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

Sanghyun Park

I investigate special situations, pairs, and index rebalancing trades in Korea.

Korea / Special Sits, Pairs, Index Rebalancing

Korea Sector Indexes with December Rebalancing: Passive Impact by Date

KODEX Battery ETF Rebalancing Cycle Changed to Quarterly: Preview for March Rebalancing

FnGuide TIGER Top 10 Rebalancing: LG Energy IN & Celltrion OUT

Korea's Local Sector Index (FnGuide Secondary Battery) Rebalancing Made a Big Splash Last Friday

WISE Battery Index Rebalancing: Pre-Announcement Process & Actual ETF Trading

Gravity Works As WeWork Doesn't; Now Plan B

Clepsydra Capital

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

Event-Driven

FnGuide, which started as an index operator in 2006, announced that the total net assets of ETFs managed based on its indexes have exceeded 12 trillion won.<div class="content-highlight">It is about 17.3% of the total net assets of 63.6 trillion won in the local ETF market at the end of September. Currently, 110 ETFs are tracking the FnGuide indexes.</div>Among the ETFs that track the FnGuide index, the products with the highest AUMs are as follows.<table class="table table-striped">
<colgroup>
<col width="100">
<col width="100">
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<tbody>
<tr><td colspan="5" data-sheets-value='{"1":2,"2":"Index summary"}'>Index summary</td></tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Index name"}'>Index name</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"FnGuide Samsung Group"}'>FnGuide Samsung Group</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"FnGuide TOP10"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>FnGuide TOP10</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"FnGuide Secondary Battery"}'>FnGuide Secondary Battery</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Wise Secondary Cell"}'>Wise Secondary Cell</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"ETF"}'>ETF</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Samsung Kodex Samsung Group ETF"}' data-sheets-formula='=googlefinance(R[1]C[0], "name")'>Samsung KODEX Samsung Group ETF</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Mirae Asset TIGER Top 10 ETF"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}' data-sheets-formula='=googlefinance(R[1]C[0], "name")'>Mirae Asset TIGER Top 10 ETF</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Samsung KODEX Secondary Battery Industry ETF"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}' data-sheets-formula='=googlefinance(R[1]C[0], "name")'>Samsung KODEX Secondary Battery Industry ETF</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Mirae Asset TIGER Secondary Cell ETF"}' data-sheets-formula='=googlefinance(R[1]C[0], "name")'>Mirae Asset TIGER Secondary Cell ETF</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Ticker"}'>Ticker</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"102780"}' data-sheets-formula='="102780"'>102780</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"292150"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}' data-sheets-formula='="292150"'>292150</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"305720"}' data-sheets-formula='="305720"'>305720</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"305540"}' data-sheets-formula='="305540"'>305540</td>
</tr>
<tr><td colspan="5" style="text-align: right;"></td></tr>
<tr>
<td data-sheets-value='{"1":2,"2":"AUM"}'>AUM</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.785784}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.00T"}' data-sheets-formula="=R[1]C[0]*R[2]C[0]/1000000000000">₩1.79T</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.274539}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.00T"}' data-sheets-formula="=(R[1]C[0]*R[2]C[0]/1000000000000)">₩1.27T</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.1917875}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.00T"}' data-sheets-formula="=R[1]C[0]*R[2]C[0]/1000000000000">₩1.19T</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.191006}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B","3":1}' data-sheets-formula="=R[1]C[0]*R[2]C[0]/1000000000000">₩1.19T</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Price"}'>Price</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":10010}' data-sheets-numberformat='{"1":4,"2":"[$₩]#,##0","3":1}' data-sheets-formula='=googlefinance(R[-2]C[0], "price")'>₩10,010</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":13690}' data-sheets-numberformat='{"1":4,"2":"[$₩]#,##0","3":1}' data-sheets-formula='=googlefinance(R[-2]C[0], "price")'>₩13,690</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":22875}' data-sheets-numberformat='{"1":4,"2":"[$₩]#,##0","3":1}' data-sheets-formula='=googlefinance(R[-2]C[0], "price")'>₩22,875</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":22860}' data-sheets-numberformat='{"1":4,"2":"[$₩]#,##0","3":1}' data-sheets-formula='=googlefinance(R[-2]C[0], "price")'>₩22,860</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"SO"}'>SO</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":178400000}' data-sheets-numberformat='{"1":2,"2":"#,##0","3":1}'>178,400,000</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":93100000}' data-sheets-numberformat='{"1":2,"2":"#,##0","3":1}'>93,100,000</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":52100000}' data-sheets-numberformat='{"1":2,"2":"#,##0","3":1}'>52,100,000</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":52100000}' data-sheets-numberformat='{"1":2,"2":"#,##0","3":1}'>52,100,000</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Number of constituents"}'>Number of constituents</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":15}' data-sheets-numberformat='{"1":2,"2":"#,##0","3":1}'>15</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":10}' data-sheets-numberformat='{"1":2,"2":"#,##0","3":1}'>10</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":25}' data-sheets-numberformat='{"1":2,"2":"#,##0","3":1}'>25</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":26}' data-sheets-numberformat='{"1":2,"2":"#,##0"}'>26</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Weight type"}'>Weight type</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Float-adjusted market cap"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>Float-adjusted market cap</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Float-adjusted market cap"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>Float-adjusted market cap</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Keyword-based scoring &amp; float-adjusted market cap"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>Keyword-based scoring &amp; float-adjusted market cap</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Float-adjusted market cap"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>Float-adjusted market cap</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Cap"}'>Cap</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.25}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'>25.00%</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.25}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'>25.00%</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"20.00% for the largest full market cap constituent and 15.00% for the remaining"}'>20.00% for the largest full market cap constituent and 15.00% for the remaining</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.1}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}'>10.00%</td>
</tr>
<tr><td colspan="5"></td></tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Fast entry"}'>Fast-entry</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Yes (a minimum holding period of 30 days)"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>Yes (a minimum holding period of 30 days)</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"N/A"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>N/A</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Yes (a minimum holding period of 30 days)"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>Yes (a minimum holding period of 30 days)</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Yes (a minimum holding period of 30 days)"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>Yes (a minimum holding period of 30 days)</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Rebalancing cycle"}'>Rebalancing cycle</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Semi-annually"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>Semi-annually</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Semi-annually"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>Semi-annually</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Semi-annually"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>Semi-annually</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Quarterly"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>Quarterly</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Rebalancing month"}'>Rebalancing month</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"June and December"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>June and December</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"June and December"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>June and December</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"June and December"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>June and December</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"January, April, July, and October"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>January, April, July, and October</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Announcement date"}'>Announcement date</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Only ETF operator is notified"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>Only ETF operator is notified</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Only ETF operators are notified."}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>Only ETF operators are notified.</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Only ETF operator is notified"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>Only ETF operator is notified</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Only ETF operator is notified"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>Only ETF operator is notified</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Implementation date"}'>Implementation date</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"2nd business day in June and December"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>2nd business day in June and December 1</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"The first trading day of the week following the last trading day for KOSPI 200 futures contracts"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'> trading day of the week following the last trading day for KOSPI 200 futures contracts</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"The first trading day of the week following the last trading day for KOSPI 200 futures contracts"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>The first trading day of the week following the last trading day for KOSPI 200 futures contracts</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"The trading day following the option expiration dates"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>The trading day following the option expiration dates</td>
</tr>
<tr><td colspan="5"></td></tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Next implementation date"}'>Next implementation date</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"December 2, 2021"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>December 2, 2021</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"December 10, 2021"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>December 10, 2021</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"December 10, 2021"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>December 10, 2021</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"January 13, 2022"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>January 13, 2022</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Rebalancing trading"}'>Rebalancing trading</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"At the close on December 1, 2021"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>At the close on December 1, 2021</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"At the close on December 9, 2021"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>At the close on December 9, 2021</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"At the close on December 9, 2021"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>At the close on December 9, 2021</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"At the close on January 14, 2022"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>At the close on January 14, 2022</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Screening base date"}'>Screening base date</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"The last trading day of the month preceding the date of regular rebalancing"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>The last trading day of the month preceding the date of regular rebalancing</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"The last trading day of the month preceding the date of regular rebalancing"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>The last trading day of the month preceding the date of regular rebalancing</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"The last trading day of the month preceding the date of regular rebalancing"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>The last trading day of the month preceding the date of regular rebalancing</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"The last trading day of the month preceding the date of regular rebalancing"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>The last trading day of the month preceding the date of regular rebalancing</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Screening period"}'>Screening period</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"The three months preceding the screening base date"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>The three months preceding the screening base date</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"The three months preceding the screening base date"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>The three months preceding the screening base date</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"The three months preceding the screening base date"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>The three months preceding the screening base date</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"The three months preceding the screening base date"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}'>The three months preceding the screening base date</td>
</tr>
<tr><td colspan="5" data-sheets-value='{"1":2,"2":"Source: KRX &amp; TIGER ETF"}' data-sheets-numberformat='{"1":2,"2":"₩#,##0.0B"}' data-sheets-formula="=PDF!R[-8]C[0]">Source: KRX &amp; TIGER ETF</td></tr>
</tbody>
</table>The rebalancing of the above four indexes is worth following in terms of AUM size. In particular, TIGER Top 10, whose rebalancing is early December, is likely to experience notable rebalancing trading. On the other hand, since KODEX Secondary Battery uses a keyword-based scoring system, it is not easy to predict the weight change. TIGER Secondary Cell will be rebalancing in January next year.As for KODEX Samsung Group, it is also an interesting one, but given its rebalancing implementation rule (to be done over five trading days), the passive impact resulting from rebalancing should be pretty limited. KODEX Samsung Group completes rebalancing from the 2nd trading day to the 6th trading day in June and December. The review base date is the last trading day of the month immediately preceding the rebalancing.

FnGuide, which started as an index operator in 2006, announced that the total net assets of ETFs managed based on its indexes have exceeded 12 trillion won.It is about 17.3% of the total net assets of 63.6 trillion won in the local ETF market at the end of September. Currently, 110 ETFs are tracking the FnGuide indexes.Among the ETFs that track the FnGuide index, the products with the highest AUMs are as follows.








Index summary

Index name
FnGuide Samsung Group
FnGuide TOP10
FnGuide Secondary Battery
Wise Secondary Cell


ETF
Samsung KODEX Samsung Group ETF
Mirae Asset TIGER Top 10 ETF
Samsung KODEX Secondary Battery Industry ETF
Mirae Asset TIGER Secondary Cell ETF


Ticker
102780
292150
305720
305540



AUM
₩1.79T
₩1.27T
₩1.19T
₩1.19T


Price
₩10,010
₩13,690
₩22,875
₩22,860


SO
178,400,000
93,100,000
52,100,000
52,100,000


Number of constituents
15
10
25
26


Weight type
Float-adjusted market cap
Float-adjusted market cap
Keyword-based scoring &amp; float-adjusted market cap
Float-adjusted market cap


Cap
25.00%
25.00%
20.00% for the largest full market cap constituent and 15.00% for the remaining
10.00%



Fast-entry
Yes (a minimum holding period of 30 days)
N/A
Yes (a minimum holding period of 30 days)
Yes (a minimum holding period of 30 days)


Rebalancing cycle
Semi-annually
Semi-annually
Semi-annually
Quarterly


Rebalancing month
June and December
June and December
June and December
January, April, July, and October


Announcement date
Only ETF operator is notified
Only ETF operators are notified.
Only ETF operator is notified
Only ETF operator is notified


Implementation date
2nd business day in June and December 1
 trading day of the week following the last trading day for KOSPI 200 futures contracts
The first trading day of the week following the last trading day for KOSPI 200 futures contracts
The trading day following the option expiration dates



Next implementation date
December 2, 2021
December 10, 2021
December 10, 2021
January 13, 2022


Rebalancing trading
At the close on December 1, 2021
At the close on December 9, 2021
At the close on December 9, 2021
At the close on January 14, 2022


Screening base date
The last trading day of the month preceding the date of regular rebalancing
The last trading day of the month preceding the date of regular rebalancing
The last trading day of the month preceding the date of regular rebalancing
The last trading day of the month preceding the date of regular rebalancing


Screening period
The three months preceding the screening base date
The three months preceding the screening base date
The three months preceding the screening base date
The three months preceding the screening base date

Source: KRX &amp; TIGER ETF

The rebalancing of the above four indexes is worth following in terms of AUM size. In particular, TIGER Top 10, whose rebalancing is early December, is likely to experience notable rebalancing trading. On the other hand, since KODEX Secondary Battery uses a keyword-based scoring system, it is not easy to predict the weight change. TIGER Secondary Cell will be rebalancing in January next year.As for KODEX Samsung Group, it is also an interesting one, but given its rebalancing implementation rule (to be done over five trading days), the passive impact resulting from rebalancing should be pretty limited. KODEX Samsung Group completes rebalancing from the 2nd trading day to the 6th trading day in June and December. The review base date is the last trading day of the month immediately preceding the rebalancing.

FnGuide Top 10 December Rebalancing: Watch KB Financial (Add) & POSCO (Delete)