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.

Index Rebalance

Samsung KODEX Autos ETF / Index Rebalance

<ul>
<li>Demand for less crowded rebalancing plays is rising, making off-the-radar flows more critical. A structured timeline is key to tracking and managing these setups efficiently.</li>
<li>Key ETFs to watch are local sector names with solid AUM—about 20 names. But the trading approach isn’t one-size-fits-all.</li>
<li>Stick to the schedule, track potential flow setups, and front-run by securing rebalance details early and positioning ahead of the crowd.</li>
</ul>


Demand for less crowded rebalancing plays is rising, making off-the-radar flows more critical. A structured timeline is key to tracking and managing these setups efficiently.
Key ETFs to watch are local sector names with solid AUM—about 20 names. But the trading approach isn’t one-size-fits-all.
Stick to the schedule, track potential flow setups, and front-run by securing rebalance details early and positioning ahead of the crowd.


Schedule Info for Front-Running Korea Sector ETF Rebalancing Trades

Event-Driven

<ul>
<li>KRX confirmed no immediate changes on KRX Semicon and KRX Autos. The universe will switch from BMI to TMI large and mid-caps, with constituent updates happening in the September rebalancing.</li>
<li>TMI rebalances quarterly, while KRX Semicon and Autos rebalance annually in September. KRX confirmed these indices will use the September TMI rebalancing results.</li>
<li>TMI rebalances quarterly, likely releasing results before KRX Sector Indices, giving a window to predict shifts in KRX Semicon and Autos stocks and position ahead of the sector rebalancing.</li>
</ul>


KRX confirmed no immediate changes on KRX Semicon and KRX Autos. The universe will switch from BMI to TMI large and mid-caps, with constituent updates happening in the September rebalancing.
TMI rebalances quarterly, while KRX Semicon and Autos rebalance annually in September. KRX confirmed these indices will use the September TMI rebalancing results.
TMI rebalances quarterly, likely releasing results before KRX Sector Indices, giving a window to predict shifts in KRX Semicon and Autos stocks and position ahead of the sector rebalancing.


KRX's Responses to TMI-Related Confusions on KRX Semicon & Autos Rebalancing

Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Bottom-Up

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/kia-corp" target="_blank" data-smartkarma-citation="entities:156:1" rel="noopener">Kia (000270 KS)</a> vs. <a href="https://www.smartkarma.com/entities/hyundai-motor-co" target="_blank" data-smartkarma-citation="entities:155:1" rel="noopener">Hyundai (005380 KS)</a> price-ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.</li>
<li>
Highlights: Going long Kia (000270 KS) and short Hyundai (005380 KS) targets a 12% return.</li>
<li>
Why Read: Essential for quantitative traders seeking mean-reversion opportunities, with detailed execution framework, risk management protocols, and historical simulation showing the statistical basis for this relative value play.</li>
</ul>



Context: The Kia (000270 KS) vs. Hyundai (005380 KS) price-ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlights: Going long Kia (000270 KS) and short Hyundai (005380 KS) targets a 12% return.

Why Read: Essential for quantitative traders seeking mean-reversion opportunities, with detailed execution framework, risk management protocols, and historical simulation showing the statistical basis for this relative value play.


Long Kia (000270 KS) Vs. Short Hyundai (005380 KS): Quant Model Hits Trigger Zone in Korean Autos

<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. 

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Samsung KODEX Autos ETF (091180 KS)

Schedule Info for Front-Running Korea Sector ETF Rebalancing Trades

This post covers key dates and timing for front-running Korea sector ETF rebalancing—helping traders get ahead of the flow and position early for...

Sanghyun Park

Long Kia (000270 KS) Vs. Short Hyundai (005380 KS): Quant Model Hits Trigger Zone in Korean Autos

Pair trade with a 12% target-return amid significant deviation of the price-ratio between Kia and Hyundai. Opportunity for quantitative traders...

Gaudenz Schneider

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

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Schedule Info for Front-Running Korea Sector ETF Rebalancing Trades

This post covers key dates and timing for front-running Korea sector ETF rebalancing—helping traders get ahead of the flow and position early for...

Sanghyun Park

KRX's Responses to TMI-Related Confusions on KRX Semicon & Autos Rebalancing

The responses I received today from KRX regarding the confusion around the changes to the KRX Semicon and KRX Autos rebalancing brought by the...

Sanghyun Park

Long Kia (000270 KS) Vs. Short Hyundai (005380 KS): Quant Model Hits Trigger Zone in Korean Autos

Pair trade with a 12% target-return amid significant deviation of the price-ratio between Kia and Hyundai. Opportunity for quantitative traders...

Gaudenz Schneider

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