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

<ul>
<li>WCP will likely be included in the rebalancing of Samsung KODEX Secondary Battery Industry ETF in June. And we should consider the possibility of this happening to be quite high.</li>
<li>We can expect a daily passive inflow of around 0.3x compared to WCP's typical DTV. The practical correlation with the price should be higher than the theoretical level.</li>
<li>We should consider using SKIET, which engages in the same business in the same sector, as a hedge. WCP/SKIET Long Short achieved considerable performance within the past week's window.</li>
</ul>


WCP will likely be included in the rebalancing of Samsung KODEX Secondary Battery Industry ETF in June. And we should consider the possibility of this happening to be quite high.
We can expect a daily passive inflow of around 0.3x compared to WCP's typical DTV. The practical correlation with the price should be higher than the theoretical level.
We should consider using SKIET, which engages in the same business in the same sector, as a hedge. WCP/SKIET Long Short achieved considerable performance within the past week's window.


A High Conviction Long Short Trade in KODEX Battery ETF Rebalancing in June

Mirae Asset TIGER Secondary Cell ETF / Event-Driven

Mirae Asset TIGER Secondary Cell ETF (305540 KS)

<ul>
<li>There seems to be no constituent change this time. However, opportunities from cap reversion are likely to lead to noteworthy passive flows.</li>
<li>Ecopro BM and Ecopro Co will experience a weight movement of -4.35% and -3.68%p. On the other hand, SK Innovation will enjoy the most pleasant passive impact.</li>
<li>At KODEX Battery's March rebalancing, the Long SK Innovation Short Ecopro BM position setup provided a return of more than 10% with a similar level of impact x ADTV.</li>
</ul>


There seems to be no constituent change this time. However, opportunities from cap reversion are likely to lead to noteworthy passive flows.
Ecopro BM and Ecopro Co will experience a weight movement of -4.35% and -3.68%p. On the other hand, SK Innovation will enjoy the most pleasant passive impact.
At KODEX Battery's March rebalancing, the Long SK Innovation Short Ecopro BM position setup provided a return of more than 10% with a similar level of impact x ADTV.


Flow Trading Targeting Cap Reversion in TIGER Battery ETF Rebalancing on April 13

<ul>
<li>Ecopro BM's weight has expanded to 22%. Since the probability of receiving a 15% cap is virtually 100%, it will inevitably undergo a weight change of up to nearly 7%p.</li>
<li>If the ongoing rally subsides before March 10th and returns to the January DTV level, the price impact could surge up to 0.3-0.4x daily for three trading days.</li>
<li>This seems to be a sufficient level for a shorting entry point. It may be worth considering an outright short position on Ecopro BM or Long Short with SK Innovation.</li>
</ul>


Ecopro BM's weight has expanded to 22%. Since the probability of receiving a 15% cap is virtually 100%, it will inevitably undergo a weight change of up to nearly 7%p.
If the ongoing rally subsides before March 10th and returns to the January DTV level, the price impact could surge up to 0.3-0.4x daily for three trading days.
This seems to be a sufficient level for a shorting entry point. It may be worth considering an outright short position on Ecopro BM or Long Short with SK Innovation.


Shorting Entry Point on Ecopro BM with KODEX Battery ETF Rebalancing on March 10

Mirae Asset TIGER Fn Metaverse / Event-Driven

Mirae Asset TIGER Fn Metaverse (400970 KS)

<ul>
<li>As for the one using the creation/redemption mechanism, the tracking error (market value - NAV) is still too tight to call this an arbitrage opening.</li>
<li>Then, at this point, we need to pay attention to ETF arbitrage from a pair trade perspective. There are a total of 3 pairs we can consider for this.</li>
<li>The mean reversion cycle is still not short. However, the diversion range is not extensive, so we can aim for a relatively stable setup in a market with increased volatility.</li>
</ul>


As for the one using the creation/redemption mechanism, the tracking error (market value - NAV) is still too tight to call this an arbitrage opening.
Then, at this point, we need to pay attention to ETF arbitrage from a pair trade perspective. There are a total of 3 pairs we can consider for this.
The mean reversion cycle is still not short. However, the diversion range is not extensive, so we can aim for a relatively stable setup in a market with increased volatility.


ETF Arbitrage in Korea: Names Suitable for Pair Trades

KODEX Korea China New Energy Vehicles ETF / Event-Driven

KODEX Korea China New Energy Vehicles ETF (450180 KS)

KODEX Korea China New Energy Vehicles ETF

<ul>
<li>KRX listed ETFs tracking the KRX-CSI joint indexes: <a href="https://www.smartkarma.com/entities/samsung-kodex-korea-china-new-energy-vehicles-etf-synth" target="_blank" data-smartkarma-citation="entities:36634:1" rel="noopener">KODEX Korea China EV (450180)</a>, <a href="https://www.smartkarma.com/entities/samsung-kodex-korea-china-semiconductor-etf-synth" target="_blank" data-smartkarma-citation="entities:36635:1" rel="noopener">KODEX Korea China Semiconductor (450190)</a>, <a href="https://www.smartkarma.com/entities/mirae-asset-tiger-synth-korea-china-ev-etf" target="_blank" data-smartkarma-citation="entities:36636:1" rel="noopener">TIGER Synth Korea-China EV (449680)</a>, and <a href="https://www.smartkarma.com/entities/mirae-asset-tiger-synth-korea-china-semiconductor-etf" target="_blank" data-smartkarma-citation="entities:36637:1" rel="noopener">TIGER Synth Korea-China Semiconductor (449690)</a>
</li>
<li>From a trading perspective, whether these newly introduced ETFs will replace the existing EV ETFs would be a key thinking point.</li>
<li>This means a shift in the fund size of more than 5 trillion won and will cause a significant price impact in terms of flow trading.</li>
</ul>


KRX listed ETFs tracking the KRX-CSI joint indexes: KODEX Korea China EV (450180), KODEX Korea China Semiconductor (450190), TIGER Synth Korea-China EV (449680), and TIGER Synth Korea-China Semiconductor (449690)

From a trading perspective, whether these newly introduced ETFs will replace the existing EV ETFs would be a key thinking point.
This means a shift in the fund size of more than 5 trillion won and will cause a significant price impact in terms of flow trading.


Launching KRX CSI Joint EV & Semiconductor ETFs

South Korea

MIRAE ASSET TIGER SECONDARY CELL ETF is an exchange-traded fund issued in South Korea. The objective of the ETF is to seek returns corresponding to the returns of the "WISE Secondary Cell Theme Index".

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Mirae Asset TIGER Secondary Cell ETF (305540 KS)

A High Conviction Long Short Trade in KODEX Battery ETF Rebalancing in June

This post offers a high conviction Long Short trade idea after investigating WCP's inclusion in TIGER Battery ETF yesterday and the high...

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Flow Trading Targeting Cap Reversion in TIGER Battery ETF Rebalancing on April 13

This post investigates potential flow trading opportunities targeting those subject to a 10% cap reversion in TIGER Battery ETF's upcoming...

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Shorting Entry Point on Ecopro BM with KODEX Battery ETF Rebalancing on March 10

This post analyzes the potential shorting entry point for Ecopro BM in the upcoming KODEX Battery ETF rebalancing on March 10th.

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ETF Arbitrage in Korea: Names Suitable for Pair Trades

This post investigates ETF arbitrage in Korea, with a particular focus on the names suitable for pair trades, which can be another feasible...

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Launching KRX CSI Joint EV & Semiconductor ETFs

This post details the four ETFs introduced by KRX, which track the joint indexes rolled out by KRX and CSI in December last year.

Sanghyun Park

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