Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Index Rebalance

<ul>
<li>KRX has announced the Fast Entry inclusion of <a href="https://www.smartkarma.com/entities/lg-energy-solution" target="_blank" data-smartkarma-citation="entities:33464:1" rel="noopener">LG Energy Solution (373220 KS)</a> in the KOSPI200 Index at the close on 10 March. <a href="https://www.smartkarma.com/entities/dongwon-f-b-co-ltd" target="_blank" data-smartkarma-citation="entities:3274:1" rel="noopener">Dongwon F&amp;B (049770 KS)</a> will be deleted.</li>
<li>
<a href="https://www.smartkarma.com/entities/lg-energy-solution" target="_blank" data-smartkarma-citation="entities:33464:1" rel="noopener">LG Energy Solution (373220 KS)</a>'s inclusion in the KRX Secondary Battery Index and the BBIG Index should be announced in the next few days. That will add to passive buying.</li>
<li>Local institutions have been buyers on <a href="https://www.smartkarma.com/entities/lg-energy-solution" target="_blank" data-smartkarma-citation="entities:33464:1" rel="noopener">LG Energy Solution (373220 KS)</a> since listing while retail and foreign investors have been sellers. There is a biggish lock up expiry coming up.</li>
</ul>


KRX has announced the Fast Entry inclusion of LG Energy Solution (373220 KS) in the KOSPI200 Index at the close on 10 March. Dongwon F&amp;B (049770 KS) will be deleted.

LG Energy Solution (373220 KS)'s inclusion in the KRX Secondary Battery Index and the BBIG Index should be announced in the next few days. That will add to passive buying.
Local institutions have been buyers on LG Energy Solution (373220 KS) since listing while retail and foreign investors have been sellers. There is a biggish lock up expiry coming up.


KOSPI200 Index Rebalance (March): LG Energy IN; Dongwon F&B Out

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

Korea has 6 tight sector pairs worth monitoring regularly. Of them, Hyundai Dept/Shinsegae now appears in an extreme diversion at -2.87σ on a 20-day moving average. Their 180-day correlation coefficient is 0.92369.<table class="table table-striped">
<colgroup>
<col width="70">
<col width="70">
<col width="70">
<col width="70">
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<tbody>
<tr>
<td data-sheets-value='{"1":2,"2":"Sigma (σ) on a 20-day moving average"}'>Sigma (σ) on a 20-day moving average</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Today"}' data-sheets-numberformat='{"1":4,"2":"[$₩]#,##0"}'>Today</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"T-1"}'>T-1</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"T-2"}'>T-2</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Shinhan Financial Group Co., Ltd./KB Financial Group Inc"}' data-sheets-formula='=Data!R[-11]C[1]&amp;"/"&amp;Data!R[-11]C[2]'>Shinhan Financial Group Co., Ltd./KB Financial Group Inc</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":2.037739760425131}' data-sheets-numberformat='{"1":2,"2":"#,##0.00","3":1}' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$2")'>2.04</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.7137569380785163}' data-sheets-numberformat='{"1":2,"2":"#,##0.00","3":1}' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$3")'>1.71</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":2.160993227615466}' data-sheets-numberformat='{"1":2,"2":"#,##0.00","3":1}' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$4")'>2.16</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"LG Uplus Corp/SK Telecom Co Ltd"}' data-sheets-formula='=Data!R[-12]C[3]&amp;"/"&amp;Data!R[-12]C[4]'>LG Uplus Corp/SK Telecom Co Ltd</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.4295746334880794}' data-sheets-numberformat='{"1":2,"2":"#,##0.00","3":1}' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$2")'>1.43</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.4296221017317747}' data-sheets-numberformat='{"1":2,"2":"#,##0.00","3":1}' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$3")'>0.43</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.24660010671563912}' data-sheets-numberformat='{"1":2,"2":"#,##0.00","3":1}' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$4")'>-0.25</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Kia Corp/Hyundai Motor Co"}' data-sheets-formula='=Data!R[-13]C[5]&amp;"/"&amp;Data!R[-13]C[6]'>Kia Corp/Hyundai Motor Co</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-2.099785179684263}' data-sheets-numberformat='{"1":2,"2":"#,##0.00","3":1}' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$2")'>-2.10</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.909372721906592}' data-sheets-numberformat='{"1":2,"2":"#,##0.00","3":1}' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$3")'>-0.91</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-2.0407109696616685}' data-sheets-numberformat='{"1":2,"2":"#,##0.00","3":1}' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$4")'>-2.04</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Celltrion HealthCare Co Ltd/Celltrion, Inc."}' data-sheets-formula='=Data!R[-14]C[7]&amp;"/"&amp;Data!R[-14]C[8]'>Celltrion HealthCare Co Ltd/Celltrion, Inc.</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.09559180069113433}' data-sheets-numberformat='{"1":2,"2":"#,##0.00","3":1}' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$2")'>-0.10</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.21251880342441315}' data-sheets-numberformat='{"1":2,"2":"#,##0.00","3":1}' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$3")'>-0.21</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.31044173489418}' data-sheets-numberformat='{"1":2,"2":"#,##0.00","3":1}' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$4")'>-0.31</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"BGF Retail Co Ltd/GS Retail Co Ltd"}' data-sheets-formula='=Data!R[-15]C[9]&amp;"/"&amp;Data!R[-15]C[10]'>BGF Retail Co Ltd/GS Retail Co Ltd</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":2.8212563464223854}' data-sheets-numberformat='{"1":2,"2":"#,##0.00","3":1}' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$2")'>2.82</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.6113428733650603}' data-sheets-numberformat='{"1":2,"2":"#,##0.00","3":1}' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$3")'>1.61</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.2360588141562515}' data-sheets-numberformat='{"1":2,"2":"#,##0.00","3":1}' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$4")'>0.24</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Hyundai Department Store Co Ltd/Shinsegae Inc"}' data-sheets-formula='=Data!R[-16]C[11]&amp;"/"&amp;Data!R[-16]C[12]'>Hyundai Department Store Co Ltd/Shinsegae Inc</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-2.8654321706876544}' data-sheets-numberformat='{"1":2,"2":"#,##0.00","3":1}' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$2")'>-2.87</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-2.6015371114013477}' data-sheets-numberformat='{"1":2,"2":"#,##0.00","3":1}' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$3")'>-2.60</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-1.807722354711979}' data-sheets-numberformat='{"1":2,"2":"#,##0.00","3":1}' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$4")'>-1.81</td>
</tr>
<tr><td colspan="4">Source: KRX 
</td></tr>
</tbody>
</table>The current price ratio is 5.46% below the 180-day average and 17.28% below the 180-day high. What's noteworthy is that the price ratio fell 12.2% only in 9 trading sessions, causing a 4σ movement downwardly for Hyundai Dept.<section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/204/512/original/Hyundai+Dept.+vs.+Shinsegae.png?1620244530" class="editor-image img-responsive" data-smartkarma-image-id="204512"></figure></section><table class="table table-striped">
<colgroup>
<col width="70">
<col width="70">
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<tbody>
<tr><td colspan="2" style="width: 723.636px;" data-sheets-value='{"1":2,"2":"Hyundai Department Store Co Ltd/Shinsegae Inc"}' data-sheets-formula="=R[-49]C[-10]">Hyundai Department Store Co Ltd/Shinsegae Inc</td></tr>
<tr>
<td style="width: 351.818px;" data-sheets-value='{"1":2,"2":"Current price ratio"}'>Current price ratio</td>
<td style="text-align: right; width: 350.909px;" data-sheets-value='{"1":3,"3":0.28462757527733756}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula='=indirect("$B"&amp;R74C[0])'>0.28463</td>
</tr>
<tr>
<td style="width: 351.818px;" data-sheets-value='{"1":2,"2":"%Δ to 180-day mean"}' data-sheets-numberformat='{"1":4,"2":"[$₩]#,##0"}'>%Δ to 180-day mean</td>
<td style="text-align: right; width: 350.909px;" data-sheets-value='{"1":3,"3":-0.05460355438237345}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula='=indirect("$C"&amp;R74C[0])'>-5.46%</td>
</tr>
<tr>
<td style="width: 351.818px;" data-sheets-value='{"1":2,"2":"%Δ to 180-day high"}' data-sheets-numberformat='{"1":4,"2":"[$₩]#,##0"}'>%Δ to 180-day high</td>
<td style="text-align: right; width: 350.909px;" data-sheets-value='{"1":3,"3":-0.1727905582093986}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula='=indirect("$D"&amp;R74C[0])'>-17.28%</td>
</tr>
<tr>
<td style="width: 351.818px;" data-sheets-value='{"1":2,"2":"%Δ to 180-day low"}' data-sheets-numberformat='{"1":4,"2":"[$₩]#,##0"}'>%Δ to 180-day low</td>
<td style="text-align: right; width: 350.909px;" data-sheets-value='{"1":3,"3":0.0910723718964607}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula='=indirect("$E"&amp;R74C[0])'>9.11%</td>
</tr>
<tr><td colspan="2" style="width: 723.636px;" data-sheets-value='{"1":2,"2":"Source: KRX"}'>Source: KRX</td></tr>
</tbody>
</table>

Korea has 6 tight sector pairs worth monitoring regularly. Of them, Hyundai Dept/Shinsegae now appears in an extreme diversion at -2.87σ on a 20-day moving average. Their 180-day correlation coefficient is 0.92369.








Sigma (σ) on a 20-day moving average
Today
T-1
T-2


Shinhan Financial Group Co., Ltd./KB Financial Group Inc
2.04
1.71
2.16


LG Uplus Corp/SK Telecom Co Ltd
1.43
0.43
-0.25


Kia Corp/Hyundai Motor Co
-2.10
-0.91
-2.04


Celltrion HealthCare Co Ltd/Celltrion, Inc.
-0.10
-0.21
-0.31


BGF Retail Co Ltd/GS Retail Co Ltd
2.82
1.61
0.24


Hyundai Department Store Co Ltd/Shinsegae Inc
-2.87
-2.60
-1.81

Source: KRX 


The current price ratio is 5.46% below the 180-day average and 17.28% below the 180-day high. What's noteworthy is that the price ratio fell 12.2% only in 9 trading sessions, causing a 4σ movement downwardly for Hyundai Dept.





Hyundai Department Store Co Ltd/Shinsegae Inc

Current price ratio
0.28463


%Δ to 180-day mean
-5.46%


%Δ to 180-day high
-17.28%


%Δ to 180-day low
9.11%

Source: KRX



Hyundai Dept & Shinsegae At -2.9σ Due to Duty-Free Factor, but Should Head for Mean Reversion Now

Korea has 6 closely correlated and co-integrated sector pairs. All of them have a +0.8 180-day correlation coefficient. Also, they all have a sufficiently linear 180-day price scattered chart showing the nature of their high cointegration.<table class="table table-striped">
<colgroup>
<col width="70">
<col width="70">
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<tbody>
<tr><td colspan="5" rowspan="1" style="width: 723.636px;" data-sheets-value='{"1":2,"2":"Closely correlated &amp; co-integrated sector pairs in Korea"}'>Closely correlated &amp; co-integrated sector pairs in Korea</td></tr>
<tr>
<td style="width: 181.818px;" data-sheets-value='{"1":2,"2":"Name"}'>Name</td>
<td style="width: 96.3636px;" data-sheets-value='{"1":2,"2":"Ticker"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]'>Ticker</td>
<td style="width: 165.455px;" data-sheets-value='{"1":2,"2":"Name"}'>Name</td>
<td style="width: 60.9091px;" data-sheets-value='{"1":2,"2":"Ticker"}'>Ticker</td>
<td style="text-align: right; width: 135.455px;" data-sheets-value='{"1":2,"2":"180-day correlation"}'>180-day correlation</td>
</tr>
<tr>
<td style="width: 181.818px;" data-sheets-value='{"1":2,"2":"Shinhan Financial Group Co., Ltd."}' data-sheets-formula="=Data!R[-2]C[1]">Shinhan Financial Group Co., Ltd.</td>
<td style="width: 96.3636px;" data-sheets-value='{"1":2,"2":"055550"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]' data-sheets-formula="=Data!R[-1]C[0]">055550</td>
<td style="width: 165.455px;" data-sheets-value='{"1":2,"2":"KB Financial Group Inc"}' data-sheets-formula="=Data!R[-2]C[0]">KB Financial Group Inc</td>
<td style="width: 60.9091px;" data-sheets-value='{"1":2,"2":"105560"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]' data-sheets-formula="=Data!R[-1]C[-1]">105560</td>
<td style="text-align: right; width: 135.455px;" data-sheets-value='{"1":3,"3":0.9610517352067552}' data-sheets-numberformat='[null,2,"#,##0.00000",1]' data-sheets-formula="=correl('1'!R870C10:R994C10, '1'!R870C11:R994C11)">0.96105</td>
</tr>
<tr>
<td style="width: 181.818px;" data-sheets-value='{"1":2,"2":"LG Uplus Corp"}' data-sheets-formula="=Data!R[-3]C[3]">LG Uplus Corp</td>
<td style="width: 96.3636px;" data-sheets-value='{"1":2,"2":"032640"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]' data-sheets-formula="=Data!R[-2]C[2]">032640</td>
<td style="width: 165.455px;" data-sheets-value='{"1":2,"2":"SK Telecom Co Ltd"}' data-sheets-formula="=Data!R[-3]C[2]">SK Telecom Co Ltd</td>
<td style="width: 60.9091px;" data-sheets-value='{"1":2,"2":"017670"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]' data-sheets-formula="=Data!R[-2]C[1]">017670</td>
<td style="text-align: right; width: 135.455px;" data-sheets-value='{"1":3,"3":0.8992786663054949}' data-sheets-numberformat='[null,2,"#,##0.00000",1]' data-sheets-formula="=correl('2'!R870C10:R994C10, '2'!R870C11:R994C11)">0.89928</td>
</tr>
<tr>
<td style="width: 181.818px;" data-sheets-value='{"1":2,"2":"Kia Corp"}' data-sheets-formula="=Data!R[-4]C[5]">Kia Corp</td>
<td style="width: 96.3636px;" data-sheets-value='{"1":2,"2":"000270"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]' data-sheets-formula="=Data!R[-3]C[4]">000270</td>
<td style="width: 165.455px;" data-sheets-value='{"1":2,"2":"Hyundai Motor Co"}' data-sheets-formula="=Data!R[-4]C[4]">Hyundai Motor Co</td>
<td style="width: 60.9091px;" data-sheets-value='{"1":2,"2":"005380"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]' data-sheets-formula="=Data!R[-3]C[3]">005380</td>
<td style="text-align: right; width: 135.455px;" data-sheets-value='{"1":3,"3":0.8668911065680154}' data-sheets-numberformat='[null,2,"#,##0.00000",1]' data-sheets-formula="=correl('3'!R870C10:R994C10, '3'!R870C11:R994C11)">0.86689</td>
</tr>
<tr>
<td style="width: 181.818px;" data-sheets-value='{"1":2,"2":"Celltrion HealthCare Co Ltd"}' data-sheets-formula="=Data!R[-5]C[7]">Celltrion HealthCare Co Ltd</td>
<td style="width: 96.3636px;" data-sheets-value='{"1":2,"2":"091990"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]' data-sheets-formula="=Data!R[-4]C[6]">091990</td>
<td style="width: 165.455px;" data-sheets-value='{"1":2,"2":"Celltrion, Inc."}' data-sheets-formula="=Data!R[-5]C[6]">Celltrion, Inc.</td>
<td style="width: 60.9091px;" data-sheets-value='{"1":2,"2":"068270"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]' data-sheets-formula="=Data!R[-4]C[5]">068270</td>
<td style="text-align: right; width: 135.455px;" data-sheets-value='{"1":3,"3":0.850526307159412}' data-sheets-numberformat='[null,2,"#,##0.00000",1]' data-sheets-formula="=correl('4'!R870C10:R994C10, '4'!R870C11:R994C11)">0.85053</td>
</tr>
<tr>
<td style="width: 181.818px;" data-sheets-value='{"1":2,"2":"BGF Retail Co Ltd"}' data-sheets-formula="=Data!R[-6]C[9]">BGF Retail Co Ltd</td>
<td style="width: 96.3636px;" data-sheets-value='{"1":2,"2":"282330"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]' data-sheets-formula="=Data!R[-5]C[8]">282330</td>
<td style="width: 165.455px;" data-sheets-value='{"1":2,"2":"GS Retail Co Ltd"}' data-sheets-formula="=Data!R[-6]C[8]">GS Retail Co Ltd</td>
<td style="width: 60.9091px;" data-sheets-value='{"1":2,"2":"007070"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]' data-sheets-formula="=Data!R[-5]C[7]">007070</td>
<td style="text-align: right; width: 135.455px;" data-sheets-value='{"1":3,"3":0.7760017852780396}' data-sheets-numberformat='[null,2,"#,##0.00000",1]' data-sheets-formula="=correl('5'!R870C10:R994C10, '5'!R870C11:R994C11)">0.77600</td>
</tr>
<tr>
<td style="width: 181.818px;" data-sheets-value='{"1":2,"2":"Hyundai Department Store Co Ltd"}' data-sheets-formula="=Data!R[-7]C[11]">Hyundai Department Store Co Ltd</td>
<td style="width: 96.3636px;" data-sheets-value='{"1":2,"2":"069960"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]' data-sheets-formula="=Data!R[-6]C[10]">069960</td>
<td style="width: 165.455px;" data-sheets-value='{"1":2,"2":"Shinsegae Inc"}' data-sheets-formula="=Data!R[-7]C[10]">Shinsegae Inc</td>
<td style="width: 60.9091px;" data-sheets-value='{"1":2,"2":"004170"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]' data-sheets-formula="=Data!R[-6]C[9]">004170</td>
<td style="text-align: right; width: 135.455px;" data-sheets-value='{"1":3,"3":0.9327816777063404}' data-sheets-numberformat='[null,2,"#,##0.00000",1]' data-sheets-formula="=correl('6'!R870C10:R994C10, '6'!R870C11:R994C11)">0.93278</td>
</tr>
<tr><td colspan="5" rowspan="1" style="width: 723.636px;" data-sheets-value='{"1":2,"2":"Source: KRX"}'>Source: KRX</td></tr>
</tbody>
</table>In the light of the short-selling resumption next week, these sector pairs will likely draw attention.Then, which pair is at an extreme sigma (±2.0σ) on a 20-day moving average? At the last close, three pairs come on the radar.<ol>
<li>Shinhan Financial and KB Financial: +2.16σ</li>
<li>Kia Corp and Hyundai Motor: -2.04σ</li>
<li>Hyundai Department Store and Shinsegae: -1.81σ</li>
</ol><table class="table table-striped">
<colgroup>
<col width="70">
<col width="70">
<col width="70">
<col width="70">
<col width="70">
<col width="70">
<col width="70">
</colgroup>
<tbody>
<tr>
<td style="width: 320.909px;" data-sheets-value='{"1":2,"2":"Sigma (σ) on a 20-day moving average"}'>Sigma (σ) on a 20-day moving average</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":2,"2":"Today"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]'>Today</td>
<td style="text-align: right; width: 45.4545px;" data-sheets-value='{"1":2,"2":"T-1"}'>T-1</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":2,"2":"T-2"}'>T-2</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":2,"2":"T-3"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]'>T-3</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":2,"2":"T-4"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]'>T-4</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":2,"2":"T-5"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]'>T-5</td>
</tr>
<tr>
<td style="width: 320.909px;" data-sheets-value='{"1":2,"2":"Shinhan Financial Group Co., Ltd./KB Financial Group Inc"}' data-sheets-formula='=Data!R[-11]C[1]&amp;"/"&amp;Data!R[-11]C[2]'>Shinhan Financial Group Co., Ltd./KB Financial Group Inc</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":2.160993227615466}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$2")'>2.16</td>
<td style="text-align: right; width: 45.4545px;" data-sheets-value='{"1":3,"3":2.542772683735228}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$3")'>2.54</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":1.786381555409661}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$4")'>1.79</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":1.1128800501751042}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$5")'>1.11</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":0.181530165798035}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$6")'>0.18</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":-0.22641999615163677}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$7")'>-0.23</td>
</tr>
<tr>
<td style="width: 320.909px;" data-sheets-value='{"1":2,"2":"LG Uplus Corp/SK Telecom Co Ltd"}' data-sheets-formula='=Data!R[-12]C[3]&amp;"/"&amp;Data!R[-12]C[4]'>LG Uplus Corp/SK Telecom Co Ltd</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":-0.24660010671563912}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$2")'>-0.25</td>
<td style="text-align: right; width: 45.4545px;" data-sheets-value='{"1":3,"3":-0.10403426571856596}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$3")'>-0.10</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":-1.6117954095017157}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$4")'>-1.61</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":-1.6376484979254156}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$5")'>-1.64</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":-1.4249128627679264}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$6")'>-1.42</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":-2.087684413507805}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$7")'>-2.09</td>
</tr>
<tr>
<td style="width: 320.909px;" data-sheets-value='{"1":2,"2":"Kia Corp/Hyundai Motor Co"}' data-sheets-formula='=Data!R[-13]C[5]&amp;"/"&amp;Data!R[-13]C[6]'>Kia Corp/Hyundai Motor Co</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":-2.0407109696616685}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$2")'>-2.04</td>
<td style="text-align: right; width: 45.4545px;" data-sheets-value='{"1":3,"3":-2.0025888653486463}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$3")'>-2.00</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":-1.1695043509161958}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$4")'>-1.17</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":-0.004698906236027549}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$5")'>0.00</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":0.10273148905333784}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$6")'>0.10</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":-1.0802292544899608}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$7")'>-1.08</td>
</tr>
<tr>
<td style="width: 320.909px;" data-sheets-value='{"1":2,"2":"Celltrion HealthCare Co Ltd/Celltrion, Inc."}' data-sheets-formula='=Data!R[-14]C[7]&amp;"/"&amp;Data!R[-14]C[8]'>Celltrion HealthCare Co Ltd/Celltrion, Inc.</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":-0.31044173489418}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$2")'>-0.31</td>
<td style="text-align: right; width: 45.4545px;" data-sheets-value='{"1":3,"3":-0.7388105592067177}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$3")'>-0.74</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":-1.0110561898756243}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$4")'>-1.01</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":-0.0565672498648304}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$5")'>-0.06</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":-0.1863196550598434}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$6")'>-0.19</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":0.5127886597937376}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$7")'>0.51</td>
</tr>
<tr>
<td style="width: 320.909px;" data-sheets-value='{"1":2,"2":"BGF Retail Co Ltd/GS Retail Co Ltd"}' data-sheets-formula='=Data!R[-15]C[9]&amp;"/"&amp;Data!R[-15]C[10]'>BGF Retail Co Ltd/GS Retail Co Ltd</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":0.2360588141562515}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$2")'>0.24</td>
<td style="text-align: right; width: 45.4545px;" data-sheets-value='{"1":3,"3":-2.102593735245234}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$3")'>-2.10</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":-2.5568836748773385}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$4")'>-2.56</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":-2.3214237049099196}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$5")'>-2.32</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":-0.024092449046153583}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$6")'>-0.02</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":0.4712110272418423}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$7")'>0.47</td>
</tr>
<tr>
<td style="width: 320.909px;" data-sheets-value='{"1":2,"2":"Hyundai Department Store Co Ltd/Shinsegae Inc"}' data-sheets-formula='=Data!R[-16]C[11]&amp;"/"&amp;Data!R[-16]C[12]'>Hyundai Department Store Co Ltd/Shinsegae Inc</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":-1.807722354711979}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$2")'>-1.81</td>
<td style="text-align: right; width: 45.4545px;" data-sheets-value='{"1":3,"3":-2.309293992473888}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$3")'>-2.31</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":-2.530789825470454}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$4")'>-2.53</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":-1.733312375711856}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$5")'>-1.73</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":-1.3190244950375916}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$6")'>-1.32</td>
<td style="text-align: right; width: 46.3636px;" data-sheets-value='{"1":3,"3":-0.03766239765956894}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$7")'>-0.04</td>
</tr>
<tr><td colspan="7" rowspan="1" style="width: 723.636px;" data-sheets-value='{"1":2,"2":"Source: KRX"}'>Source: KRX</td></tr>
</tbody>
</table>Out of these three pairs currently at ±2.0σ, the Kia Corp/Hyundai Motor pair deserves special attention as mean reversion appears already in progress for the other two pairs.

Korea has 6 closely correlated and co-integrated sector pairs. All of them have a +0.8 180-day correlation coefficient. Also, they all have a sufficiently linear 180-day price scattered chart showing the nature of their high cointegration.








Closely correlated &amp; co-integrated sector pairs in Korea

Name
Ticker
Name
Ticker
180-day correlation


Shinhan Financial Group Co., Ltd.
055550
KB Financial Group Inc
105560
0.96105


LG Uplus Corp
032640
SK Telecom Co Ltd
017670
0.89928


Kia Corp
000270
Hyundai Motor Co
005380
0.86689


Celltrion HealthCare Co Ltd
091990
Celltrion, Inc.
068270
0.85053


BGF Retail Co Ltd
282330
GS Retail Co Ltd
007070
0.77600


Hyundai Department Store Co Ltd
069960
Shinsegae Inc
004170
0.93278

Source: KRX

In the light of the short-selling resumption next week, these sector pairs will likely draw attention.Then, which pair is at an extreme sigma (±2.0σ) on a 20-day moving average? At the last close, three pairs come on the radar.
Shinhan Financial and KB Financial: +2.16σ
Kia Corp and Hyundai Motor: -2.04σ
Hyundai Department Store and Shinsegae: -1.81σ












Sigma (σ) on a 20-day moving average
Today
T-1
T-2
T-3
T-4
T-5


Shinhan Financial Group Co., Ltd./KB Financial Group Inc
2.16
2.54
1.79
1.11
0.18
-0.23


LG Uplus Corp/SK Telecom Co Ltd
-0.25
-0.10
-1.61
-1.64
-1.42
-2.09


Kia Corp/Hyundai Motor Co
-2.04
-2.00
-1.17
0.00
0.10
-1.08


Celltrion HealthCare Co Ltd/Celltrion, Inc.
-0.31
-0.74
-1.01
-0.06
-0.19
0.51


BGF Retail Co Ltd/GS Retail Co Ltd
0.24
-2.10
-2.56
-2.32
-0.02
0.47


Hyundai Department Store Co Ltd/Shinsegae Inc
-1.81
-2.31
-2.53
-1.73
-1.32
-0.04

Source: KRX

Out of these three pairs currently at ±2.0σ, the Kia Corp/Hyundai Motor pair deserves special attention as mean reversion appears already in progress for the other two pairs.

Korea Pair Trade Idea: 6 Closely Correlated & Cointegrated Sector Pairs

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Equity Capital Markets

In this insight, we compare the key financials and metrics of Kurly versus SSG.com. Kurly is a leading fresh food e-commerce company in Korea. Kurly is preparing for an IPO (most likely in the US) in 2H 2021. SSG.com is the e-commerce platform of <a href="https://www.smartkarma.com/entities/e-mart-inc" target="_blank" data-smartkarma-citation="entities:6993:1" rel="noopener">E Mart Inc (139480 KS)</a>. SSG.com is also an IPO candidate but its IPO is more likely in 2022/2023. After the hugely successful IPO of <a href="https://www.smartkarma.com/entities/coupang" target="_blank" data-smartkarma-citation="entities:28425:1" rel="noopener">Coupang (CPNG US)</a>, there has been a lot more interest in the competitors of Coupang that could also be the next IPO candidates. <a href="http://www.naeil.com/news_view/?id_art=382075" target="_blank" rel="noopener">Kurly</a> has selected Goldman Sachs, Morgan Stanley, and JP Morgan as its lead underwriters for the IPO listing in the US in 2H 2021. Kurly's founder &amp; CEO Kim Seul-Ah is an ex-Goldman Sachs banker. Kim Jong-Hoon, the CFO of Kurly, worked previously at Morgan Stanley. <div class="content-highlight">Attaching lower valuation multiples for Kurly (5x to 10x P/GP, using 2020 figures, which would be much lower than Kurly's P/GP ratio of 29.5x at $4.4 billion valuation), this would suggest potential valuation of 3.1 trillion won (US$2.7 billion) to 6.0 trillion won (US$5.4 billion) for SSG.com. Given that Emart has a 50.1% stake in SSG.com, this would represent a 32% and 65% in Emart's market cap, respectively. </div>

In this insight, we compare the key financials and metrics of Kurly versus SSG.com. Kurly is a leading fresh food e-commerce company in Korea. Kurly is preparing for an IPO (most likely in the US) in 2H 2021. SSG.com is the e-commerce platform of E Mart Inc (139480 KS). SSG.com is also an IPO candidate but its IPO is more likely in 2022/2023. After the hugely successful IPO of Coupang (CPNG US), there has been a lot more interest in the competitors of Coupang that could also be the next IPO candidates. Kurly has selected Goldman Sachs, Morgan Stanley, and JP Morgan as its lead underwriters for the IPO listing in the US in 2H 2021. Kurly's founder &amp; CEO Kim Seul-Ah is an ex-Goldman Sachs banker. Kim Jong-Hoon, the CFO of Kurly, worked previously at Morgan Stanley. Attaching lower valuation multiples for Kurly (5x to 10x P/GP, using 2020 figures, which would be much lower than Kurly's P/GP ratio of 29.5x at $4.4 billion valuation), this would suggest potential valuation of 3.1 trillion won (US$2.7 billion) to 6.0 trillion won (US$5.4 billion) for SSG.com. Given that Emart has a 50.1% stake in SSG.com, this would represent a 32% and 65% in Emart's market cap, respectively. 

2020 Financials Comparison of Kurly Vs SSG.Com (IPO Candidates in 2021 & 2022)

Telco/Internet specialist

Kirk Boodry

Redex Research

Equity Bottom-Up

<a target="_blank"></a>Coupang is by far the leader in one of the most compelling markets for eCommerce globally and one of the most attractive of the Vision Fund portfolio companies. But it is expensive: the $30 max offer price implies a 5x appreciation in value from its last private funding round in 2018 and a FY21 EV/sales multiple of 2.6x almost on par with Amazon which is a global leader in both eCommerce and cloud.  We value Coupang below the range at $26 using a 9-year DCF driven by 17% revenue CAGR and an 8% terminal OP margin.    This report includes our initial forecasts, valuation, a summary of the investment highlights and a list of questions we would ask on the roadshow.<h2>Highlights</h2>Coupang dominates a very attractive eCommerce market.  Korea scores high on two measures of eCommerce predictive success, Internet penetration and population density and Coupang is by-far the leading provider. It helps that global competition has been unable to gain traction whilst traditional retailers are smaller scale relative to other markets.eCommerce demand has accelerated as Covid-19 accelerates augments a secular shift in retail sales to online platforms.  Revenue growth expanded from 71% in Q4 19 to 100% in Q4 20 but expanding growth was a feature through 2019 as well. eCommerce penetration of c. 25% may have nearly doubled in FY20 although some of that demand shift may revert as the impact of Covid-19 fades.The company is flirting with profitability. Operating margins have moved from -30% in FY16 to -4% in FY20 with corresponding improvement in EBITDA (-30% to -3%).  In our model, we assume Coupang breaks even in FY21 although higher share-based compensation and/or higher spending as it puts IPO proceeds to work could extend that.But it is still burning a lot of cash.  Coupang might be close to break-even operationally but it has largely spent the money it received from <a href="https://www.smartkarma.com/entities/softbank-group-corp" target="_blank" data-smartkarma-citation="entities:315:1" rel="noopener">Softbank Group (9984 JP)</a>  in 2018. Over the last three years, $2.7bn has gone out the door including c. $800mn in FY20 alone (our measure of operating cash flow).Comparable valuations and relative changes to valuation highlight the premium valuation. <a href="https://www.smartkarma.com/entities/coupang" target="_blank" data-smartkarma-citation="entities:28425:1" rel="noopener">Coupang (CPNG US)</a>  max offer price values the company similarly to Amazon on FY21 EV/sales (2.7x v 2.8x) but the latter is a global leader and not just in eCommerce but cloud too. Similarly, Coupang’s value appreciation from its last private funding and March 2020 lows has outpaced peer group, sometimes significantly.

Coupang is by far the leader in one of the most compelling markets for eCommerce globally and one of the most attractive of the Vision Fund portfolio companies. But it is expensive: the $30 max offer price implies a 5x appreciation in value from its last private funding round in 2018 and a FY21 EV/sales multiple of 2.6x almost on par with Amazon which is a global leader in both eCommerce and cloud.  We value Coupang below the range at $26 using a 9-year DCF driven by 17% revenue CAGR and an 8% terminal OP margin.    This report includes our initial forecasts, valuation, a summary of the investment highlights and a list of questions we would ask on the roadshow.HighlightsCoupang dominates a very attractive eCommerce market.  Korea scores high on two measures of eCommerce predictive success, Internet penetration and population density and Coupang is by-far the leading provider. It helps that global competition has been unable to gain traction whilst traditional retailers are smaller scale relative to other markets.eCommerce demand has accelerated as Covid-19 accelerates augments a secular shift in retail sales to online platforms.  Revenue growth expanded from 71% in Q4 19 to 100% in Q4 20 but expanding growth was a feature through 2019 as well. eCommerce penetration of c. 25% may have nearly doubled in FY20 although some of that demand shift may revert as the impact of Covid-19 fades.The company is flirting with profitability. Operating margins have moved from -30% in FY16 to -4% in FY20 with corresponding improvement in EBITDA (-30% to -3%).  In our model, we assume Coupang breaks even in FY21 although higher share-based compensation and/or higher spending as it puts IPO proceeds to work could extend that.But it is still burning a lot of cash.  Coupang might be close to break-even operationally but it has largely spent the money it received from Softbank Group (9984 JP)  in 2018. Over the last three years, $2.7bn has gone out the door including c. $800mn in FY20 alone (our measure of operating cash flow).Comparable valuations and relative changes to valuation highlight the premium valuation. Coupang (CPNG US)  max offer price values the company similarly to Amazon on FY21 EV/sales (2.7x v 2.8x) but the latter is a global leader and not just in eCommerce but cloud too. Similarly, Coupang’s value appreciation from its last private funding and March 2020 lows has outpaced peer group, sometimes significantly.

Coupang IPO and Softbank Group - A Vision Fund Jewel Emerges but It Is Pricey

South Korea

Shinsegae Co., Ltd. operates department stores in South Korea.  The Company retails food, clothing, household goods, electronics, and other items through several branch stores.

Price Gauge
52-week Range	0.00 - 0.00
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Shinsegae (004170 KS)

KOSPI200 Index Rebalance (March): LG Energy IN; Dongwon F&B Out

LG Energy will be added to the KOSPI200 Index at the close on 10 March, while Dongwon F&B will be deleted. There will be a large KOSPI200 basket...

Brian Freitas

Hyundai Dept & Shinsegae At -2.9σ Due to Duty-Free Factor, but Should Head for Mean Reversion Now

Hyundai Dept and Shinsegae are on the radar among the Korean sector pairs as the duo is in an extreme diversion. This post discusses three reasons...

Sanghyun Park

Korea Pair Trade Idea: 6 Closely Correlated & Cointegrated Sector Pairs

This post discusses the 6 closely correlated and cointegrated sector pairs in Korea in the light of the short-selling resumption starting this week.

Sanghyun Park

2020 Financials Comparison of Kurly Vs SSG.Com (IPO Candidates in 2021 & 2022)

In this insight, we compare the key financials and metrics of Kurly versus SSG.com. Kurly is preparing for an IPO (most likely in the US) in 2H 2021.

Douglas Kim

Coupang IPO and Softbank Group - A Vision Fund Jewel Emerges but It Is Pricey

Coupang's IPO is a win for the company and its largest holder Softbank but the max offer price of $30 is too pricey - we think it is worth closer...

Kirk Boodry

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