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 Top 10 ETF / Event-Driven

<ul>
<li>Ecopro Co will replace Celltrion Inc. Their float market cap difference is nearly 5 trillion won, so it doesn't seem likely that this will reverse by the end of November.</li>
<li>Ecopro may not have a very significant passive impact x ADTV, given its still high trading volume. On the other hand, Celltrion seems likely to be the target of traders.</li>
<li>From a trading perspective, it's important to focus on the potential price impact of this flow event on Celltrion, which could be amplified depending on the possibility of merger cancellation.</li>
</ul>


Ecopro Co will replace Celltrion Inc. Their float market cap difference is nearly 5 trillion won, so it doesn't seem likely that this will reverse by the end of November.
Ecopro may not have a very significant passive impact x ADTV, given its still high trading volume. On the other hand, Celltrion seems likely to be the target of traders.
From a trading perspective, it's important to focus on the potential price impact of this flow event on Celltrion, which could be amplified depending on the possibility of merger cancellation.


Single-Day ETF Flow Event Not to Be Missed in Korea in December

<ul>
<li>Celltrion and Posco Holdings will switch places. Although there is still time until the screening period, the market capitalization gap between them has already widened significantly.</li>
<li>Posco Holdings will likely welcome a passive inflow of 0.44x ADTV, whereas Celltrion is expected to face outflows of around 0.69x ADTV.</li>
<li>Ecopro BM entered the Top 20 (preliminary screening table) with a YTD stock price increase of 130%, becoming the first KOSDAQ-listed company to do so.</li>
</ul>


Celltrion and Posco Holdings will switch places. Although there is still time until the screening period, the market capitalization gap between them has already widened significantly.
Posco Holdings will likely welcome a passive inflow of 0.44x ADTV, whereas Celltrion is expected to face outflows of around 0.69x ADTV.
Ecopro BM entered the Top 20 (preliminary screening table) with a YTD stock price increase of 130%, becoming the first KOSDAQ-listed company to do so.


Long Short Setup Candidate: Posco Holdings & Celltrion with TIGER Top 10 Rebalancing

<ul>
<li>At this point, one constituent change is expected, and LG Chem is expected to replace KT&amp;G.</li>
<li>The return of the equal-weighted long/short basket trade for the constituent changes in the past two years was recorded from 2.3% to 3.8%.</li>
<li>Both LG Chem and KT&amp;G are expected to have a significant rebalancing flow impact. It can be an event that brings a juicy day trading return.</li>
</ul>


At this point, one constituent change is expected, and LG Chem is expected to replace KT&amp;G.
The return of the equal-weighted long/short basket trade for the constituent changes in the past two years was recorded from 2.3% to 3.8%.
Both LG Chem and KT&amp;G are expected to have a significant rebalancing flow impact. It can be an event that brings a juicy day trading return.


Introducing KODEX Top 5 Plus ETF Rebalancing Event

Mirae Asset TIGER Fn Metaverse / Event-Driven

<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

<ul>
<li>
 Kakao managed to stay out of the relegation zone. Instead, Kia was pushed to the borderline. But POSCO failed to up its float rate, so Kia stayed in.</li>
<li>Besides that, LG Energy Solution and Celltrion made it to the index, replacing KB Financial and Shinhan Financial.</li>
<li>These passive flows appears to be of sufficient magnitude to cause a substantial price impact on T-1 Effectiveness. But it should also be approached with a fairly short window.</li>
</ul>



 Kakao managed to stay out of the relegation zone. Instead, Kia was pushed to the borderline. But POSCO failed to up its float rate, so Kia stayed in.
Besides that, LG Energy Solution and Celltrion made it to the index, replacing KB Financial and Shinhan Financial.
These passive flows appears to be of sufficient magnitude to cause a substantial price impact on T-1 Effectiveness. But it should also be approached with a fairly short window.


TIGER Top 10 Rebalancing: Four Names to Trade on T-1 Effective

South Korea

Mirae Asset Tiger Top 10 ETF is an Exchange Traded Fund established in South Korea.  The ETF's objective is to track the performance of the FnGuide TOP 10 Index.

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Mirae Asset Tiger Top 10 ETF (292150 KS)

Single-Day ETF Flow Event Not to Be Missed in Korea in December

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TIGER Top 10 Rebalancing: Four Names to Trade on T-1 Effective

This post screens four names to trade at the TIGER Top 10 ETF rebalancing in December based on FnGuide's latest float rates, and discusses trading...

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