Atlas Trend KR

Atlas Trend KR

_{<a href="README.ko.md">한국어</a>}

Owns the Korea-listed funds whose prices have been going up, in proportion to how calm each one is, and parks the rest in a CD-rate fund.

In one paragraph

Atlas Trend KR watches five roles of Korea-listed ETF — Korean shares, US shares, US long government bonds, gold, and a place to park cash — all priced in won. Once a month it asks one question of each: has this thing been going up, measured in won? It keeps the ones that have, in sizes set by how violently each has been moving lately, and puts everything else in a CD-rate fund. It does not read the news, it does not have an opinion about any company, and most months it proposes no change at all.

This is the Korean sibling of Atlas Trend US. Same philosophy, separate package, separate version, separate track record — a rule that works on US ETFs has not thereby been shown to work here, and the two markets turned out to differ more than expected.

The methodology

Trend following. The claim being tested is that an asset's own price path carries information about what it will do next — so this manager reads price and nothing else.

Words this page uses, in plain terms:

ETF	a fund you buy like a share. One purchase gets you a whole market
Total return	the price change plus the distributions, so a fund that pays you cash is not scored as if it had lost that cash
TR share class	a version of a fund that reinvests rather than distributing. Nothing to adjust for, which is why it is preferred
Volatility	how much the price jumps around day to day. Not the same thing as risk of loss, but the thing this manager sizes by
200-session average	the average closing price over roughly the last ten months. A price above it is the common shorthand for "in an uptrend"
NAV	what a fund's holdings are actually worth. The price can drift from it
(H)	a currency-hedged share class — it strips the won-dollar move out of a foreign holding, at a cost

Four rules do the work.

1 — Four horizons vote. For each role it computes the total return over the last 1, 3, 6 and 12 calendar months, in won. Each one votes: positive, or not. Reading four horizons rather than one is what stops a single unusual month from deciding the year.

2 — Getting in is harder than staying in. A role the book already holds stays while at least half the votes are positive. A role the book does not hold gets in only on three of four and a price above its 200-session average. That gap between the two thresholds is where most of this methodology's value is: it is what a sideways market has to cross twice before it can bill you twice.

3 — Size by how much it moves, not by how much it is liked. What survives is weighted by the inverse of its volatility — the calmest holding gets the most money — capped so no single role dominates. Then the whole risky sleeve is scaled down if its combined volatility exceeds the target, counting the correlations, so Korean equity and US equity are treated as the one-and-a-bit trades they are. It never scales up.

4 — Cash is an answer. If nothing qualifies, the proposal is 100% CD-rate fund. That is a state this system is designed to reach, not a failure to decide.

The universe, and why it is five roles and not eight

role	primary	alternates
Korean equity	278530 KODEX 200TR	294400 · 295040
US equity	360750 TIGER 미국S&P500	379800 · 360200 · 449180 (H)
US long Treasuries	453850 ACE 미국30년국채액티브(H)	476760 · 484790 (H)
Gold	411060 ACE KRX금현물	0072R0 · 132030 (H)
Cash	459580 KODEX CD금리액티브(합성)	488770 · 475630 · 357870

Selected from all 1,164 Korea-listed ETFs on one date by measured liquidity and quality: net assets at least 100 billion won, sixty-session average turnover at least 1 billion won a day, and — compared within each role, never against an absolute number — premium to NAV and tracking against the underlying index. Leveraged, inverse, covered-call, buffered, blended and thematic products are excluded by construction.

Three exposures the US sibling holds are missing here, and it is the market's doing. Developed-ex-US, emerging markets and Korean government bonds. The products exist; the money does not.

role	listed	net assets	turnover a day
Korean equity	76	70.5조	39,955억
US equity	49	69.7조	36,087억
Cash	20	38.7조	6,357억
Emerging markets	47	3.5조	233억
Korean government bonds	21	3.6조	68억
Developed ex-US	15	1.2조	31억

Fifteen developed-ex-US funds trade 31억 a day between them — about a thousandth of the US equity role. Korean investors' overseas allocation is, in practice, America; the safe-asset demand that would have gone to government bonds went to CD-rate and MMF funds instead, which are ten times larger; and the 47 emerging-market funds are cut into China, India and Vietnam themes rather than broad exposure. Across the whole market, 346 of the 1,164 funds are sector or thematic.

This is a division of labour, not a hole. Those three exposures are held by Atlas Trend US directly. An investor running both packages is missing nothing; an investor running only this one is inside the honest boundary of what Korea-listed ETFs can buy.

Hedged and unhedged are two assets

A Korea-listed fund holding US assets carries the exchange rate inside its own price. 449180 KODEX 미국S&P500(H) and 360750 TIGER 미국S&P500 hold the same US equities and earn different won returns.

So they are scored separately, as two assets, and never held together — holding both is a partial currency hedge nobody chose. They compete for one role, the higher score wins, and a tie goes to the unhedged class, which pays no hedging cost.

Hedging cost is not estimated separately. It is the won-dollar rate differential, and it is already inside the hedged fund's own price. A total-return trend measured on that price has the cost in it.

⚠️ In practice the hedged classes are much less traded — 93 hedged funds exist and 18 clear the liquidity bar. For US equity the hedged class trades at about 1/123 of the unhedged one, so it rarely wins on merit alone. For US long Treasuries the opposite holds: the hedged class is the more liquid of the two.

How a run works

One run, one proposal. Nothing below places an order.

flowchart TB
    classDef reads fill:#1e2a44,stroke:#6f9bf0,color:#cfe0ff
    classDef judges fill:#2f2f38,stroke:#9aa0b4,color:#e8eaf2
    classDef proposes fill:#1b4332,stroke:#40916c,color:#d8f3dc
    classDef person fill:#5c4813,stroke:#f6a609,color:#ffe8b0

    WAKE["Aumos wakes it<br/>monthly, or on the review it armed"]:::reads

    subgraph IN["What it reads — two vendors, two jobs"]
        direction TB
        TOSS["토스증권 · adjusted won price history<br/>stitched across 200-candle pages"]:::reads
        FSC["금융위원회 · NAV, underlying index,<br/>fund size and turnover"]:::reads
        BOOK["Your portfolio as it stands"]:::reads
    end

    subgraph JUDGE["What it works out"]
        direction TB
        S1["Is each fund still worth holding at all?<br/>size, turnover, NAV gap, distributions"]:::judges
        S2["Four horizons vote per candidate<br/>1 · 3 · 6 · 12 months, in won"]:::judges
        HU["Hedged vs unhedged compete for one role<br/>higher score wins, never both"]:::judges
        S3["Who is in: half the votes to stay,<br/>three of four plus the 200-day line to enter"]:::judges
        S4["Size the survivors by calmness,<br/>cap each one, scale the sleeve to the risk target"]:::judges
        S5["Everything unallocated goes to the CD-rate fund"]:::judges
    end

    BAND{"Does any holding differ from<br/>its target by more than the<br/>no-trade band?"}:::judges

    WAIT["WAIT<br/>nothing worth trading for"]:::proposes
    REB["REBALANCE<br/>one basket of target weights"]:::proposes

    ARM["Arms its own next review<br/>at the next month-end"]:::proposes

    subgraph HUMAN["Where a person decides"]
        direction TB
        MAND["Aumos judges it against your Mandate"]:::person
        YOU["You approve, or you do not"]:::person
        ORD["Only then does an order exist"]:::person
    end

    WAKE --> IN --> S1 --> S2 --> HU --> S3 --> S4 --> S5 --> BAND
    BAND -- no --> WAIT
    BAND -- yes --> REB
    WAIT --> ARM
    REB --> ARM
    ARM --> MAND --> YOU --> ORD

Legend — 🟦 what it reads · ⬜ what it works out on its own · 🟩 what it hands back · 🟧 where a person decides.

Cadence. The monthly rhythm is what this package asks for, not something it can guarantee. Every decision it submits — including the ones concluding there is nothing to do — arms a plan for the next month-end. Your Aumos may refuse an arming, and the interval stored for the installed manager is whatever you confirm on the install screen. If you want this run monthly, check that interval when you install it.

What it needs

Market	Korea-listed ETFs, in won
Connection and data source	a Toss login linked to this fund for adjusted candles, plus fsc-securities-product 0.1.0 or later for NAV, underlying index, size and turnover. A market-data-only Toss login is sufficient; no brokerage account has to be attached
What a key costs	fsc-securities-product is free with an automatically approved key from Korea's public data portal, and its licence puts no restriction on use
Settings	the risk target, the per-role cap, the no-trade band, which cash fund to use and whether TR share classes are preferred are all yours to set; the horizons, the voting rule and the universe are not configurable, because they are the methodology
The book	it reads your portfolio, and the book's own note on whether it is currently all in cash
Your approval	it proposes and never trades. Every rebalance it computes is a proposal your Aumos judges against your Mandate and you approve or refuse

It reads no filings and no news; the claim being tested is that an asset's own price path carries its trend.

What it is bad at

• Sideways markets. The signal carries no information and the crossings still happen. The hysteresis and the no-trade band reduce this; nothing removes it.
• Sharp reversals. A monthly review learns about a crash a month after it starts. It will sell after the fall and buy back after the recovery has begun.
• The currency. Three of the four risk roles are Korea-listed funds of foreign assets, so this is a won-dollar position as much as an asset position. A won rally costs the book without any trend turning.
• The quiet one: it is at its most uncomfortable exactly when it is working. The month it moves everything to a CD-rate fund is the month it will look foolish if the market rebounds.

Do not install this if you want a manager that reacts within the week, that will explain a holding in terms of the company behind it, or that you expect to override when its answer is uncomfortable.

Notes

Choosing between the three Atlas Trend packages — what each buys, what each needs, and where they overlap — is set out in the catalogue's manager index (../README.md). Read it before running this one alongside atlas-trend-us: this package's US-equity role holds a Korea-listed S&P 500 fund and that one holds US equity directly, so on one book the exposure arrives twice at a size neither package chose.

Three data limits are real and stated rather than papered over.

No distribution data exists. Not at either vendor and not in any Korean public API we could find. Where a role holds a total-return share class the question does not arise — a TR class pays no distribution, which is why Korean equity is KODEX 200TR and not KODEX 200. Where it does arise, the package detects a distribution by watching the fund's NAV fall against its price index, and reports it rather than repairing it: without the amount, a correction would be an estimate dressed as a fact.

That detector only works on Korean-index roles. Measured over sixty sessions, a 코스피200 fund's daily NAV-versus-index deviation has a standard deviation of 4.5bp and quarter-end distributions stand out clearly; an S&P 500 fund's is 127bp, because the Korean close and the US close are hours and a currency apart, and nothing stands out at all. For those roles the package says in its decision that it could not run the check.

The price pages have to be stitched. 토스증권 returns at most 200 candles a call, so a 420-day window is three calls, and the vendor does not document what its adjustment is measured from. The package overlaps the pages and verifies they agree before stitching; when they disagree it says so and reports which horizons it could not compute.

Aumos shows no returns for this package until it has earned some. A forward track record takes calendar time rather than compute, and nothing on this page is one.