Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Quantitative Analysis

<ul>
<li>The <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200 INDEX</a> in the last 2 weeks has been modestly drifting downwards, after a brief recovery rally. </li>
<li>The 2 main possible scenarios for the next 2-3 weeks in our view are either a <strong>rally</strong>, or a <strong>mini-crash</strong> (keep reading and we will explain why).</li>
<li>At the moment our models are not signaling an oversold scenario, however that could change as this coming week begins. </li>
</ul>


The KOSPI 200 INDEX in the last 2 weeks has been modestly drifting downwards, after a brief recovery rally. 
The 2 main possible scenarios for the next 2-3 weeks in our view are either a rally, or a mini-crash (keep reading and we will explain why).
At the moment our models are not signaling an oversold scenario, however that could change as this coming week begins. 


EQD | KOSPI 200 Time to Crash? or Time to Bounce?

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Event-Driven

<ul>
<li>The KRX announced the 100 constituents of the much-awaited Korea Value-Up Index on 24 September. There were hits and misses but broad consensus was that the index is a miss.</li>
<li>Following market feedback, the KRX could conduct a special rebalance of the index in December. But this could be after the launch of ETFs tracking the index.</li>
<li>With a big overlap and similar characteristics as the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200 Index</a>, there could be limited assets benchmarked to the Korea Value-Up Index in the short-term.</li>
</ul>


The KRX announced the 100 constituents of the much-awaited Korea Value-Up Index on 24 September. There were hits and misses but broad consensus was that the index is a miss.
Following market feedback, the KRX could conduct a special rebalance of the index in December. But this could be after the launch of ETFs tracking the index.
With a big overlap and similar characteristics as the KOSPI 200 Index, there could be limited assets benchmarked to the Korea Value-Up Index in the short-term.


Korea Value-Up Index: Estimated Passive Flows as ETF Launches Coming

<ul>
<li>With over 85% of the review period complete, there could be 10 changes for the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index (KOSDQ150 INDEX)</a> at the December rebalance.</li>
<li>Even with 10 potential changes, there is sector balance with half the changes in the Information Technology sector. Passive trading impact varies from 0.2-7.7x ADV.</li>
<li>The potential adds have outperformed the potential deletes and the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ150 Index</a> since the start of the review period, though there has been a gentle drift lower since July.</li>
</ul>


With over 85% of the review period complete, there could be 10 changes for the KOSDAQ 150 Index (KOSDQ150 INDEX) at the December rebalance.
Even with 10 potential changes, there is sector balance with half the changes in the Information Technology sector. Passive trading impact varies from 0.2-7.7x ADV.
The potential adds have outperformed the potential deletes and the KOSDAQ150 Index since the start of the review period, though there has been a gentle drift lower since July.


KOSDAQ150 Index Rebalance Preview: 10 Changes in December

Hyosung Heavy Industries Corp / Event-Driven

<ul>
<li>85% of the way through the review period, there could be 4 adds and 5 deletes for the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX)</a> in December.</li>
<li>The impact on the potential inclusions ranges from 1.4-17 days of ADV while the impact on the potential deletions varies from 4-8 days of ADV.</li>
<li>The potential adds outperformed the potential deletes early in the review period before giving up all the gains over the following months.</li>
</ul>


85% of the way through the review period, there could be 4 adds and 5 deletes for the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) in December.
The impact on the potential inclusions ranges from 1.4-17 days of ADV while the impact on the potential deletions varies from 4-8 days of ADV.
The potential adds outperformed the potential deletes early in the review period before giving up all the gains over the following months.


KOSPI200 Index Rebalance Preview: 4 Adds, 5 Deletes Likely in December

<ul>
<li>Today is the last trading day in the review period for the October rebalance of the FnGuide Semiconductor Top10 Index.</li>
<li>
<a href="https://www.smartkarma.com/entities/wonik-ips-co-ltd-5d7417b7-5438-41d4-a6e4-8016d24d818a" target="_blank" data-smartkarma-citation="entities:26912:1" rel="noopener">Wonik Ips (240810 KS)</a> is a high probability add and <a href="https://www.smartkarma.com/entities/isc-co-ltd" target="_blank" data-smartkarma-citation="entities:13560:1" rel="noopener">ISC Co Ltd (095340 KS)</a> is a high probability delete. This will reverse the changes from the April rebalance.</li>
<li>Passive trackers will need to buy over 3.5x ADV in <a href="https://www.smartkarma.com/entities/wonik-ips-co-ltd-5d7417b7-5438-41d4-a6e4-8016d24d818a" target="_blank" data-smartkarma-citation="entities:26912:1" rel="noopener">Wonik Ips (240810 KS)</a> and sell nearly 2x ADV in <a href="https://www.smartkarma.com/entities/isc-co-ltd" target="_blank" data-smartkarma-citation="entities:13560:1" rel="noopener">ISC Co Ltd (095340 KS)</a>. </li>
</ul>


Today is the last trading day in the review period for the October rebalance of the FnGuide Semiconductor Top10 Index.

Wonik Ips (240810 KS) is a high probability add and ISC Co Ltd (095340 KS) is a high probability delete. This will reverse the changes from the April rebalance.
Passive trackers will need to buy over 3.5x ADV in Wonik Ips (240810 KS) and sell nearly 2x ADV in ISC Co Ltd (095340 KS). 


FnGuide Semiconductor Top10 Index Rebalance Preview: Wonik IPS to Replace ISC

South Korea

The KOSPI 200 Index is a capitalization-weighted index of 200 Korean stocks which make up 93% of the total market value of the Korea Stock Exchange. The index was developed with a base value of 100 as of January 3, 1990.

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

EQD | KOSPI 200 Time to Crash? or Time to Bounce?

The KOSPI 200 Index has been drifting modestly downwards for 2 weeks, now we see a fork: either a rally or a mini-crash, from next week.

Nico Rosti

Korea Value-Up Index: Estimated Passive Flows as ETF Launches Coming

The Korea Value-Up Index is very similar to the KOSPI200 Index. That could mean not a lot of passive assets tracking the index. Stocks with the...

Brian Freitas

KOSDAQ150 Index Rebalance Preview: 10 Changes in December

There could be 10 changes for the index in December. Passive trading impact varies from 0.2-7.7x ADV. The adds have outperformed the deletes since...

Brian Freitas

KOSPI200 Index Rebalance Preview: 4 Adds, 5 Deletes Likely in December

There could be 4 adds, 5 deletes for the KOSPI200 in December. Passive impact ranges from 1.4-17 days of ADV. The adds outperformed the deletes...

Brian Freitas

FnGuide Semiconductor Top10 Index Rebalance Preview: Wonik IPS to Replace ISC

Wonik IPS is a high probability add and ISC is a high probability delete in October. Once implemented, this will reverse changes from April....

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

EQD | KOSPI 200 Time to Crash? or Time to Bounce?

​The KOSPI 200 Index has been drifting modestly downwards for 2 weeks, now we see a fork: either a rally or a mini-crash, from next week.

Nico Rosti

Korea Value-Up Index: Estimated Passive Flows as ETF Launches Coming

The Korea Value-Up Index is very similar to the KOSPI200 Index. That could mean not a lot of passive assets tracking the index. Stocks with the...

Brian Freitas

KOSDAQ150 Index Rebalance Preview: 10 Changes in December

There could be 10 changes for the index in December. Passive trading impact varies from 0.2-7.7x ADV. The adds have outperformed the deletes since...

Brian Freitas

KOSPI200 Index Rebalance Preview: 4 Adds, 5 Deletes Likely in December

There could be 4 adds, 5 deletes for the KOSPI200 in December. Passive impact ranges from 1.4-17 days of ADV. The adds outperformed the deletes...

Brian Freitas

FnGuide Semiconductor Top10 Index Rebalance Preview: Wonik IPS to Replace ISC

Wonik IPS is a high probability add and ISC is a high probability delete in October. Once implemented, this will reverse changes from April....

Brian Freitas

The KOSPI 200 Index has been drifting modestly downwards for 2 weeks, now we see a fork: either a rally or a mini-crash, from next week.