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

Why I Estimate Total Local Passive Money Tracking KOSPI 200 at ₩80T? Here Is a Breakdown

NPS New Benchmarks for Local Stocks: NPS-KR250 (Direct) & KOSPI+KOSDAQ 150 (Consignment)

Why Estimate AUM Benchmarked to MSCI Korea at ₩80T? & Passive Impact for November SAIR

KOSPI 200 June Rebalancing Update: 4 Additions & 4 Deletions

KOSPI 200 Rebalancing: Changes, Passive Flow, & Trade Approach

KOSPI 200 Review Period Completed: Early Phase Long Short Trade

Gravity Works As WeWork Doesn't; Now Plan B

Bifurcated Chinese Express Market Developing

Clepsydra Capital

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

Event-Driven

<div><p>Korea has mainly three types of local institutions passively mirroring KOSPI 200.</p></div><div><ol style="list-style-type: decimal;">
<li><strong>ETFs and conventional index funds (40%)</strong></li>
<li><strong>Variable insurance index funds (30%)</strong></li>
<li><strong>NPS-financed index funds (30%)</strong></li>
</ol></div><div><p>We can track local institutional trade volume by 9 types daily. The KRX offers the data.</p></div><div>
<ul style="list-style-type: disc;">
<li>ETFs and conventional index funds fall into the category of <strong>Public Offering Fund</strong>.</li>
<li>NPS-financed index funds are grouped in <strong>Pension Fund</strong>. </li>
<li>Variable insurance index funds are categorized as <strong>Insurance</strong>.</li>
</ul>
<p>Typically, the NPS-financed index funds and variable insurance index funds begin to rebalance their portfolios as early as two weeks ahead of the application date. The public offering funds, mostly ETFs, concentrate on the last day, understandably minimizing the tracking error.</p>
<p>NPS and Insurance combined account for about 60% of the total local passive money mirroring KOSPI 200.</p>
<p>So, I tracked the net trade of Pension and Insurance on May 25~28 for each of the additions and deletions to gauge the remaining capacity of the passive flow impact. The KRX announced the rebalancing results on May 25, which should have been the starting point of the passive flow by Pension and Insurance.</p>
</div>

Korea has mainly three types of local institutions passively mirroring KOSPI 200.
ETFs and conventional index funds (40%)
Variable insurance index funds (30%)
NPS-financed index funds (30%)
We can track local institutional trade volume by 9 types daily. The KRX offers the data.

ETFs and conventional index funds fall into the category of Public Offering Fund.
NPS-financed index funds are grouped in Pension Fund. 
Variable insurance index funds are categorized as Insurance.

Typically, the NPS-financed index funds and variable insurance index funds begin to rebalance their portfolios as early as two weeks ahead of the application date. The public offering funds, mostly ETFs, concentrate on the last day, understandably minimizing the tracking error.
NPS and Insurance combined account for about 60% of the total local passive money mirroring KOSPI 200.
So, I tracked the net trade of Pension and Insurance on May 25~28 for each of the additions and deletions to gauge the remaining capacity of the passive flow impact. The KRX announced the rebalancing results on May 25, which should have been the starting point of the passive flow by Pension and Insurance.


KOSPI 200 Rebalancing: Local Passive Flow Tracking

Hyosung TNC Co Ltd

KOSPI 200 Rebalancing: Local Passive Flow Tracking