A Review of Major Equity Indices Rebalances in Korea in 2024
In this insight, we review the major equity indices rebalances in Korea in 2024 including KOSPI 200 and Korea Value Up Index.
Some alpha generating performances continue in terms of adding stocks to be included in the KOSPI 200 and reducing stocks that could be excluded.
Korea Value Up Index has been heavily promoted by the Korean Exchange this year. Korea Exchange plans to make special changes to the Korea Value-Up Index constituents on 20 December.
I. KOSPI 200 Index Rebalance
A) [Date of KOSPI 200 index rebalance announcement (21 Nov 2024)]:
Inclusions:
The four inclusions announced for the KOSPI 200 rebalance on 21 November are up on average 3.3% as of 13 December, outperforming KOSPI which is up 0.6% in the same period.
However, from one month prior to the KOSPI 200 inclusion to the rebalance date (21 November), these four stocks are down on average 6%, underperforming KOSPI which is down 4.8% in the same period.
From three months and six months prior to KOSPI 200 inclusion to the rebalance date, these four inclusions are down on average 2.7% and 14.4%, respectively, outperforming KOSPI over a three months period (KOSPI was down 8.2%) but underperforming KOSPI over a six months period (KOSPI was down 8.9%).
All in all, these four inclusions showed no major outperformance/underperformance versus KOSPI for different time periods prior to the announcement date to the announcement date, although they have outperformed KOSPI after the announcement date (as of 13 December).
Source: Naver Finance
Exclusions:
The five exclusions announced for the KOSPI 200 rebalance on 21 November are down on average 4.8% as of 13 December, underperforming KOSPI which is up 0.6% in the same period.
From one month prior to the KOSPI 200 exclusion to the rebalance date (21 November), these five stocks are down on average 2.1%, outperforming KOSPI which is down 4.8% in the same period.
From three months prior to KOSPI 200 exclusion to the rebalance date, these five exclusions are up on average 7.1%, outperforming KOSPI over a three months period (KOSPI was down 8.2%). Over a six month period, these exclusions underperformed KOSPI.
Source: Naver Finance
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