Post on 24-Aug-2020
Sep-2002 Kodex 200 1
An introduction to Kodex 200
Jae-Kyu Bae
Samsung Investment Trust Management Co., Ltd.
Sep-2002 Kodex 200 2
Investing in Korea: The Opportunities
Rising corporate profitabilityProfit margin expansion led not just by revenue growth but also progress in corporate restructuring : de-leveraging, downsizing, and profit-oriented investments
Improving corporate balance sheetsMajor listed companies achieve substantial improvements in earnings and debt structure, in line with transition from net debt to net cash position
Stable GDP growthGreater contribution of domestic consumption and diversified export drive to lead stable GDP growth going forward
Attractive valuationRelatively undervalued market with low PER and high long-term EPS growth
Sep-2002 Kodex 200 3
Investing in Korea: The Challenges
Foreign ownership restrictions Foreign ownership limits on several “strategic” stocks
Under-representation of Samsung ElectronicsSamsung Electronics’ heavy weighting (over 20%) in benchmark index has caused substantially under-performance among fund managers relative to market
7.03 7.97 15.00 Korea Gas Corp.
0.00 16.89 16.89 Korea Tobacco & Ginseg
10.59 38.41 49.00 KT Corporation
10.12 38.88 49.00 SK Telecom
44.08 4.92 49.00 Dacom
15.41 24.59 40.00 Korea Electronic Power
28.95 21.04 49.99 Korea Air
Foreign Available(%)Foreign Holdings(%) Foreign Limits(%)Names
Sep-2002 Kodex 200 4
Introducing Kodex 200
Kodex 200 is Korea’s first domestic exchange-traded fundDomestic investment trust benchmarked against the KOSPI 200 IndexFirst listing & trading date on October 15, 2002Expected AUM at launch to be US$125 million
Trading concessionsStamp duty exemption on selling of Kodex 200Short selling and exemption from up-tick rule available
Managed by Samsung ITM and advised by BGI
Supported by 3 local and 3 international Authorized Participants (“APs”)
Sep-2002 Kodex 200 5
Product Specification
Minimal due to dividend flowExp. tracking error
Passive management with optimizationManagement
Closely tracks the KOSPI 200Objective
QuarterlyDividend
0.67% p.a.Total Expense Ratio
KOSPI 200Benchmark Index
Domestic investment trust in KoreaLegal Structure
Kodex 200Fund Name
Sep-2002 Kodex 200 6
Trading Information
10 sharesBoard Lot
Calculated and published every 10 sec by KSEIOPV
T+2Settlement Cycle
October 14, 2002First Trading Date
100,000 sharesCreation Unit
Index Multiplier * KOSPI 200 index levelPricing
100Index Multiplier
Korean WonCurrency
KR706950007 (69500)Stock Code
Sep-2002 Kodex 200 7
The Kodex Partnership
CSFB, Deutsche Securities Korea, Good Morning Shinhan Securities, Korea Investment Trust Management & Securities, Samsung Securities and Salomon Smith Barney Korea
Authorized Participants
The Hong Kong and Shanghai Banking Corp. Ltd. Seoul Branch
Custodian
A-Brain Fund ServicesFund Accountant
Barclays Global Investors North Asia Ltd.Advisor
Samsung Investment Trust Management Co. Ltd.
Manager
Sep-2002 Kodex 200 8
Historic PerformanceRelative Per form ance betw een KOSPI Com pos ite and KOSPI 200
(8/97 - 8/02)
0
20
40
60
80
100
120
140
160
180
200
09-9
7
12-9
7
03-9
8
06-9
8
09-9
8
12-9
8
03-9
9
06-9
9
09-9
9
12-9
9
03-0
0
06-0
0
09-0
0
12-0
0
03-0
1
06-0
1
09-0
1
12-0
1
03-0
2
06-0
2
KOSPI 200
KOSPI Composite
Sep-2002 Kodex 200 9
Relative Performance
Relative Performance against other Major Indices (8/97 - 8/02)
0
20
40
60
80
100
120
140
160
180
09
-97
12
-97
03
-98
06
-98
09
-98
12
-98
03
-99
06
-99
09
-99
12
-99
03
-00
06
-00
09
-00
12
-00
03
-01
06
-01
09
-01
12
-01
03
-02
06
-02
KOSPI 200 S&P 500MSCI World HSITWSE
Sep-2002 Kodex 200 10
Correlations Analysis
Correlation w ith other Major Indices (8/97-8/02)
-10%
0%
10%
20%
30%
40%
50%
60%
70%
80%
09
-98
11
-98
01
-99
03
-99
05
-99
07
-99
09
-99
11
-99
01
-00
03
-00
05
-00
07
-00
09
-00
11
-00
01
-01
03
-01
05
-01
07
-01
09
-01
11
-01
01
-02
03
-02
05
-02
07
-02
KOSPI 200/HSIKOSPI 200/TWSEKOSPI 200/S&P 500KOSPI 200/MSCI World
Sep-2002 Kodex 200 11
Volatility AnalysisVolatility Comparisons
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
09-9
8
11-9
8
01-9
9
03-9
9
05-9
9
07-9
9
09-9
9
11-9
9
01-0
0
03-0
0
05-0
0
07-0
0
09-0
0
11-0
0
01-0
1
03-0
1
05-0
1
07-0
1
09-0
1
11-0
1
01-0
2
03-0
2
05-0
2
07-0
2
KOSPI 200HSITWSES&P 500MSCI World
Sep-2002 Kodex 200 12
Intraday Trading Opportunities
KOSPI 200 Intraday Volatility 1/1/99-8/23/02
7
166
143
56
21
12
0 20 40 60 80 100 120 140 160 180
0%<x<=1%
1%<x<=2%
2%<x<=3%
3%<x<=4%
4%<x<=5%
5%<x<=6%
Intra
day H
i - L
o
Number of Days
Sep-2002 Kodex 200 13
KOSPI 200 Futures & Options
KOSPI200 FuturesClosing price of latest contract
month
Day's change(P)
Trading volume
Trading value
Open interest
94.55 1.90 160,372 7,506,908 83,514
(contract, KRW mil.)
KOSPI200 Options Equity OptionsTrading volume
Trading value
Open interest
Trading volume
Tradingvalue
7,364,546 462,965 4,122,720 257 51
(contract, KRW mil.)On 2 September 2002
Sep-2002 Kodex 200 14
Kodex 200 Vs. KOSPI 200 Futures
KOSPI 200 FuturesKODEX 200(Basis Point)
600 p.a.-Futures mistracking
(rich/cheapness, roll risk)
525Market impact
530Commissions
*1 KOSPI 200 futures roughly equals to 5,000 Kodex 200 shares
Sep-2002 Kodex 200 15
Advantages of Kodex 200
Simplicity in design, easy to useA single trade to effect diversification and obtain broad market exposureNo foreign ownership restrictionArbitrage opportunities with deep and liquid index futures & options
Hedging CapabilityShort selling allowed and exemption from up-tick rule
Cost effectiveLow MER and stamp duty exemption on selling
Backed by Samsung ITM & BGIA partnership between the largest investment trust company in Korea and the world’s largest sponsor of ETFs
Participation of international APsEnsure ample foreign interest and liquidity
Sep-2002 Kodex 200 16
Benchmark Index
KOSPI 200 Index
Bloomberg: KOSPI2 <Index>, Reuters: .KS200
Constituents include the top 200 stocks trading on the Korea Stock Exchange
Full list of constituent stocks can be found at the KSE website at www.kse.or.kr
Futures and options on KOSPI 200 also trading on the Korea StockExchange
Sep-2002 Kodex 200 17
KOSPI 200 Sector Breakdown
2.42Food
3.59Investment & Finance
91.71Total
2.52Wholesale & Retail trade
3.90Securities
4.98Iron & Steel
6.20Utilities
6.56Chemicals
7.52Motor Vehicles & Equipment
10.99Banking
43.03Electronics & Electrical Product
PercentageTop 10 Sectors (As of 30 Aug 2002)
Sep-2002 Kodex 200 18
Top 10 constituent stocks
59.95Total
1.73SAMSUNG SDI
1.93Shinhan Financial Group
2.45LG Electronics
2.91Hyundai Motor
3.95POSCO
5.27Korea Electronic Power
6.68KT Corporation
6.99Kookmin Bank
8.25SK Telecom
19.79SAMSUNG Electronics
PercentageStock Name (As of 30 Aug 2002)
Sep-2002 Kodex 200 19
Information Source
Websites:Kodex 200: www.ETFs.co.krSamsung ITMC: www.SAMSUNGFUND.comBGI: www.barclaysglobal.comKorean Stock Exchange: www.kse.or.kr
Bloomberg: 6950 ks <equity>; IOPV code (tbc)
Reuters: 69500.ks; IOPV code (tbc)
IOPV calculated throughout the day can be found on the KSE website.
Sep-2002 Kodex 200 20
Samsung Investment Trust Management Co.
Paid-in Capital
Company Name Samsung Investment Trust Management Co., Ltd.
President & CEO
Shareholders
Ho-Won Bae
KRW 37.2 trillion (Inclusive of Advisory Asset KRW 15trillion)
Samsung Securities 65.4%, Samsung Life Insurance 3.6%
KRW 93.2Billion
AUM
Establishment September 15, 1998
No. of Staff 158
Internet Homepage www.samsungfund.com
Samsung ITMC is a leading investment management company in Korea providing investment trust & mutual fund management, advisory and related services.
Samsung ITMC has not only a larger number of employees but also the professionals with prominent experiences and distinguished competence.
Sep-2002 Kodex 200 21
Samsung Investment Trust Management Co.
0
4
8
12
16
20
24
99.1Q 99.2Q 99.3Q 99.4Q 00.1Q 00.2Q 00.3Q 00.4Q 01.1Q 01.2Q 01.3Q 01.4Q 02.1Q 02.2Q
Bond
Equity
(Trillion)
0.0
4.0
8.0
12.0
16.0
20.0
24.0
Jan-99 May-99 Sep-99 Jan-00 May-00 Sep-00 Jan-01 May-01 Sep-01 Jan-02 May-020.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
18.0%
AUM M/S
(Trillion)
SamsungITMC
13.77%
Other ITMCs86.23%
(Total Industry AUM : KRW161.2 trillionexcluding Advisory Asset)
Top Investment Management Company In KoreaWith its proven investment know-how and quality process control, Samsung ITMC has led the market, and continued to increase in its market share. At the end of July 2002, Samsung ITMC marked 13.77.% of Market Share.(excluding Advisory Asset)
(AUM : KRW22.2 trillion / US$18.6 billion,Excluding Advisory Asset)
(Bond Fund : 61.9%, Equity Fund : 38.1%,Excluding Advisory Asset)
Sep-2002 Kodex 200 22
Barclays Global Investors (BGI)
Global RankingsOne of the largest Institutional Investment Manager with AUM of
US$790 billion at the end of 1Q02Creator of the world’s first index fund in 1973 and currently the
largest Index Manager (9/01)*
5th Largest Money Manager (9/01)* in the world
Largest ETF sponsor with 110 iSharesSM trading on 8 exchanges worldwide, out of more than 250 ETFs globally
iShares/iUnits are BGI’s brand of ETFs
* Source: US Pensions & Investments
Sep-2002 Kodex 200 23
8.9
6.16.9
0.81.73.6
BGI’s US iShares Growth History
0
5
10
15
20
25
30
2Q00 3Q00 4Q00 1Q01 2Q01 3Q01 4Q01 1Q02 Aug-02
US$B
n
BGI’s US iShares program was launched in May 200055 iShares were launched during the initial 6-month period, making it the largest mutual fund launch in the history of the USiShares is one of top 5 mutual fund complexes with the largest net inflow in 2001Fixed Income iShares launched on 26/7/02, received over U$3.7 billion of net inflow as of todayYTD, iShares have already registered more than to US$15 billion of new creation
MSCI
S&P
Russell
Fixed Income
Dow Jones
Others
iShares AUM as at 8/02iShares AUM Growth