Korea / Special Sits, Pairs, Index Rebalancing, Clepsydra Capital

Sanghyun Park

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

Event-Driven

<ul>
<li>Korea's local ETF market has experienced explosive growth in recent years. Over the past year, total ETF net assets have increased by 42%.</li>
<li>As a result, the flow impact they have on the market is growing significantly. So, we are now in great need to thoroughly investigates the local equity ETF market.</li>
<li><strong>Hence, this post looks at the thematic ETFs, which are still somewhat overlooked by the market, thus providing uncrowded flow trading opportunities.</strong></li>
</ul>


Korea's local ETF market has experienced explosive growth in recent years. Over the past year, total ETF net assets have increased by 42%.
As a result, the flow impact they have on the market is growing significantly. So, we are now in great need to thoroughly investigates the local equity ETF market.
Hence, this post looks at the thematic ETFs, which are still somewhat overlooked by the market, thus providing uncrowded flow trading opportunities.


A Guide to Thematic Equity ETFs in Korea for Uncrowded Flow Trading Opportunities

<ul>
<li>Compared to the tightly crowded KOSPI 200, the sector ETFs' rebalancing flow trading appears relatively less crowded, which led to a significantly higher flow/price correlation on the rebalancing day.</li>
<li>The KRX now delivers the rebalancing results of the KRX Sector &amp; K-New Deal Indexes only to paying customers. This can increase the profit effect of acquiring prior information.</li>
<li>So, safe play, which builds up a position from the time this information is acquired, rather than an aggressive preemptive position build-up, can still obtain a sufficient level of juice.</li>
</ul>


Compared to the tightly crowded KOSPI 200, the sector ETFs' rebalancing flow trading appears relatively less crowded, which led to a significantly higher flow/price correlation on the rebalancing day.
The KRX now delivers the rebalancing results of the KRX Sector &amp; K-New Deal Indexes only to paying customers. This can increase the profit effect of acquiring prior information.
So, safe play, which builds up a position from the time this information is acquired, rather than an aggressive preemptive position build-up, can still obtain a sufficient level of juice.


Backtesting Implications: Korea Sector ETFs Rebalancing on the 8th

<ul>
<li>There are 611 ETFs with a combined AUM of ₩76T. Korea is in the global top 7. ₩32T worth of ETFs belongs to local equity, half of which are index-trackers.</li>
<li>The market began to pay attention to the less crowded areas. The result is the rise of sector ETFs. Sector-type has also grown significantly, now with an AUM of ₩8.4T.</li>
<li>Lower predictability causes their rebalancings to be relatively less crowded. That is, the profit effect of acquiring prior information is much more dramatic on the day of rebalancing trading.</li>
</ul>


There are 611 ETFs with a combined AUM of ₩76T. Korea is in the global top 7. ₩32T worth of ETFs belongs to local equity, half of which are index-trackers.
The market began to pay attention to the less crowded areas. The result is the rise of sector ETFs. Sector-type has also grown significantly, now with an AUM of ₩8.4T.
Lower predictability causes their rebalancings to be relatively less crowded. That is, the profit effect of acquiring prior information is much more dramatic on the day of rebalancing trading.


Korea ETF Market Size Breakdown from a Flow Trading Perspective

South Korea

Samsung KODEX Autos ETF is an Exchange Traded Fund established in South Korea. The Fund's objective is to provide investment return that corresponds closely to the performance of the KRX Autos Index.  The Fund invests in a portfolio that consists of the securities in the KRXAUTO Index with full replication, in principle, or sampling method, when necessary. 

Samsung KODEX Autos ETF (091180 KS)

A Guide to Thematic Equity ETFs in Korea for Uncrowded Flow Trading Opportunities

This post looks at the thematic ETFs, which are still somewhat overlooked by the market, thus providing uncrowded flow trading opportunities.

Sanghyun Park

Backtesting Implications: Korea Sector ETFs Rebalancing on the 8th

This post backtests the flow trading performance for the rebalancings of Korea's sector ETFs on the 8th and discusses unique patterns and...

Sanghyun Park

Korea ETF Market Size Breakdown from a Flow Trading Perspective

This post provides a size breakdown of the Korean ETF market from a flow trading perspective with a list of sector ETFs worth doing flow trading.

Sanghyun Park