An introduction to Kodex 200 introduction to KODEX_final...Sep-2002 Kodex 200 13 KOSPI 200 Futures & Options KOSPI200 Futures Closing price of latest contract month Day's change (P)

Sep-2002 Kodex 200 1

An introduction to Kodex 200

Jae-Kyu Bae

Samsung Investment Trust Management Co., Ltd.


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


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


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”)


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


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


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


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


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

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-98

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-98

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-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

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-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

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09-0

0

11-0

0

01-0

1

03-0

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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

Documents

An introduction to Kodex 200 introduction to KODEX_final...Sep-2002 Kodex 200 13 KOSPI 200 Futures & Options KOSPI200 Futures Closing price of latest contract month Day's change (P)