Korea / Special Sits, Pairs, Index Rebalancing, Clepsydra Capital

Sanghyun Park

I investigate special situations, pairs, and index rebalancing trades in Korea.

Korea / Special Sits, Pairs, Index Rebalancing

KRX Sector Rebalance Shocker: Massive Flow Impact on Hankook & Company

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

Index Rebalance

<ul>
<li>Early position buildup has minimal price impact, and even after the announcement, only a few stocks with a larger passive impact see significant movement.</li>
<li>Since these KRX sector indices include many small to mid-cap stocks, the price impact of constituent changes on ETF rebalancing day was quite noticeable.</li>
<li>Due to potential learning effects, build positions in predictable high-impact stocks before the announcement, then monitor flows and impacts to decide on targeting the ETF rebalancing trading day.</li>
</ul>


Early position buildup has minimal price impact, and even after the announcement, only a few stocks with a larger passive impact see significant movement.
Since these KRX sector indices include many small to mid-cap stocks, the price impact of constituent changes on ETF rebalancing day was quite noticeable.
Due to potential learning effects, build positions in predictable high-impact stocks before the announcement, then monitor flows and impacts to decide on targeting the ETF rebalancing trading day.


KRX Sector Indexes' Rebalancing Event, Often off Traders' Radar but with Significant Price Impacts

S&T Motiv

KRX Sector Indexes' Rebalancing Event, Often off Traders' Radar but with Significant Price Impacts