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 Secondary Cell ETF / Event-Driven

Mirae Asset TIGER Secondary Cell ETF (305540 KS)

<ul>
<li>In general, the projection hit rate for the top market cap constituents was sufficiently high. And the correlation between their stock price direction and passive flow was also high.</li>
<li>However, the projection hit rate for the constituents with a small market cap was relatively low.</li>
<li>If we traded the proposed tradable names with an equal-weighted Long/Short basket, we would have achieved a return of 1.76%. Even excluding Hanjin Kal, we would have achieved 1.31%.</li>
</ul>


In general, the projection hit rate for the top market cap constituents was sufficiently high. And the correlation between their stock price direction and passive flow was also high.
However, the projection hit rate for the constituents with a small market cap was relatively low.
If we traded the proposed tradable names with an equal-weighted Long/Short basket, we would have achieved a return of 1.76%. Even excluding Hanjin Kal, we would have achieved 1.31%.


Recap on WISE Theme Indexes (TIGER ETFs) Rebalancing Trading on April 14

<ul>
<li>Three WISE theme indexes undergo quarterly rebalancing today at the close.</li>
<li>The flow projections shown below in the DETAIL are based on the closing prices of April 12.</li>
<li>We have 13 Long/Short tradable names based on these flow projections: an ADTV of at least ₩10B &amp; a passive flow impact of 0.10x ADTV or more</li>
</ul>


Three WISE theme indexes undergo quarterly rebalancing today at the close.
The flow projections shown below in the DETAIL are based on the closing prices of April 12.
We have 13 Long/Short tradable names based on these flow projections: an ADTV of at least ₩10B &amp; a passive flow impact of 0.10x ADTV or more


WISE Theme Indexes Rebalancing Today: Flow Projections as of Close on April 12

<ul>
<li>Next Thursday, the rebalancing trading of the WISE Secondary Cell Index will occur. The current AUM is ₩1.26T, and the AUM has slightly increased in the last two weeks.</li>
<li>Six names (2 Longs &amp; 4 Shorts) are screened: <strong>SK Innovation, LG Energy Solution, Posco Chemical, SKC Co Ltd, Iljin Materials, &amp; Solus Advanced Materials</strong>. </li>
<li>Considering the 20-day price returns, long/short basket trading seems valid as the long targets have relatively outperformed. However, since Solus Advanced Materials is short-restricted, we need to exclude it.</li>
</ul>


Next Thursday, the rebalancing trading of the WISE Secondary Cell Index will occur. The current AUM is ₩1.26T, and the AUM has slightly increased in the last two weeks.
Six names (2 Longs &amp; 4 Shorts) are screened: SK Innovation, LG Energy Solution, Posco Chemical, SKC Co Ltd, Iljin Materials, &amp; Solus Advanced Materials. 
Considering the 20-day price returns, long/short basket trading seems valid as the long targets have relatively outperformed. However, since Solus Advanced Materials is short-restricted, we need to exclude it.


WISE Secondary Cell Rebalancing (TIGER ETF): Long/Short Tradable Names

<ul>
<li>WISE Secondary Cell rebalances every quarter in January, April, July, and October. The effective date for the upcoming rebalancing is April 15.</li>
<li>The flow impact/price correlation of small/mid-caps is shown to be at a meaningful level. Therefore, we may need to design long/short basket trading setups focusing on these small/mid-caps.</li>
<li>The following five stocks are expected to have a significant level of flow impact at this point: SKC, Soulbrain, Youlchon Chemical, Posco Chemical, and LG Energy Solution.</li>
</ul>


WISE Secondary Cell rebalances every quarter in January, April, July, and October. The effective date for the upcoming rebalancing is April 15.
The flow impact/price correlation of small/mid-caps is shown to be at a meaningful level. Therefore, we may need to design long/short basket trading setups focusing on these small/mid-caps.
The following five stocks are expected to have a significant level of flow impact at this point: SKC, Soulbrain, Youlchon Chemical, Posco Chemical, and LG Energy Solution.


WISE Secondary Cell (TIGER ETF) Rebalancing Preview

<ul>
<li>Three local indexes in Korea face rebalancing trading on March 10, supposedly at the close.</li>
<li>They are 1. KOSPI 200 Fast Entry for LG Energy Solution, 2. KOSPI Size Index Series biannual rebalancing, and 3. KRX BBIG K-New Deal biannual rebalancing.</li>
<li>There are 18 stocks in total, which have an estimated passive flow of ±0.5x ADTV &amp; an average daily trade value of +₩5.0B.</li>
</ul>


Three local indexes in Korea face rebalancing trading on March 10, supposedly at the close.
They are 1. KOSPI 200 Fast Entry for LG Energy Solution, 2. KOSPI Size Index Series biannual rebalancing, and 3. KRX BBIG K-New Deal biannual rebalancing.
There are 18 stocks in total, which have an estimated passive flow of ±0.5x ADTV &amp; an average daily trade value of +₩5.0B.


Combined Rebalancing Flow Estimations of Three Indexes in Korea on March 10

South Korea

SKC Co., Ltd. manufactures a variety of films, including polyester films, silicon coated films, and inkjet films.  The Company also produces chemical products, such as propylene oxide, propylene glycol, and styrene monomer. In addition, SKC provides materials for photovoltaic.

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SKC Co Ltd (011790 KS)

Recap on WISE Theme Indexes (TIGER ETFs) Rebalancing Trading on April 14

This post is a recap of our flow trading on the WISE Theme Indexes (TIGER ETFs) rebalancing, which was carried out on April 14.

Sanghyun Park

WISE Theme Indexes Rebalancing Today: Flow Projections as of Close on April 12

Three WISE Theme Indexes undergo quarterly rebalancing today at the close. This post screens 13 tradable names for a Long/Short basket day trading.

Sanghyun Park

WISE Secondary Cell Rebalancing (TIGER ETF): Long/Short Tradable Names

This post recommends Long/Short tradable names for the rebalancing trading event of the WISE Secondary Cell Index (TIGER ETF) next Thursday.

Sanghyun Park

WISE Secondary Cell (TIGER ETF) Rebalancing Preview

This post previews the upcoming rebalancing of the WISE Secondary Cell Theme Index (TIGER ETF), whose effective date is April 15.

Sanghyun Park

Combined Rebalancing Flow Estimations of Three Indexes in Korea on March 10

This post estimates the combined rebalancing flows of Korea's three local indexes, which should be seen on March 10, supposedly at the close.

Sanghyun Park

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