追踪 SK Hynix Inc. 的杠杆型交易所交易基金（ETF）——即 KIM ACE SK Hynix 单一股票杠杆 ETF，经历了与其标的股票的极端价格背离。周二，该 ETF 下跌了 27%，而标的股票则上涨了 16%，此前周一也发生了混乱，当时尽管股票下跌了近 8%，该 ETF 却飙升了 50%。这一异常现象发生在由 Korea Investment Management Co. 管理的 3700 万美元 ($37 million) 产品中，促使韩国交易所将其列为因资产净值偏差而面临潜在投资警告的三只基金之一。Fibonacci Asset Management 的执行长 Jung In Yun 指出，在交易量有限的利基产品中，收盘拍卖期间的保护机制可能会减弱。
该产品属于 5 月 27 日在韩国推出的一波与晶片制造商挂钩的单一股票杠杆 ETF，当时有 16 只产品首次亮相，总资产为 30 亿美元 ($3 billion)。在一个星期内，该资产膨胀至 55 亿美元 ($5.5 billion)，并最终在管理资产（AUM）中达到了 100 亿美元 ($10 billion) 的浪潮。Rex Financial 的亚洲业务发展主管 Francis Oh 强调了结构性风险，指出与香港上市的同类产品不同，韩国发行商在内部处理重新平衡，当多个产品朝同一方向移动时，这可能会放大标的股票的每日波动。
此次背离发生在更广泛的市场动荡之中，包括 Kospi 盘中下跌近 9% 并触发了 20 分钟的暂停交易。Korea Investment Management 解释称，买卖价差在周一收盘前扩大，因为流动性提供者在开盘前和收盘后的窗口期被免除报价义务，导致买单急增了价格。Samsung Securities 的衍生品分析师 Jun Gyun 证实，在这些期间流动性确实可能消失。正如 Goldman Sachs Group Inc. 的销售部门上个月所报告的，重新平衡的资金流迫使进行每日调整，使基金在反弹时买入并在下跌时卖出，充当了波动性的「加速器」。
A leveraged exchange-traded fund tracking SK Hynix Inc., the KIM ACE SK Hynix Single Stock Leverage ETF, experienced extreme price divergence from its underlying stock. On Tuesday, the ETF plunged 27% while the underlying stock jumped 16%, following Monday's dislocation where the ETF surged 50% despite the stock falling nearly 8%. This anomaly occurred in the $37 million (37 million USD) product managed by Korea Investment Management Co., prompting the Korea Exchange to identify it among three funds facing potential investment warnings due to net asset value deviations. Fibonacci Asset Management's CEO Jung In Yun noted that safeguards can weaken during closing auctions in low-volume products.
This product belongs to a wave of single-stock leveraged ETFs tied to chipmakers launched in Korea on May 27, where 16 products debuted with $3 billion (3 billion USD) in combined assets. Within a week, the assets swelled to $5.5 billion (5.5 billion USD) and eventually reached a $10 billion (10 billion USD) surge in assets under management (AUM). Rex Financial's head of Asia business development, Francis Oh, highlighted structural risks, noting that unlike Hong Kong-listed equivalents, Korean issuers handle rebalancing in-house, which can amplify daily swings when multiple products align in direction.
The dislocation occurred amidst broader market turbulence, including Kospi tumbling nearly 9% intraday and triggering a 20-minute trading halt. Korea Investment Management explained that bid-ask spreads widened before Monday's close because liquidity providers were exempt from quoting during pre-open and post-close windows, causing buy orders to spike prices. Samsung Securities' analyst Jun Gyun confirmed that liquidity can disappear during these periods. Rebalancing flows force daily adjustments where funds buy into rallies and sell into declines, acting as a volatility accelerator as reported by Goldman Sachs Group Inc.