Pan-Asia Tactical Market Calls (Quant-Driven), MRM Research

Nico Rosti

Pan-Asia Tactical Market Calls (Quant-Driven)

MRM Research

Quantitative Research

Equity Derivatives

<ul>
<li>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)</a> rallied sharply on Friday. <a href="https://www.smartkarma.com/profiles/sanghyun-park" target="_blank" data-smartkarma-citation="accounts:354" rel="noopener">Sanghyun Park</a> discussed in detail what is his opinion on this market move, read <a href="https://www.smartkarma.com/insights/my-take-on-what-is-driving-the-kosdaq-tape-today" target="_blank" rel="noopener">his insight</a> for context.</li>
<li>If the nominal fund size is fundamentally insufficient to drive a 5% index move and the headline acted as a sentiment trigger in a liquidity vacuum, the move is fadeable.</li>
<li>This insight tries to examine statistically the current price move comparing it to previous past moves that our algorithmic model flagged as "similar", to determine where it could end.</li>
</ul>


The KOSDAQ 150 Index (KOSDQ150) rallied sharply on Friday. Sanghyun Park discussed in detail what is his opinion on this market move, read his insight for context.
If the nominal fund size is fundamentally insufficient to drive a 5% index move and the headline acted as a sentiment trigger in a liquidity vacuum, the move is fadeable.
This insight tries to examine statistically the current price move comparing it to previous past moves that our algorithmic model flagged as "similar", to determine where it could end.


KOSDAQ 150 (KOSDQ150): Where to Fade Friday's Spike

Korea / Special Situations, Clepsydra Capital

Sanghyun Park

Korea / Special Situations

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

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

Event-Driven

<ul>
<li>Local ETF desks are racing to launch KOSDAQ active ETFs. Samsung (KoAct), Hanwha (PLUS), and Timefolio (TIME) target early- to mid-next-month listings, tracking KOSDAQ or KOSDAQ 150.</li>
<li>Key to watch are which KOSDAQ names these active ETFs overweight. Despite index-tracking limits, massive recent retail inflows could drive significant short-term price action in their target stocks.</li>
<li>Massive KOSDAQ 150 and semiconductor ETF flows set up active ETF-driven moves. Desks will likely overweight 11 high-earnings, growth-ready names. These are the key plays to watch next month.</li>
</ul>


Local ETF desks are racing to launch KOSDAQ active ETFs. Samsung (KoAct), Hanwha (PLUS), and Timefolio (TIME) target early- to mid-next-month listings, tracking KOSDAQ or KOSDAQ 150.
Key to watch are which KOSDAQ names these active ETFs overweight. Despite index-tracking limits, massive recent retail inflows could drive significant short-term price action in their target stocks.
Massive KOSDAQ 150 and semiconductor ETF flows set up active ETF-driven moves. Desks will likely overweight 11 high-earnings, growth-ready names. These are the key plays to watch next month.


Screening Target Names for Active ETFs Set to Play KOSDAQ Re-Rating

<ul>
<li>NPS allocation hike to KOSDAQ is dead, so the government’s pivoting to Plan B: push anchor capital via broker IMA accounts and issuance-note products to fix the retail-heavy market.</li>
<li>The government plans to channel ~KRW 17tn/year from broker IMA accounts into KOSDAQ, creating a sticky three-year flow worth ~7% of market cap, far above retail net buying.</li>
<li>This is the most aggressive KOSDAQ flow play yet, anchoring sentiment and setting up a near-term uptrend, though weak earnings cap upside. Policy-backed cash makes today’s rip stickier.</li>
</ul>


NPS allocation hike to KOSDAQ is dead, so the government’s pivoting to Plan B: push anchor capital via broker IMA accounts and issuance-note products to fix the retail-heavy market.
The government plans to channel ~KRW 17tn/year from broker IMA accounts into KOSDAQ, creating a sticky three-year flow worth ~7% of market cap, far above retail net buying.
This is the most aggressive KOSDAQ flow play yet, anchoring sentiment and setting up a near-term uptrend, though weak earnings cap upside. Policy-backed cash makes today’s rip stickier.


Intel on Government KOSDAQ Stimulus: KRW 17tn Annually Via Broker IMA Accounts for 3 Years

Derivatives and Quantitative Strategist

Gaudenz Schneider

<ul>
<li>
<a href="https://www.smartkarma.com/entities/samsung-electronics-co-ltd" target="_blank" data-smartkarma-citation="entities:191:1" rel="noopener">Samsung Electronics (005930 KS)</a> gained 3.3% in September and its 2x Leveraged Index rose 4.6%, while combined long-ETF AUM remained broadly steady, declining 0.9%.</li>
<li>All seven long-leveraged ETFs recorded unit redemptions, with net outflows reaching KRW 200bn in September and continuing in early October.</li>
<li>In contrast, the inverse ETF’s unit count rose 90% and AUM increased 62%, despite the product losing 14.7% in September.</li>
</ul>



Samsung Electronics (005930 KS) gained 3.3% in September and its 2x Leveraged Index rose 4.6%, while combined long-ETF AUM remained broadly steady, declining 0.9%.
All seven long-leveraged ETFs recorded unit redemptions, with net outflows reaching KRW 200bn in September and continuing in early October.
In contrast, the inverse ETF’s unit count rose 90% and AUM increased 62%, despite the product losing 14.7% in September.


Samsung Elec (005930 KS): Long 2x ETF Outflows Persist as Inverse Product Attracts Assets

<ul>
<li>
<a href="https://www.smartkarma.com/entities/samsung-electronics-co-ltd" target="_blank" data-smartkarma-citation="entities:191:1" rel="noopener">Samsung Electronics (005930 KS)</a> gained 9.8% in September MTD and its 2x Leveraged Index rose 18.3%, but redemptions limited AUM growth to 15%.</li>
<li>Units declined across every long-leveraged ETF, while the inverse product added 10% more units despite losing 20.2%.</li>
<li>Annualised 21-day volatility fell from approximately 135% to 42%, coinciding with regulatory restrictions and a collapse in leveraged ETF flows and turnover.</li>
</ul>



Samsung Electronics (005930 KS) gained 9.8% in September MTD and its 2x Leveraged Index rose 18.3%, but redemptions limited AUM growth to 15%.
Units declined across every long-leveraged ETF, while the inverse product added 10% more units despite losing 20.2%.
Annualised 21-day volatility fell from approximately 135% to 42%, coinciding with regulatory restrictions and a collapse in leveraged ETF flows and turnover.


Samsung Elec (005930 KS): Volatility Falls as 2x ETF Trading Activity Slumps

South Korea

KOSDAQ 150 Index is a base index for futures trading to hedge risks in KOSDAQ market. Base period and base index : Jan 4, 2010, 1,000p

Price Gauge
52-week Range	0.00 - 0.00
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KOSDAQ 150 Index (KOSDQ150 INDEX EQUITY)

KOSDAQ 150 (KOSDQ150): Where to Fade Friday's Spike

The KOSDAQ 150 Index rallied +6.2% on Friday, but the move may be fadeable this coming week. Our model's historical pattern matching shows the...

Nico Rosti

Screening Target Names for Active ETFs Set to Play KOSDAQ Re-Rating

Samsung and Timefolio launch KOSDAQ active ETFs on the 10th, Hanwha on the 17th. AP/LP desks are busy with stock borrow for in-kind creations....

Sanghyun Park

Intel on Government KOSDAQ Stimulus: KRW 17tn Annually Via Broker IMA Accounts for 3 Years

Intel on the government’s KOSDAQ stimulus: KRW 17tn to be funneled into KOSDAQ annually over the next three years via local brokers’ IMA accounts.

Sanghyun Park

Samsung Elec (005930 KS): Long 2x ETF Outflows Persist as Inverse Product Attracts Assets

Positive performance kept long 2x leveraged ETF assets broadly steady despite continued redemptions, while the inverse product attracted...

Gaudenz Schneider

Samsung Elec (005930 KS): Volatility Falls as 2x ETF Trading Activity Slumps

Despite positive performance, redemptions persisted across long-leveraged ETFs, while the inverse product attracted new units. Falling activity...

Gaudenz Schneider

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

KOSDAQ 150 (KOSDQ150): Where to Fade Friday's Spike

​The KOSDAQ 150 Index rallied +6.2% on Friday, but the move may be fadeable this coming week. Our model's historical pattern matching shows the...

Nico Rosti

Screening Target Names for Active ETFs Set to Play KOSDAQ Re-Rating

Samsung and Timefolio launch KOSDAQ active ETFs on the 10th, Hanwha on the 17th. AP/LP desks are busy with stock borrow for in-kind creations....

Sanghyun Park

Intel on Government KOSDAQ Stimulus: KRW 17tn Annually Via Broker IMA Accounts for 3 Years

Intel on the government’s KOSDAQ stimulus: KRW 17tn to be funneled into KOSDAQ annually over the next three years via local brokers’ IMA accounts.

Sanghyun Park

Samsung Elec (005930 KS): Long 2x ETF Outflows Persist as Inverse Product Attracts Assets

Positive performance kept long 2x leveraged ETF assets broadly steady despite continued redemptions, while the inverse product attracted...

Gaudenz Schneider

Samsung Elec (005930 KS): Volatility Falls as 2x ETF Trading Activity Slumps

Despite positive performance, redemptions persisted across long-leveraged ETFs, while the inverse product attracted new units. Falling activity...

Gaudenz Schneider

The KOSDAQ 150 Index rallied +6.2% on Friday, but the move may be fadeable this coming week. Our model's historical pattern matching shows the...