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

Nico Rosti

Pan-Asia Tactical Market Calls (Quant-Driven)

MRM Research

Quantitative Research

Equity Derivatives

Samsung KODEX Semicon ETF / Equity Derivatives

<ul>
<li>
<a href="https://www.smartkarma.com/profiles/sanghyun-park" target="_blank" data-smartkarma-citation="accounts:354" rel="noopener">Sanghyun Park</a> posted recently about stocks added/removed to KRX Semis <a href="https://www.smartkarma.com/entities/samsung-kodex-semicon-etf" target="_blank" data-smartkarma-citation="entities:40966:1" rel="noopener">(091160 KS)</a> at September's rebalance, this insight will look at support zones to buy during the current correction and profit targets.</li>
<li>The ETF sits at price that offers a tactical LONG entry - this insight leverages our model data to evaluate if this is a good point to enter the trade.</li>
<li>Market sentiment on KODEX Semicon remains cautiously bullish with high tactical volatility, possibly an opportunity to buy at discounted price, with a long-term profit target view.</li>
</ul>



Sanghyun Park posted recently about stocks added/removed to KRX Semis (091160 KS) at September's rebalance, this insight will look at support zones to buy during the current correction and profit targets.
The ETF sits at price that offers a tactical LONG entry - this insight leverages our model data to evaluate if this is a good point to enter the trade.
Market sentiment on KODEX Semicon remains cautiously bullish with high tactical volatility, possibly an opportunity to buy at discounted price, with a long-term profit target view.


KODEX Semicon (091160 KS) Tactical Outlook After September Rebalance

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.

Index Rebalance

<ul>
<li>KRX Semis is September’s key passive event, but TIGER’s unusual 6% Hynix underweight and sampling approach ahead of the rebalance has raised fresh tracking concerns.</li>
<li>Mirae’s sampling explanation is questionable, with TIGER effectively running an active tilt before reversing KRW 80bn of Hynix and Samsung trades last Wednesday. FSS review remains unclear.</li>
<li>Full replication is the base case. Pre position TES and TSE, then target spillover flows as Hynix and Samsung revert to the 20% cap, with Hynix driving KRW 1.2tn.</li>
</ul>


KRX Semis is September’s key passive event, but TIGER’s unusual 6% Hynix underweight and sampling approach ahead of the rebalance has raised fresh tracking concerns.
Mirae’s sampling explanation is questionable, with TIGER effectively running an active tilt before reversing KRW 80bn of Hynix and Samsung trades last Wednesday. FSS review remains unclear.
Full replication is the base case. Pre position TES and TSE, then target spillover flows as Hynix and Samsung revert to the 20% cap, with Hynix driving KRW 1.2tn.


On the Risk of TIGER (Or Even KODEX) Repeating Its Weird Practice Ahead of KRX Semis Sept Rebalance

<ul>
<li>Last September rebalance, Taesung, HD Hyundai Energy, and Gemvax saw strong announcement day gains, then mixed and partially reversed prints on the actual rebalance flow date.</li>
<li>Setup centers on the announcement window Friday Sept 4 ahead of Sept 10 rebalance, with May to July screening driving pre positioning into likely inclusions.</li>
<li>TES (095610), TSE (131290), VM (089970) are core inclusion locks. KRW 8.2tn AUM drives higher positioning and two track trade into announcement and pre positioning.</li>
</ul>


Last September rebalance, Taesung, HD Hyundai Energy, and Gemvax saw strong announcement day gains, then mixed and partially reversed prints on the actual rebalance flow date.
Setup centers on the announcement window Friday Sept 4 ahead of Sept 10 rebalance, with May to July screening driving pre positioning into likely inclusions.
TES (095610), TSE (131290), VM (089970) are core inclusion locks. KRW 8.2tn AUM drives higher positioning and two track trade into announcement and pre positioning.


KRX Semis Set for Heavy Passive Flow Attention in September

<ul>
<li>KRX announced KOSDAQ Global rebalancing. Annually in June, effective date follows June options expiry. Passive flow trading on Thursday, the 13th. 49 companies designated, with nine excluded and eleven added.</li>
<li>Predicting passive capital movement is challenging, but attention must be given to price impacts because reshuffle predictability is low, lacking preemptive trading setups.</li>
<li>We must anticipate the SSF reshuffle in August, likely including new KOSDAQ Global constituents. KRX plans to list SSFs for all remaining constituents, potentially advancing setup timing for price increases.</li>
</ul>


KRX announced KOSDAQ Global rebalancing. Annually in June, effective date follows June options expiry. Passive flow trading on Thursday, the 13th. 49 companies designated, with nine excluded and eleven added.
Predicting passive capital movement is challenging, but attention must be given to price impacts because reshuffle predictability is low, lacking preemptive trading setups.
We must anticipate the SSF reshuffle in August, likely including new KOSDAQ Global constituents. KRX plans to list SSFs for all remaining constituents, potentially advancing setup timing for price increases.


KOSDAQ Global Rebalancing This Week: Trading Considerations

Event-Driven

We now have KOSPI 200 and KOSDAQ 150 rebalancing completed. What does this mean? It means we have new members of the so-called Korea Short 350 as these new additions are now eligible for short selling.So, let's look at their current loan balance, often serving as a leading indicator of short-selling intensity in the short term.

We now have KOSPI 200 and KOSDAQ 150 rebalancing completed. What does this mean? It means we have new members of the so-called Korea Short 350 as these new additions are now eligible for short selling.So, let's look at their current loan balance, often serving as a leading indicator of short-selling intensity in the short term.

Korea Short 350 New Members: KOSPI 200 & KOSDAQ 150 Adds

South Korea

TSE Co., Ltd. manufactures and markets various LED testing equipments and semiconductor testing equipments, such as Interface Boards and Probe Cards.

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Tse Co Ltd (131290 KS)

KODEX Semicon (091160 KS) Tactical Outlook After September Rebalance

The KODEX Semicon ETF (091160 KS) presents a prime asymmetric buy-the-dip setup. Our model shows a nearly 70% reversal probability after a 2-week...

Nico Rosti

On the Risk of TIGER (Or Even KODEX) Repeating Its Weird Practice Ahead of KRX Semis Sept Rebalance

The KRX Semis rebalance results came out exactly as I predicted: TES and TSE were added, while 16 names were removed. I expect meaningful price...

Sanghyun Park

KRX Semis Set for Heavy Passive Flow Attention in September

KRX Semis in September is shaping up as a pretty notable passive flow event with strong market attention and elevated positioning focus.

Sanghyun Park

KOSDAQ Global Rebalancing This Week: Trading Considerations

This post outlines today's announcement of the KOSDAQ Global Index rebalancing results and explores trading implications.

Sanghyun Park

Korea Short 350 New Members: KOSPI 200 & KOSDAQ 150 Adds

We now have new members of the so-called Korea Short 350 for short-selling eligibility. They are new additions to KOSPI 200 and KOSDAQ 150. This...

Sanghyun Park

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