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

SK Innovation Battery Spinoff: What's Known at This Point

MSCI Standard Korea August QIR Preview: SK IE Technology & SK Bioscience

Here Is How MSCI Estimates Post-IPO Immediate Free Float for Korean IPOs

KRX BBIG Index Rebalancing Preview: SK IE Tech, SK Bioscience, Krafton, Kakao Games, & Pearl Abyss

Passive Flow Estimations of Two TIGER ETFs on SK IE Tech on Rebalancing Implementation Day

WISE Battery Index Rebalancing Preview (Implementation on July 9): SK IE Tech, Ecopro HN & Soulbrain

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

How will the rebalancing trading of domestic ETFs proceed?In general, in order to reduce tracking errors, trades are made at the close of the market one day before the application date. However, there are cases where local ETFs temporarily invest in stocks not included in the underlying index to reduce market shock.FnGuide Secondary Battery Industry IndexThen, on June 11, the rebalancing trading of the KODEX Secondary Battery Industry ETF (305720) was carried out according to the basic rules.The FnGuide Secondary Battery Industry Index is regularly rebalanced twice a year. The most recent regular rebalancing was applied on June 14. Therefore, ETFs had to conduct rebalancing trading at the close on June 11th.Currently, only one ETF tracks this index. It is Samsung KODEX Secondary Battery Industry ETF and has an AUM of ₩1.27T.





Samsung KODEX Secondary Battery Industry ETF

Ticker
305720


Manager
Samsung Asset Management


Price
₩18,640


SO
68,000,000


AUM
₩1,267.5B


Underlying index
FnGuide Secondary Battery Industry Index


Rebalancing cycle
Semi-annually


Rebalancing month
June &amp; December


Implementation day
The first trading day of the week following the last trading day for KOSPI 200 futures contracts

Source: KRX &amp; FnGuide Index

In the last rebalancing, 5 stocks were added, and 5 constituents were excluded. The number of stocks included in the index is maintained at 25.








Additions
Ticker
Deletions
Ticker


SK IE Technology Co Ltd
361610
Ecopro HN Co Ltd
383310


SKC Co Ltd
011790
Sang-A Frontec Co Ltd
089980


Chunbo Co Ltd
278280
Cosmo Chemical Co Ltd
005420


E&amp;D Co Ltd
101360
Soulbrain Holdings Co Ltd
036830


TSI Co Ltd
277880
Philoptics Co Ltd
161580

Source: Samsung KODEX &amp; FnGuide

Looking at the daily trading volume on June 11, it is estimated that the KODEX ETF completed all rebalancing trading on June 11. As a result, the daily stock price fluctuations of the rebalanced stocks were quite large. In addition, the remaining stocks with high index weight changes also experienced significant share price volatility.










Constituents
Weight change between June 11 and June 14
Passive flow impact
Passive flow impact over 30-day ADTV
Price change on June 11
Note


SK IE Technology
7.15%p
₩90.7B
1.40x
10.53%
Add


SKC Co Ltd
2.54%p
₩32.2B
0.63x
7.28%
Add


Chunbo Co Ltd
0.80%p
₩10.2B
1.08x
6.59%
Add


E&amp;D Co Ltd
0.21%p
₩2.7B
0.98x
8.12%
Add


TSI Co Ltd
0.10%p
₩1.3B
0.32x
10.54%
Add


Ecopro HN Co Ltd
-5.33%p
-₩67.6B
-8.05x
-5.93%
Delete


Sang-A Frontec Co Ltd
-0.88%p
-₩11.2B
-1.86x
-2.54%
Delete


Cosmo Chemical Co Ltd
-0.42%p
-₩5.3B
-1.47x
-3.40%
Delete


Soulbrain Holdings
-0.33%p
-₩4.2B
-1.92x
-1.62%
Delete


Philoptics Co Ltd
-0.28%p
-₩3.6B
-2.87x
-5.83%
Delete

 

LG Chem Ltd
4.56%p
₩57.9B
0.23x
5.33%
Remain


Samsung SDI Co Ltd
2.08%p
₩26.4B
0.14x
4.59%
Remain


SK Innovation Co Ltd
-2.25%p
-₩28.5B
-0.13x
1.86%
Remain


Posco Chemical Co Ltd
-2.00%p
-₩25.4B
-0.64x
-0.69%
Remain


Ecopro Co., Ltd.
-3.09%p
-₩39.2B
-2.72x
-6.74%
Remain


Ecopro BM Co Ltd
0.39%p
₩4.9B
0.18x
2.49%
Remain


Iljin Materials Co Ltd
-0.47%p
-₩6.0B
-0.38x
2.56%
Remain


Creative &amp; Innovative System Corp
-0.27%p
-₩3.4B
-0.30x
-0.41%
Remain


L&amp;F Co., Ltd.
-1.44%p
-₩18.3B
-0.43x
1.62%
Remain


People &amp; Technology
-0.48%p
-₩6.1B
-1.52x
-2.43%
Remain


Cosmo Advanced Materials&amp;Technlgy
-0.17%p
-₩2.2B
-0.12x
3.43%
Remain


Foosung Co Ltd
-0.29%p
-₩3.7B
-0.65x
-0.49%
Remain


DA Technology Co Ltd
-0.19%p
-₩2.4B
-1.24x
-5.52%
Remain


Daejoo Electronic Materials Co Ltd
-0.07%p
-₩0.9B
-0.07x
2.57%
Remain


Shin Heung Energy &amp; Electronics Co Ltd
0.23%p
₩2.9B
0.68x
3.25%
Remain


mPlus Corp
0.12%p
₩1.5B
0.39x
3.65%
Remain


Wonik PNE Co Ltd
-0.06%p
-₩0.8B
-0.22x
-0.91%
Remain


Sangsin Energy Display Precision Co Ltd
-0.06%p
-₩0.8B
-0.59x
-2.20%
Remain


Chemtros Co Ltd
-0.05%p
-₩0.6B
-0.47x
-0.31%
Remain


NS Co Ltd
-0.05%p
-₩0.6B
-0.24x
-1.73%
Remain

Source: Samsung KODEX &amp; FnGuide Index

WISE Secondary Battery Theme IndexThe WISE Secondary Battery Theme Index, whose regular rebalancing date is the 9th of next month, also showed a fairly large share price change on the last regular rebalancing date.This Index is regularly rebalanced quarterly. The most recent regular rebalancing was applied on April 9. Therefore, ETFs had to conduct rebalancing trading at the close on April 8.Currently, only one ETF tracks this index. It is Mirae Asset TIGER Secondary Cell ETF and has an AUM of ₩0.89T.





Mirae Asset TIGER Secondary Cell ETF

Ticker
305540


Manager
Mirae Asset Management


Price
₩17,995


SO
49,650,000


AUM
₩893.5B


Underlying index
WISE Secondary Battery Theme Index


Rebalancing cycle
Quarterly


Rebalancing month
January, April, July, and October


Implementation day
The trading day following the option expiration dates

Source: KRX &amp; FnGuide Index

The FnGuide Secondary Battery Industry Index uses a scoring system to take a more active approach to change constituent stocks. Also, the number of constituents is limited to 25. On the other hand, the WISE Secondary Battery Theme Index adopts a comprehensive selection method. That is, the selection of excluded stocks is not flexible.Therefore, one stock was added in the most recent periodic change, and one stock was excluded.








Additions
Ticker
Deletions
Ticker


Dongwha Enterprise Co Ltd
025900
Power Logics
047310

Source: Mirae Asset TIGER &amp; FnGuide Index

Similarly, looking at the daily trading volume on April 8, it is again estimated that this TIGER ETF completed all rebalancing trading on April 8. The new addition, Dongwha, saw a 10.37% gain on this day, whereas the deletion, Power Logics, suffered an 8.29% loss. In addition, the prices of constituent stocks with increased index weight rose significantly. Conversely, most of the constituent stocks with reduced index weight experienced a decline in share prices.










Constituents
Weight change between April 8 and April 9
Passive flow impact
Passive flow impact over 30-day ADTV
Price change on April 8
Note


Dongwha Enterprise
0.80%p
₩7.1B
0.91x
10.37%
Add


Power Logics
-0.86%p
-₩7.7B
-0.39x
-8.29%
Delete



Posco Chemical Co Ltd
-3.05%p
-₩27.3B
-0.69x
-1.84%
Remain


SKC Co Ltd
-1.90%p
-₩17.0B
-0.33x
0.00%
Remain


Samsung SDI Co Ltd
1.41%p
₩12.6B
0.07x
0.46%
Remain


SK Innovation Co Ltd
2.23%p
₩19.9B
0.09x
4.73%
Remain


LG Chem Ltd
1.97%p
₩17.6B
0.07x
-0.12%
Remain


Iljin Materials Co Ltd
0.18%p
₩1.6B
0.19x
3.77%
Remain


Ecopro BM Co Ltd
-0.09%p
-₩0.8B
-0.03x
-0.42%
Remain


L&amp;F Co., Ltd.
-0.19%p
-₩1.7B
-0.04x
-2.13%
Remain


SoulBrain Co Ltd
-0.12%p
-₩1.1B
-0.11x
-0.79%
Remain


Ecopro Co., Ltd.
-0.10%p
-₩0.9B
-0.06x
-1.16%
Remain


Chunbo Co Ltd
-0.01%p
-₩0.1B
-0.01x
0.54%
Remain


Creative &amp; Innovative System Corp
-0.12%p
-₩1.1B
-0.09x
-2.88%
Remain


Foosung Co Ltd
-0.02%p
-₩0.2B
-0.03x
0.00%
Remain


Solus Advanced Materials Co Ltd
-0.04%p
-₩0.4B
-0.02x
-1.15%
Remain


Cosmo Advanced Materials&amp;Technlgy
0.01%p
₩0.1B
0.00x
1.21%
Remain


Daejoo Electronic Materials Co Ltd
0.02%p
₩0.2B
0.01x
1.06%
Remain


People &amp; Technology Inc
0.00%p
₩0.0B
0.00x
-0.21%
Remain


Wonik PNE Co Ltd
-0.02%p
-₩0.2B
-0.05x
-1.33%
Remain


Youlchon Chemical
-0.01%p
-₩0.1B
-0.04x
-0.25%
Remain


CowinTech Co Ltd
-0.02%p
-₩0.2B
-0.13x
-1.60%
Remain


Shin Heung Energy &amp; Electronics Co Ltd
0.01%p
₩0.1B
0.02x
0.73%
Remain


mPlus Corp
0.01%p
₩0.1B
0.02x
1.12%
Remain


Innometry Co Ltd
0.00%p
₩0.0B
0.00x
0.00%
Remain


Daebo Magnetic Co Ltd
0.01%p
₩0.1B
0.14x
1.56%
Remain

Source: Mirae Asset TIGER &amp; FnGuide Index



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