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

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Examining the September Reshuffle of the KOSPI Size Index Series

Clepsydra Capital

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

Event-Driven

<ul>
<li>For this September reshuffle, fewer factors affected price impact, so outlier chances were low. Biggest price moves typically occur 30 days before the effective date, especially during LARGE↔MID transitions.</li>
<li>Early positioning for this reshuffle paid off. Past trends suggest price action fades before the effective date, so consider exiting positions by tomorrow or early next week.</li>
<li>Small→Mid migrants historically show weak price impacts, with no clear correlation observed in this September reshuffle either. I'm avoiding those plays targeting the effective date for now.</li>
</ul>


For this September reshuffle, fewer factors affected price impact, so outlier chances were low. Biggest price moves typically occur 30 days before the effective date, especially during LARGE↔MID transitions.
Early positioning for this reshuffle paid off. Past trends suggest price action fades before the effective date, so consider exiting positions by tomorrow or early next week.
Small→Mid migrants historically show weak price impacts, with no clear correlation observed in this September reshuffle either. I'm avoiding those plays targeting the effective date for now.


KOSPI Size Index Reshuffle Results Out Late Today: Early Positioning Delivered Big Gains