Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>
<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> gained 7.2% in August MTD, but combined 2x leveraged ETF AUM fell 3.2% to KRW 3.1tn.</li>
<li>Cumulative net outflows reached KRW 534bn MTD, with all leveraged ETFs recording reductions in units outstanding.</li>
<li>Despite Samsung Electronics falling 8.3% since launch, the 2x inverse ETF has lost 56.4%, reducing its AUM to approximately KRW 15bn.</li>
</ul>



Samsung Electronics (005930 KS) gained 7.2% in August MTD, but combined 2x leveraged ETF AUM fell 3.2% to KRW 3.1tn.
Cumulative net outflows reached KRW 534bn MTD, with all leveraged ETFs recording reductions in units outstanding.
Despite Samsung Electronics falling 8.3% since launch, the 2x inverse ETF has lost 56.4%, reducing its AUM to approximately KRW 15bn.


Samsung Electronics (005930 KS): 2x Leveraged ETF Investors Exit into the August Rally

<ul>
<li>August MTD marks the first monthly outflow since launch: <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> 2x leveraged ETFs combined AUM fell 20% to KRW 4.2tn amid KRW 777bn in net outflows.</li>
<li>The 2x Leveraged Index fell 4.7% despite the underlying stock remaining broadly flat, reflecting performance drag in a sideways market.</li>
<li>The 2x inverse ETF lost 12.8% despite a broadly flat underlying stock, highlighting the risks of holding daily-reset products beyond very short trading periods.</li>
</ul>


August MTD marks the first monthly outflow since launch: SK hynix (000660 KS) 2x leveraged ETFs combined AUM fell 20% to KRW 4.2tn amid KRW 777bn in net outflows.
The 2x Leveraged Index fell 4.7% despite the underlying stock remaining broadly flat, reflecting performance drag in a sideways market.
The 2x inverse ETF lost 12.8% despite a broadly flat underlying stock, highlighting the risks of holding daily-reset products beyond very short trading periods.


SK Hynix (000660 KS): 2x Leveraged ETFs Record First Monthly Net Outflow

<ul>
<li>
<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> stabilised in the first half of August, gaining 4.6%, while the 2x Leveraged Index rose 6.8%.</li>
<li>Despite the rebound, leveraged ETFs recorded KRW 372bn of net outflows, reducing combined AUM by 2% in August MTD.</li>
<li>Investor flows—not performance alone—are driving AUM. Their effect on demand for Samsung shares may be amplified or offset by the ETFs’ daily leverage rebalancing.</li>
</ul>



Samsung Electronics (005930 KS) stabilised in the first half of August, gaining 4.6%, while the 2x Leveraged Index rose 6.8%.
Despite the rebound, leveraged ETFs recorded KRW 372bn of net outflows, reducing combined AUM by 2% in August MTD.
Investor flows—not performance alone—are driving AUM. Their effect on demand for Samsung shares may be amplified or offset by the ETFs’ daily leverage rebalancing.


Samsung Elec (005930 KS): August Gains Fail to Stem 2x Leveraged ETF Outflows

<ul>
<li>Since 2x leveraged ETFs linked to <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> launched in late May, volatility in the underlying stock has increased significantly.</li>
<li>Although daily rebalancing can amplify price moves, the data do not indicate that it does so systematically.</li>
<li>Overnight and intraday returns are largely uncorrelated across the sample, although they tend to reinforce each other on days with extreme moves.</li>
</ul>


Since 2x leveraged ETFs linked to SK hynix (000660 KS) launched in late May, volatility in the underlying stock has increased significantly.
Although daily rebalancing can amplify price moves, the data do not indicate that it does so systematically.
Overnight and intraday returns are largely uncorrelated across the sample, although they tend to reinforce each other on days with extreme moves.


SK Hynix (000660 KS): 130% Volatility and 2x Leveraged ETF Rebalancing

<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

Mini Kospi 200 Futures (KMS1 INDEX)

Samsung Electronics (005930 KS): 2x Leveraged ETF Investors Exit into the August Rally

Samsung Electronics (005930 KS) gained 7.2% in August MTD and its 2x Leveraged Index rose 10.4%, yet the ETFs recorded net outflows as investors...

Gaudenz Schneider

SK Hynix (000660 KS): 2x Leveraged ETFs Record First Monthly Net Outflow

With combined assets down 20% in August MTD, SK hynix-linked 2x leveraged ETFs recorded their first net outflow since launch as sideways trading...

Gaudenz Schneider

Samsung Elec (005930 KS): August Gains Fail to Stem 2x Leveraged ETF Outflows

Samsung Electronics gained 4.6% in early August, but KRW 372bn of 2x leveraged ETF outflows cut AUM by 2%. Flows are shaping ETF-driven demand for...

Gaudenz Schneider

SK Hynix (000660 KS): 130% Volatility and 2x Leveraged ETF Rebalancing

This Insight examines the extent to which daily rebalancing by 2x leveraged ETFs accounts for the recent surge in SK hynix’s volatility.

Gaudenz Schneider

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