Korea Exchange Announces 5 New Indices Including 'KRX Bloomberg Joint Index'

The Korea Exchange announced on the 1st that it plans to release a total of five indices on the 6th, including two 'KRX Bloomberg Joint Indices,' the 'KOSPI 200 Weekly Covered Call ATM Index,' and two 'Market Representative Futures 0.5x Indices.'

Korea Exchange, Yeouido, Seoul. Photo by Jinhyung Kang aymsdream@

As market uncertainty has been gradually increasing recently and investors' demands have become more sophisticated, the Exchange has been developing and supplying various investment strategy indices that can respond to different market conditions and demands. In particular, this time, the Exchange jointly developed two strategy indices by adopting the latest advanced methodologies from Bloomberg, a global information provider and index business operator. Additionally, three strategy indices reflecting covered call strategies using weekly options and fractional multiplier investment strategies on market representative indices were developed independently.

The KRX Bloomberg KOSPI 200 Smart Cruise Index tracks the KOSPI 200 returns while using an implied volatility indicator to switch the leverage ratio to 1.3x only when an upward movement in the index is predicted. Unlike traditional leverage indices with fixed leverage ratios, this index dynamically adjusts the leverage to pursue excess returns during index rises and minimize negative compounding effects during index fluctuations. From August 2016 to October 2023, this index showed an excess return of 20% compared to the KOSPI 200 Index and 35% compared to the leverage index.

The KRX Bloomberg KOSPI 200 Bear Bond Mixed Index is a multi-asset index that blends the KOSPI 200 Futures Inverse Index and Bloomberg's Korean short-term bond index in a 4:6 ratio, reflecting a stable investment strategy to respond to bear markets. Since 2019, when comparing index returns, this index has underperformed the KOSPI 200 and KTB indices during stock market rises but showed superior performance compared to benchmarks during sharp stock price declines caused by COVID-19 and recent stock market downturns.

The KOSPI 200 Weekly Covered Call ATM Index is a short-term covered call strategy index that secures dividend-like income by selling weekly call options and collecting option premiums every week. Unlike existing indices that sell options on a monthly basis, this index sells weekly options eight times a month to expand premium income, developed to meet the increasing demand for monthly dividend exchange-traded funds (ETFs).

The KOSPI 200 Futures·KOSDAQ 150 Futures TWAP 0.5X Index was developed following the approval of fractional multiplier exchange-traded notes (ETNs) listing in October last year and tracks 0.5 times the returns of the market representative futures index. This index incorporates a deleveraging strategy that reduces negative compounding effects in long-term sideways markets where the underlying index fluctuates repeatedly.

An Exchange official stated, "Through the development of these strategy indices applying new concepts and advanced methodologies, we expect to supply them as financial products such as ETFs to satisfy diverse investment demands according to market conditions." He added, "We plan to continuously strive to timely supply various indices needed by the market through expanding overseas partnerships and strengthening our in-house development capabilities."

This content was produced with the assistance of AI translation services.