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>Given SunEel's market cap and the level of relevance to the rechargeable battery business, KODEX will likely include it this time around.</li>
<li>If you are looking for a short-selling opportunity, I recommend adjusting the timing after this KODEX ETF passive event.</li>
<li>If you are long targeting the KOSDAQ 150 inclusion, I recommend taking a slightly longer holding window to additionally target the passive inflow of the KODEX ETF.</li>
</ul>


Given SunEel's market cap and the level of relevance to the rechargeable battery business, KODEX will likely include it this time around.
If you are looking for a short-selling opportunity, I recommend adjusting the timing after this KODEX ETF passive event.
If you are long targeting the KOSDAQ 150 inclusion, I recommend taking a slightly longer holding window to additionally target the passive inflow of the KODEX ETF.


KODEX Battery ETF Rebalancing & SungEel Hitech Trading Situation

<ul>
<li>Long/Short basket trading on an equal weight using only six stocks for a 10% ceiling reversion with SungEel and Sebitchem would have delivered a daily yield of close to 2%.</li>
<li>An outright position on SungEel and Sebitchem and the biggest mover, Ecopro BM, alone would have delivered a pretty juicy yield of 4.2%.</li>
<li>The rebalancing of this ETF is an event that allows you to bet on highly predictable share price movements by forming a basket with a relatively small number of stocks.</li>
</ul>


Long/Short basket trading on an equal weight using only six stocks for a 10% ceiling reversion with SungEel and Sebitchem would have delivered a daily yield of close to 2%.
An outright position on SungEel and Sebitchem and the biggest mover, Ecopro BM, alone would have delivered a pretty juicy yield of 4.2%.
The rebalancing of this ETF is an event that allows you to bet on highly predictable share price movements by forming a basket with a relatively small number of stocks.


Tracing Back TIGER (WISE) Battery ETF Rebalancing on October 13

Equity Capital Markets

<ul>
<li>WCP's institutional subscription rate was 33.28 to 1, one of the lowest for an IPO this size. And nearly all orders sit below the lower end.</li>
<li>WCP set the price at ₩60,000, even lower than the floor, at an implied market cap of ₩2T. And the issuer also reduced the offering volume from 9M to 7.2M. </li>
<li>Passive flows equivalent to about 3% of SO will likely flow into WCP by March next year. It is substantial enough to consider designing a flow trade setup.</li>
</ul>


WCP's institutional subscription rate was 33.28 to 1, one of the lowest for an IPO this size. And nearly all orders sit below the lower end.
WCP set the price at ₩60,000, even lower than the floor, at an implied market cap of ₩2T. And the issuer also reduced the offering volume from 9M to 7.2M. 
Passive flows equivalent to about 3% of SO will likely flow into WCP by March next year. It is substantial enough to consider designing a flow trade setup.


WCP IPO: Order Table, Revised Terms, & Passive Flow Schedule

Mirae Asset TIGER Secondary Cell ETF / Event-Driven

<ul>
<li>The rebalancing trading will be at the close on October 13. The AUM currently amounts to ₩1.32T with 28 constituents, implying that the passive impacts wouldn't be insignificant.</li>
<li>It will likely show a similar pattern to the last rebalancing. With no constituent change, weight adjustment by 10% cap of top stocks leads to weight adjustment of the rest.</li>
<li>An important variable here is the entry of newly listed stocks. <strong>SungEel Hitech</strong> and <strong>Sebitchem</strong>, the two larger cap stocks, appear to have a reasonably high inclusion probability.</li>
</ul>


The rebalancing trading will be at the close on October 13. The AUM currently amounts to ₩1.32T with 28 constituents, implying that the passive impacts wouldn't be insignificant.
It will likely show a similar pattern to the last rebalancing. With no constituent change, weight adjustment by 10% cap of top stocks leads to weight adjustment of the rest.
An important variable here is the entry of newly listed stocks. SungEel Hitech and Sebitchem, the two larger cap stocks, appear to have a reasonably high inclusion probability.


TIGER Battery ETF (WISE) Rebalancing in October

<ul>
<li>This block deal won't lead to a float increase event. Nevertheless, it will substantially impact the rebalancing of the TIGER (WISE) Secondary Cell ETF next week.</li>
<li>A passive net inflow of up to ₩10B occurs, equivalent to 0.5x ADTV. Indeed, this level provides a significant day trade setup.</li>
<li>With today's price correction, SKIET's index weight will drop to the high 4% range. Applying the 36% float to today's price will increase the weight to 5.5% at the rebalancing. </li>
</ul>


This block deal won't lead to a float increase event. Nevertheless, it will substantially impact the rebalancing of the TIGER (WISE) Secondary Cell ETF next week.
A passive net inflow of up to ₩10B occurs, equivalent to 0.5x ADTV. Indeed, this level provides a significant day trade setup.
With today's price correction, SKIET's index weight will drop to the high 4% range. Applying the 36% float to today's price will increase the weight to 5.5% at the rebalancing. 


SKIET Block Deal: Passive Impact on TIGER (WISE) Secondary Cell ETF Rebalancing

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".

Mirae Asset TIGER Secondary Cell ETF (305540 KS)

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Mirae Asset TIGER Secondary Cell ETF (305540 KS)

KODEX Battery ETF Rebalancing & SungEel Hitech Trading Situation

This post examines the KODEX Battery ETF rebalancing in December and how it relates to SungEel Hitech's flow trading and shorting situation.

Sanghyun Park

Tracing Back TIGER (WISE) Battery ETF Rebalancing on October 13

This post traces back and backtests the rebalancing of the WISE Battery ETF, which occurred last Thursday, to examine the correction degree of net...

Sanghyun Park

WCP IPO: Order Table, Revised Terms, & Passive Flow Schedule

This post details the order table and revised terms of the WCP IPO and investigates the passive flows from the KOSDA 150 and the local sector ETFs.

Sanghyun Park

TIGER Battery ETF (WISE) Rebalancing in October

This post investigates the upcoming rebalancing situation of the TIGER Secondary Cell ETF (WISE Index), with a focus on the entry possibility of...

Sanghyun Park

SKIET Block Deal: Passive Impact on TIGER (WISE) Secondary Cell ETF Rebalancing

This post investigates the passive impact of SKIET's block deal yesterday on the rebalancing of the TIGER (WISE) Secondary Cell ETF next week.

Sanghyun Park

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