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

<ul>
<li>KRX Semis is September’s key passive event, but TIGER’s unusual 6% Hynix underweight and sampling approach ahead of the rebalance has raised fresh tracking concerns.</li>
<li>Mirae’s sampling explanation is questionable, with TIGER effectively running an active tilt before reversing KRW 80bn of Hynix and Samsung trades last Wednesday. FSS review remains unclear.</li>
<li>Full replication is the base case. Pre position TES and TSE, then target spillover flows as Hynix and Samsung revert to the 20% cap, with Hynix driving KRW 1.2tn.</li>
</ul>


KRX Semis is September’s key passive event, but TIGER’s unusual 6% Hynix underweight and sampling approach ahead of the rebalance has raised fresh tracking concerns.
Mirae’s sampling explanation is questionable, with TIGER effectively running an active tilt before reversing KRW 80bn of Hynix and Samsung trades last Wednesday. FSS review remains unclear.
Full replication is the base case. Pre position TES and TSE, then target spillover flows as Hynix and Samsung revert to the 20% cap, with Hynix driving KRW 1.2tn.


On the Risk of TIGER (Or Even KODEX) Repeating Its Weird Practice Ahead of KRX Semis Sept Rebalance

<ul>
<li>Last September rebalance, Taesung, HD Hyundai Energy, and Gemvax saw strong announcement day gains, then mixed and partially reversed prints on the actual rebalance flow date.</li>
<li>Setup centers on the announcement window Friday Sept 4 ahead of Sept 10 rebalance, with May to July screening driving pre positioning into likely inclusions.</li>
<li>TES (095610), TSE (131290), VM (089970) are core inclusion locks. KRW 8.2tn AUM drives higher positioning and two track trade into announcement and pre positioning.</li>
</ul>


Last September rebalance, Taesung, HD Hyundai Energy, and Gemvax saw strong announcement day gains, then mixed and partially reversed prints on the actual rebalance flow date.
Setup centers on the announcement window Friday Sept 4 ahead of Sept 10 rebalance, with May to July screening driving pre positioning into likely inclusions.
TES (095610), TSE (131290), VM (089970) are core inclusion locks. KRW 8.2tn AUM drives higher positioning and two track trade into announcement and pre positioning.


KRX Semis Set for Heavy Passive Flow Attention in September

Asia Pac ECM and Index Rebal, Shenton Research

Ke Yan, CFA, FRM

Asia Pac ECM and Index Rebal

Asia Pac IPO & Placement Research, China Biotech

Shenton Research

Shenton Research is an independent Asia Pacific equity specialist. Our quantitative research covers index rebalancing flows, alongside exchange data analytics accross Asia Pacific. On the equity capital markets side, we focus on Asia Pacific ECM, especially biotech and TMT. Our lead analyst is frequently cited by international media.

Quantitative Analysis

<ul>
<li>We analyzed the changes in foreign holdings of KRX stocks as of Sep 11th. The aggregated holding was USD1,714.2bn.</li>
<li>We estimate that foreign flows to be inflows of USD1,692mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.</li>
<li>We highlight changes of foreign holdings in SK Hynix, SKSQUARE, Samsung Elec (PREF), KAL, EO Technics.</li>
</ul>


We analyzed the changes in foreign holdings of KRX stocks as of Sep 11th. The aggregated holding was USD1,714.2bn.
We estimate that foreign flows to be inflows of USD1,692mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
We highlight changes of foreign holdings in SK Hynix, SKSQUARE, Samsung Elec (PREF), KAL, EO Technics.


KRX Foreign Holding Weekly (Sep 11th): SK Hynix, SKSQUARE, Samsung Elec (PREF), KAL, EO Technics

<ul>
<li>KRX confirmed the 20% Samsung and Hynix caps for Thursday. Hynix alone implies KRW 1.2tn of sell flow, with KODEX expected to fully replicate.</li>
<li>While TIGER remains uncertain due to replication issues and lack of desk confirmation, it represents only 20% of AUM. Expecting at least 90% total AUM movement for Thursday remains realistic.</li>
<li>For passive impact, Friday’s combined KRX/NXT DTV is likely the best proxy, given recent volume volatility and improving semiconductor liquidity.</li>
</ul>


KRX confirmed the 20% Samsung and Hynix caps for Thursday. Hynix alone implies KRW 1.2tn of sell flow, with KODEX expected to fully replicate.
While TIGER remains uncertain due to replication issues and lack of desk confirmation, it represents only 20% of AUM. Expecting at least 90% total AUM movement for Thursday remains realistic.
For passive impact, Friday’s combined KRX/NXT DTV is likely the best proxy, given recent volume volatility and improving semiconductor liquidity.


KRX Confirms 20% Samsung and Hynix Caps for Thursday’s Semis Rebalance

Pan-Asia Tactical Market Calls (Quant-Driven), MRM Research

Nico Rosti

Pan-Asia Tactical Market Calls (Quant-Driven)

MRM Research

Quantitative Research

Equity Derivatives

Samsung KODEX Semicon ETF / Equity Derivatives

<ul>
<li>
<a href="https://www.smartkarma.com/profiles/sanghyun-park" target="_blank" data-smartkarma-citation="accounts:354" rel="noopener">Sanghyun Park</a> posted recently about stocks added/removed to KRX Semis <a href="https://www.smartkarma.com/entities/samsung-kodex-semicon-etf" target="_blank" data-smartkarma-citation="entities:40966:1" rel="noopener">(091160 KS)</a> at September's rebalance, <strong>this insight will look at support zones to buy during the current correction and profit targets</strong>.</li>
<li>The ETF sits at price that offers a tactical LONG entry - this insight leverages our model data to evaluate if this is a good point to enter the trade.</li>
<li>Market sentiment on KODEX Semicon remains cautiously bullish with high tactical volatility, possibly an opportunity to buy at discounted price, with a long-term profit target view.</li>
</ul>



Sanghyun Park posted recently about stocks added/removed to KRX Semis (091160 KS) at September's rebalance, this insight will look at support zones to buy during the current correction and profit targets.
The ETF sits at price that offers a tactical LONG entry - this insight leverages our model data to evaluate if this is a good point to enter the trade.
Market sentiment on KODEX Semicon remains cautiously bullish with high tactical volatility, possibly an opportunity to buy at discounted price, with a long-term profit target view.


KODEX Semicon (091160 KS) Tactical Outlook After September Rebalance

South Korea

TES Co., Ltd is a semiconductor front end processing equipment manufacturer. The Company manufactures chemical vapor deposition (CVD) systems for wafer fabrication, which include plasma-enhanced chemical vapor disposition (PE-CVD) for solar cell, and metal organic chemical vapor deposition (MO-CVD) for LED.

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Tes Co Ltd (095610 KS)

On the Risk of TIGER (Or Even KODEX) Repeating Its Weird Practice Ahead of KRX Semis Sept Rebalance

The KRX Semis rebalance results came out exactly as I predicted: TES and TSE were added, while 16 names were removed. I expect meaningful price...

Sanghyun Park

KRX Semis Set for Heavy Passive Flow Attention in September

KRX Semis in September is shaping up as a pretty notable passive flow event with strong market attention and elevated positioning focus.

Sanghyun Park

KRX Foreign Holding Weekly (Sep 11th): SK Hynix, SKSQUARE, Samsung Elec (PREF), KAL, EO Technics

We analyzed KRX foreign holding data for the past week and highlighted foreign holding changes in SK Hynix, SKSQUARE, Samsung Elec (PREF), KAL, EO...

Ke Yan, CFA, FRM

KRX Confirms 20% Samsung and Hynix Caps for Thursday’s Semis Rebalance

I got confirmation from KRX that the 20% caps on Samsung and SK Hynix will apply in this Thursday’s KRX Semis rebalance.

Sanghyun Park

KODEX Semicon (091160 KS) Tactical Outlook After September Rebalance

The KODEX Semicon ETF (091160 KS) presents a prime asymmetric buy-the-dip setup. Our model shows a nearly 70% reversal probability after a 2-week...

Nico Rosti

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