demonstrate the risks of daily rebalancing, reinforcing that leveraged and inverse ETFs are ultra-short-term trading instruments.
Today’s rally triggered renewed inflows, led by Samsung Asset Management’s KODEX product, even as tighter regulation clouds the segment’s growth outlook.


SK Hynix (000660 KS): 25% Rebound Revives Leveraged ETF AUM

<ul>
<li>Following large moves in <a href="https://www.smartkarma.com/entities/sk-hynix-inc" target="_blank" data-smartkarma-citation="entities:16955:1" rel="noopener">SK hynix (000660 KS)</a> , CSOP will allow leverage across its twelve single-asset 2x leveraged products to fall as low as 1.1x.</li>
<li>Flexible leverage in the largest listed leveraged product on SK hynix may reduce hedging and rebalancing pressure during periods of market stress.</li>
<li>The change adds manager discretion, may limit participation in subsequent rebounds and reinforces that these are ultra-short-term trading products.</li>
</ul>


Following large moves in SK hynix (000660 KS) , CSOP will allow leverage across its twelve single-asset 2x leveraged products to fall as low as 1.1x.
Flexible leverage in the largest listed leveraged product on SK hynix may reduce hedging and rebalancing pressure during periods of market stress.
The change adds manager discretion, may limit participation in subsequent rebounds and reinforces that these are ultra-short-term trading products.


SK Hynix (000660 KS): Large Moves Prompt Largest 2x Product to Reduce Leverage

<ul>
<li>Last week, KRX-listed 2x long ETFs on <a href="https://www.smartkarma.com/entities/samsung-electronics-co-ltd" target="_blank" data-smartkarma-citation="entities:191:1" rel="noopener">Samsung Electronics (005930 KS)</a> saw outflows, signalling weakening investor demand.</li>
<li>Among other measures, Korea will triple minimum cash deposit requirements for single-stock leveraged ETFs from 31 July, potentially adding pressure on future flows and AUM.</li>
<li>The inverse ETF has benefited from Samsung Electronics’ decline but is also seeing outflows.</li>
</ul>


Last week, KRX-listed 2x long ETFs on Samsung Electronics (005930 KS) saw outflows, signalling weakening investor demand.
Among other measures, Korea will triple minimum cash deposit requirements for single-stock leveraged ETFs from 31 July, potentially adding pressure on future flows and AUM.
The inverse ETF has benefited from Samsung Electronics’ decline but is also seeing outflows.


Samsung Electronics (005930 KS): 2x Leveraged ETF Outflows Signal Weakening Demand

South Korea

The KOSPI Index is a capitalization-weighted index of all common shares on the Korean Stock Exchanges. The Index was developed with a base value of 100 as of January 4, 1980. Note: The preferred shares are excluded in calculating the KOSPI Index from June 14, 2002. 

Korea Stock Exchange Kospi Index (KOSPI INDEX)

Korea Stock Exchange Kospi Index (KOSPI INDEX)

Samsung Electronics (005930 KS): 2x Leveraged ETF AUM Retreats as Performance Drag Mounts

KRX-listed 2x ETFs on Samsung Electronics saw AUM retreat from the June peak, while daily rebalancing exposed performance drag in both long and...

Gaudenz Schneider

Finding Leadership Within Emerging Markets

We are starting to see early signs of a potential bottom on $EEM. Specifically, the EEM has reversed topside its 6-month downtrend. If EEM has...

Vermilion Research

SK Hynix (000660 KS): 25% Rebound Revives Leveraged ETF AUM

SK hynix’s 25% rebound revives leveraged ETF AUM and inflows, but medium-term performance and tighter regulation keep risks firmly in focus.

Gaudenz Schneider

SK Hynix (000660 KS): Large Moves Prompt Largest 2x Product to Reduce Leverage

Large moves in SK Hynix prompt its largest 2x leveraged product to reduce leverage, easing hedging and rebalancing pressure while adding manager...

Gaudenz Schneider

Samsung Electronics (005930 KS): 2x Leveraged ETF Outflows Signal Weakening Demand

KRX-listed 2x long ETFs on Samsung Electronics saw outflows last week; meanwhile, Korea will triple minimum cash deposit requirements for single...

Gaudenz Schneider