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

<p>The 3-way merger between Celltrion Holdings has been completed. Now, the market's attention is shifting to the merger of Celltrion, Celltrion Healthcare, and Celltrion Pharm.</p><div class="content-highlight"><p><strong>Perhaps the most crucial investment point in this second 3-way merger is short covering.</strong></p></div><hr><h2>What short covering?</h2><p>The prominent institutional investors that lend stocks for short selling in Korea are local ETF/index fund operators and pension funds. And among them, pension funds often recall shares to exercise shareholder rights in the event of a merger.</p><p>It then leads to an increase in demand for short coverings. We have often witnessed stock price overshooting immediately after the merger announcement. The most salient example was the Samsung Engineering &amp; Samsung Heavy Industries merger back in 2016. Samsung Engineering soared 12% right after the merger announcement, presumably due to the recall of pension funds.</p><p>However, it is essential to note that the recall is not compulsory even for stocks of an extinct entity in a merger between listed companies. <span>Stocks borrowed for short-selling are automatically transferred to newly issued stocks with only the title of an underlying share changed.</span></p><div class="content-highlight"><ul>
<li><strong>Nevertheless, the possibility of a short-term stock overshooting due to a recall cannot be ruled out in the event of a merger between companies with high stakes held by pension funds and high short interest.</strong></li>
<li><strong>Although the short interest of the three Celltrion companies has decreased a lot compared to the past, they are still maintaining a considerable level. In the case of Celltrion, short interest is 2.89% of the SO, nearly 4M shares which are 6~7x days to cover. </strong></li>
<li><strong>In addition, the proportion of investment in Celltrion and Celltrion Healthcare by local pension funds is relatively large.</strong></li>
</ul></div><p>Of course, we also have to note that the National Pension Service, the largest pension fund, has not yet resumed lending of domestic stocks, so the short-covering impact of the recall is bound to be less than in the past.</p>

The 3-way merger between Celltrion Holdings has been completed. Now, the market's attention is shifting to the merger of Celltrion, Celltrion Healthcare, and Celltrion Pharm.Perhaps the most crucial investment point in this second 3-way merger is short covering.What short covering?The prominent institutional investors that lend stocks for short selling in Korea are local ETF/index fund operators and pension funds. And among them, pension funds often recall shares to exercise shareholder rights in the event of a merger.It then leads to an increase in demand for short coverings. We have often witnessed stock price overshooting immediately after the merger announcement. The most salient example was the Samsung Engineering &amp; Samsung Heavy Industries merger back in 2016. Samsung Engineering soared 12% right after the merger announcement, presumably due to the recall of pension funds.However, it is essential to note that the recall is not compulsory even for stocks of an extinct entity in a merger between listed companies. Stocks borrowed for short-selling are automatically transferred to newly issued stocks with only the title of an underlying share changed.
Nevertheless, the possibility of a short-term stock overshooting due to a recall cannot be ruled out in the event of a merger between companies with high stakes held by pension funds and high short interest.
Although the short interest of the three Celltrion companies has decreased a lot compared to the past, they are still maintaining a considerable level. In the case of Celltrion, short interest is 2.89% of the SO, nearly 4M shares which are 6~7x days to cover. 
In addition, the proportion of investment in Celltrion and Celltrion Healthcare by local pension funds is relatively large.
Of course, we also have to note that the National Pension Service, the largest pension fund, has not yet resumed lending of domestic stocks, so the short-covering impact of the recall is bound to be less than in the past.

Celltrion 3-Way Merger Timing & Trading Approach Aiming for Immediate Short Covering

<p>Celltrion and Celltrion Healthcare, which have been moving quite tightly recently, experienced a significant level of divergence last Friday.</p><section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/230/646/original/1.png?1632020309" class="editor-image img-responsive" data-smartkarma-image-id="230646"></figure></section><p>Celltrion vs. Celltrion Healthcare is at -1.72σ on a 20-day moving average as of last Friday's close. This level of price divergence is the largest since early June.</p><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/230/647/original/image_95913332721632020426124.png?1632020428" class="editor-image img-responsive" data-smartkarma-image-id="230647"></figure><p>For the past month, Celltrion Healthcare's earnings estimates have been adjusted more significantly than those of Celltrion. On a local street consensus basis, Celltrion's 2022 net profit was revised down by 3.16%, while Celltrion Healthcare's was downgraded by 6.75%. Nevertheless, Celltrion Healthcare's 12M forward PER rose 3.69%p higher than that of Celltrion.</p><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 data-sheets-value='{"1":2,"2":"FY2022E"}'>FY2022E</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Celltrion, T"}'>Celltrion, T</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Celltrion, T-1M"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]'>Celltrion, T-1M</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"MoM Δ"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]'>MoM Δ</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Celltrion H, T"}'>Celltrion H, T</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Celltrion H, T-1M"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]'>Celltrion H, T-1M</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"MoM Δ"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]'>MoM Δ</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"NP to controlling stake"}' data-sheets-numberformat='[null,3,"0.00%",1]'>Consensus net profit to controlling stake</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":830}' data-sheets-numberformat='[null,2,"₩#,##0.0B"]' data-sheets-formula="=R[0]C[6]/10">₩830.0B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":857.1}' data-sheets-numberformat='[null,2,"₩#,##0.0B"]' data-sheets-formula="=R[0]C[6]/10">₩857.1B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.03161824757904565}' data-sheets-numberformat='[null,3,"0.00%",1]' data-sheets-formula="=(R[0]C[-2]-R[0]C[-1])/R[0]C[-1]"><strong>-3.16%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":370}' data-sheets-numberformat='[null,2,"₩#,##0.0B"]'>₩370.0B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":396.8}' data-sheets-numberformat='[null,2,"₩#,##0.0B"]'>₩396.8B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.06754032258064518}' data-sheets-numberformat='[null,3,"0.00%",1]' data-sheets-formula="=(R[0]C[-2]-R[0]C[-1])/R[0]C[-1]"><strong>-6.75%</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"12M PER "}'>12M forward PER</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":47.67}' data-sheets-numberformat='[null,2,"0.00x"]' data-sheets-formula="=R[0]C[6]">47.67x</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":46.68}' data-sheets-numberformat='[null,2,"0.00x"]' data-sheets-formula="=R[0]C[6]">46.68x</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.021208226221079735}' data-sheets-numberformat='[null,3,"0.00%",1]' data-sheets-formula="=(R[0]C[-2]-R[0]C[-1])/R[0]C[-1]"><strong>+2.12%</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":52.29}' data-sheets-numberformat='[null,2,"0.00x"]'>52.29x</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":49.42}' data-sheets-numberformat='[null,2,"0.00x"]'>49.42x</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.058073654390934794}' data-sheets-numberformat='[null,3,"0.00%",1]' data-sheets-formula="=(R[0]C[-2]-R[0]C[-1])/R[0]C[-1]"><strong>+5.81%</strong></td>
</tr>
<tr><td colspan="7" rowspan="1" data-sheets-value='{"1":2,"2":"Source: FnGuide"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]'>Source: FnGuide</td></tr>
</tbody>
</table>

Celltrion and Celltrion Healthcare, which have been moving quite tightly recently, experienced a significant level of divergence last Friday.Celltrion vs. Celltrion Healthcare is at -1.72σ on a 20-day moving average as of last Friday's close. This level of price divergence is the largest since early June.For the past month, Celltrion Healthcare's earnings estimates have been adjusted more significantly than those of Celltrion. On a local street consensus basis, Celltrion's 2022 net profit was revised down by 3.16%, while Celltrion Healthcare's was downgraded by 6.75%. Nevertheless, Celltrion Healthcare's 12M forward PER rose 3.69%p higher than that of Celltrion.











FY2022E
Celltrion, T
Celltrion, T-1M
MoM Δ
Celltrion H, T
Celltrion H, T-1M
MoM Δ


Consensus net profit to controlling stake
₩830.0B
₩857.1B
-3.16%
₩370.0B
₩396.8B
-6.75%


12M forward PER
47.67x
46.68x
+2.12%
52.29x
49.42x
+5.81%

Source: FnGuide



Last Friday's Price Divergence in Celltrion Vs. Celltrion Healthcare

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

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Index Rebalance

<p>The KRX has announced the results of the September review of the BBIG indices and the changes will become effective after the close of trading on 9 September.</p><p>These are the changes to the indices:</p><ul style="list-style-type: disc;">
<li>Secondary Battery ETF: <a href="https://www.smartkarma.com/entities/sk-ie-technology" target="_blank" data-smartkarma-citation="entities:29207:1" rel="noopener">SK IE Technology (361610 KS)</a> replaces <a href="https://www.smartkarma.com/entities/chunbo-co-ltd" target="_blank" data-smartkarma-citation="entities:27848:1" rel="noopener">Chunbo Co Ltd (278280 KS)</a>
</li>
<li>Bio ETF: <a href="https://www.smartkarma.com/entities/sk-bioscience-co-ltd" target="_blank" data-smartkarma-citation="entities:31484:1" rel="noopener">SK Bioscience (302440 KS)</a> and <a href="https://www.smartkarma.com/entities/hanmi-pharm-co-ltd" target="_blank" data-smartkarma-citation="entities:12476:1" rel="noopener">Hanmi Pharm (128940 KS)</a> join the index, replacing <a href="https://www.smartkarma.com/entities/shinpoong-pharmaceutical-co-ltd" target="_blank" data-smartkarma-citation="entities:7296:1" rel="noopener">Shinpoong Pharmaceutical (019170 KS)</a> and <a href="https://www.smartkarma.com/entities/seegene-inc" target="_blank" data-smartkarma-citation="entities:11483:1" rel="noopener">Seegene Inc (096530 KS)</a>. Additionally, <a href="https://www.smartkarma.com/entities/sk-bioscience-co-ltd" target="_blank" data-smartkarma-citation="entities:31484:1" rel="noopener">SK Bioscience (302440 KS)</a> replaces <a href="https://www.smartkarma.com/entities/sk-biopharmaceuticals-co-ltd" target="_blank" data-smartkarma-citation="entities:28966:1" rel="noopener">SK Biopharmaceuticals Co Ltd (326030 KS)</a> in the top 3 stocks.</li>
<li>Internet ETF: <a href="https://www.smartkarma.com/entities/kg-inicis-co-ltd" target="_blank" data-smartkarma-citation="entities:5234:1" rel="noopener">KG Inicis Co Ltd (035600 KS)</a> replaces <a href="https://www.smartkarma.com/entities/rsupport-co-ltd" target="_blank" data-smartkarma-citation="entities:14783:1" rel="noopener">Rsupport Co Ltd (131370 KS)</a> </li>
<li>Game ETF: <a href="https://www.smartkarma.com/entities/krafton-inc" target="_blank" data-smartkarma-citation="entities:28956:1" rel="noopener"> Krafton Inc (259960 KS)</a> and <a href="https://www.smartkarma.com/entities/devsisters-co-ltd" target="_blank" data-smartkarma-citation="entities:14096:1" rel="noopener">Devsisters (194480 KS)</a> replace <a href="https://www.smartkarma.com/entities/wemade-co-ltd" target="_blank" data-smartkarma-citation="entities:9940:1" rel="noopener">Wemade Co., Ltd. (112040 KS)</a> and <a href="https://www.smartkarma.com/entities/neptune-company" target="_blank" data-smartkarma-citation="entities:28826:1" rel="noopener">Neptune Company (217270 KS)</a>
</li>
<li>BBIG ETF: <a href="https://www.smartkarma.com/entities/sk-bioscience-co-ltd" target="_blank" data-smartkarma-citation="entities:31484:1" rel="noopener">SK Bioscience (302440 KS)</a> and <a href="https://www.smartkarma.com/entities/krafton-inc" target="_blank" data-smartkarma-citation="entities:28956:1" rel="noopener"> Krafton Inc (259960 KS)</a> replace <a href="https://www.smartkarma.com/entities/sk-biopharmaceuticals-co-ltd" target="_blank" data-smartkarma-citation="entities:28966:1" rel="noopener">SK Biopharmaceuticals Co Ltd (326030 KS)</a> and <a href="https://www.smartkarma.com/entities/kakao-games-corp" target="_blank" data-smartkarma-citation="entities:26730:1" rel="noopener">Kakao Games Corp (293490 KS)</a>.</li>
</ul><p>KRX has broken its own rules (everyone does it, so join in!) by including <a href="https://www.smartkarma.com/entities/krafton-inc" target="_blank" data-smartkarma-citation="entities:28956:1" rel="noopener"> Krafton Inc (259960 KS)</a> even though the stock listed post the July-end cut off and there is no provision of Fast Entry in the index methodology.</p><p>Stocks with the largest inflows are <a href="https://www.smartkarma.com/entities/sk-bioscience-co-ltd" target="_blank" data-smartkarma-citation="entities:31484:1" rel="noopener">SK Bioscience (302440 KS)</a>, <a href="https://www.smartkarma.com/entities/krafton-inc" target="_blank" data-smartkarma-citation="entities:28956:1" rel="noopener"> Krafton Inc (259960 KS)</a>, <a href="https://www.smartkarma.com/entities/sk-ie-technology" target="_blank" data-smartkarma-citation="entities:29207:1" rel="noopener">SK IE Technology (361610 KS)</a>, <a href="https://www.smartkarma.com/entities/lg-chem-ltd" target="_blank" data-smartkarma-citation="entities:3583:1" rel="noopener">LG Chem Ltd (051910 KS)</a>, <a href="https://www.smartkarma.com/entities/sk-innovation-co-ltd" target="_blank" data-smartkarma-citation="entities:1268:1" rel="noopener">SK Innovation (096770 KS)</a> and <a href="https://www.smartkarma.com/entities/douzone-bizon-co-ltd" target="_blank" data-smartkarma-citation="entities:20161:1" rel="noopener">Douzone Bizon (012510 KS)</a> while the stocks with the largest outflows are <a href="https://www.smartkarma.com/entities/kakao-games-corp" target="_blank" data-smartkarma-citation="entities:26730:1" rel="noopener">Kakao Games Corp (293490 KS)</a>, <a href="https://www.smartkarma.com/entities/sk-biopharmaceuticals-co-ltd" target="_blank" data-smartkarma-citation="entities:28966:1" rel="noopener">SK Biopharmaceuticals Co Ltd (326030 KS)</a>, <a href="https://www.smartkarma.com/entities/kakao-corp" target="_blank" data-smartkarma-citation="entities:15002:1" rel="noopener">Kakao Corp (035720 KS)</a>, <a href="https://www.smartkarma.com/entities/posco-chemical-co-ltd" target="_blank" data-smartkarma-citation="entities:12421:1" rel="noopener">Posco Chemical Co Ltd (003670 KS)</a>, <a href="https://www.smartkarma.com/entities/skc-co-ltd" target="_blank" data-smartkarma-citation="entities:3970:1" rel="noopener">SKC Co Ltd (011790 KS)</a> and <a href="https://www.smartkarma.com/entities/samsung-sdi-co-ltd" target="_blank" data-smartkarma-citation="entities:503:1" rel="noopener">Samsung SDI (006400 KS)</a>.</p><p><a href="https://www.smartkarma.com/entities/krafton-inc" target="_blank" data-smartkarma-citation="entities:28956:1" rel="noopener"> Krafton Inc (259960 KS)</a> is also a Fast Entry to the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200-index" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX)</a> and there will be passive buying from those trackers as well.</p>

The KRX has announced the results of the September review of the BBIG indices and the changes will become effective after the close of trading on 9 September.These are the changes to the indices:
Secondary Battery ETF: SK IE Technology (361610 KS) replaces Chunbo Co Ltd (278280 KS)

Bio ETF: SK Bioscience (302440 KS) and Hanmi Pharm (128940 KS) join the index, replacing Shinpoong Pharmaceutical (019170 KS) and Seegene Inc (096530 KS). Additionally, SK Bioscience (302440 KS) replaces SK Biopharmaceuticals Co Ltd (326030 KS) in the top 3 stocks.
Internet ETF: KG Inicis Co Ltd (035600 KS) replaces Rsupport Co Ltd (131370 KS) 
Game ETF:  Krafton Inc (259960 KS) and Devsisters (194480 KS) replace Wemade Co., Ltd. (112040 KS) and Neptune Company (217270 KS)

BBIG ETF: SK Bioscience (302440 KS) and  Krafton Inc (259960 KS) replace SK Biopharmaceuticals Co Ltd (326030 KS) and Kakao Games Corp (293490 KS).
KRX has broken its own rules (everyone does it, so join in!) by including  Krafton Inc (259960 KS) even though the stock listed post the July-end cut off and there is no provision of Fast Entry in the index methodology.Stocks with the largest inflows are SK Bioscience (302440 KS),  Krafton Inc (259960 KS), SK IE Technology (361610 KS), LG Chem Ltd (051910 KS), SK Innovation (096770 KS) and Douzone Bizon (012510 KS) while the stocks with the largest outflows are Kakao Games Corp (293490 KS), SK Biopharmaceuticals Co Ltd (326030 KS), Kakao Corp (035720 KS), Posco Chemical Co Ltd (003670 KS), SKC Co Ltd (011790 KS) and Samsung SDI (006400 KS). Krafton Inc (259960 KS) is also a Fast Entry to the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) and there will be passive buying from those trackers as well.

KRX BBIG Index Rebalance: Krafton, SK Bioscience, SK IE Tech Included (Among Others)

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

<div class="content-highlight">
<p>The "K-Stop movement" made its first real move on <a href="https://www.smartkarma.com/entities/hlb-inc" target="_blank" data-smartkarma-citation="entities:16969:1" rel="noopener">HLB Inc (028300 KS) </a>today on July 15th. The K-Stop movement refers to "Korean Game Stop movement," where many Korean retail investors have gathered together to actively protest and trade against the institutional investors that have put short positions on various Korean stocks.</p>
<p>Similar to many retail investors in US that have traded heavily shorted stocks such as <a href="https://www.smartkarma.com/entities/gamestop-corp-class-a" target="_blank" data-smartkarma-citation="entities:13790:1" rel="noopener">GameStop (GME US) </a>and AMC, many Korean retail investors also want to capitalize on such potential buying of heavily shorted stocks in Korea. </p>
</div>


The "K-Stop movement" made its first real move on HLB Inc (028300 KS) today on July 15th. The K-Stop movement refers to "Korean Game Stop movement," where many Korean retail investors have gathered together to actively protest and trade against the institutional investors that have put short positions on various Korean stocks.
Similar to many retail investors in US that have traded heavily shorted stocks such as GameStop (GME US) and AMC, many Korean retail investors also want to capitalize on such potential buying of heavily shorted stocks in Korea. 


The Rise of the K-Stop Movement: Makes Its First Real Move on HLB

<p>Celltrion is still struggling to catch up with Celltrion Healthcare. <strong>The Celltrion (Long) &amp; Celltrion Healthcare (Short) pair continues to be in a diversion of near -2.0σ</strong>. Celltrion made a 2+% gain earlier today but is now back to the previous close.</p><table class="table table-striped">
<colgroup>
<col width="70">
<col width="70">
<col width="70">
<col width="70">
<col width="70">
<col width="70">
</colgroup>
<tbody>
<tr>
<td style="width: 222.727px;" 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: 108.182px;" data-sheets-value='{"1":2,"2":"Today"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]'>Today</td>
<td style="text-align: right; width: 112.727px;" data-sheets-value='{"1":2,"2":"T-1"}'>T-1</td>
<td style="text-align: right; width: 96.3636px;" data-sheets-value='{"1":2,"2":"T-2"}'>T-2</td>
<td style="text-align: right; width: 100px;" data-sheets-value='{"1":2,"2":"T-3"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]'>T-3</td>
</tr>
<tr>
<td style="width: 222.727px;" data-sheets-value='{"1":2,"2":"Celltrion, Inc."}' data-sheets-formula="=R[-8]C[0]">Celltrion, Inc. / Celltrion Healthcare</td>
<td style="text-align: right; width: 108.182px;" data-sheets-value='{"1":3,"3":-1.7681341462103701}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$2")'><strong>-1.77</strong></td>
<td style="text-align: right; width: 112.727px;" data-sheets-value='{"1":3,"3":-2.0626425593335966}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$3")'>-2.06</td>
<td style="text-align: right; width: 96.3636px;" data-sheets-value='{"1":3,"3":-0.3625908704099981}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$4")'>-0.36</td>
<td style="text-align: right; width: 100px;" data-sheets-value='{"1":3,"3":-0.02927230344234097}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$5")'>-0.03</td>
</tr>
<tr><td colspan="5" style="width: 723.636px;">Source: KRX</td></tr>
</tbody>
</table><p>Celltrion has recovered a bit this year relative to Celltrion Healthcare since the harsh diversion that started late last year with the progress of a merger plan. </p><section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/207/918/original/Celltrion+%26+Celltrion+Healthcare.png?1621571531" class="editor-image img-responsive" data-smartkarma-image-id="207918"></figure><p>But the duo's price ratio (Celltrion in the numerator for Long and Celltrion Healthcare in the denominator for Short) is still <strong>8.73% below the 180-day average</strong> and 25.73% down from the 180-day high.</p></section><table class="table table-striped">
<colgroup>
<col width="70">
<col width="70">
</colgroup>
<tbody>
<tr><td colspan="2" rowspan="1" data-sheets-value='{"1":2,"2":"Celltrion, Inc."}' data-sheets-formula="=R[-52]C[0]">Celltrion, Inc.</td></tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Current sigma on a 20-day moving average"}'><strong>Current sigma on a 20-day moving average</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-1.7681341462103701}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect("$B"&amp;R70C[0])'><strong>-1.77</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Current price ratio"}'>Current price ratio</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":2.317909168808912}' data-sheets-numberformat='[null,2,"#,##0.00000",1]' data-sheets-formula='=indirect("$E"&amp;R71C[0])'>2.31791</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"%Δ to 180-day mean"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]'><strong>%Δ to 180-day mean</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.08731840377275689}' data-sheets-numberformat='[null,3,"0.00%",1]' data-sheets-formula='=indirect("$B"&amp;R71C[0])'><strong>-8.73%</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"%Δ to 180-day high"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]'><strong>%Δ to 180-day high</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.25733095771721204}' data-sheets-numberformat='[null,3,"0.00%",1]' data-sheets-formula='=indirect("$C"&amp;R71C[0])'><strong>-25.73%</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"%Δ to 180-day low"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]'>%Δ to 180-day low</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.12060069168315744}' data-sheets-numberformat='[null,3,"0.00%",1]' data-sheets-formula='=indirect("$D"&amp;R71C[0])'>12.06%</td>
</tr>
<tr><td colspan="2" rowspan="1" data-sheets-value='{"1":2,"2":"Source: KRX"}'>Source: KRX</td></tr>
</tbody>
</table><p>The Long/Short trade on the Celltrion and Celltrion Healthcare pair features a pretty tight correlation and cointegration, estimated by a 180-day price Δ beta. Their 180-day correlation coefficient sits at +0.84215. Also, their 180-day price change beta is 0.76771, which also implies a hedge ratio for a short position on Celltrion Healthcare.</p><table class="table table-striped">
<colgroup>
<col width="200">
<col width="200">
<col width="70">
<col width="70">
</colgroup>
<tbody>
<tr>
<td style="width: 174.545px;" data-sheets-value='{"1":2,"2":"Comp 1 (long)"}'>Comp 1 (Long)</td>
<td style="width: 212.727px;" data-sheets-value='{"1":2,"2":"Comp 2 (short)"}'>Comp 2 (Short)</td>
<td style="text-align: right; width: 129.091px;" data-sheets-value='{"1":2,"2":"180-day correlation coefficient"}'>180-day correlation coefficient</td>
<td style="text-align: right; width: 144.545px;" data-sheets-value='{"1":2,"2":"Cointegration coefficient (180-day price Δ beta)"}'>Cointegration coefficient (180-day price Δ beta)</td>
</tr>
<tr>
<td style="width: 174.545px;" data-sheets-value='{"1":2,"2":"Celltrion, Inc."}'>Celltrion, Inc.</td>
<td style="width: 212.727px;" data-sheets-value='{"1":2,"2":"Celltrion HealthCare Co Ltd"}'>Celltrion HealthCare Co Ltd</td>
<td style="text-align: right; width: 129.091px;" data-sheets-value='{"1":3,"3":0.8421486059768682}' data-sheets-numberformat='[null,2,"#,##0.00000",1]'><strong>0.84215</strong></td>
<td style="text-align: right; width: 144.545px;" data-sheets-value='{"1":3,"3":0.7677091119717393}' data-sheets-numberformat='[null,2,"#,##0.00000",1]' data-sheets-formula="=Beta!R[2]C[-2]"><strong>0.76771</strong></td>
</tr>
<tr><td colspan="4" style="width: 174.545px;">Source: KRX</td></tr>
</tbody>
</table>

Celltrion is still struggling to catch up with Celltrion Healthcare. The Celltrion (Long) &amp; Celltrion Healthcare (Short) pair continues to be in a diversion of near -2.0σ. Celltrion made a 2+% gain earlier today but is now back to the previous close.










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


Celltrion, Inc. / Celltrion Healthcare
-1.77
-2.06
-0.36
-0.03

Source: KRX

Celltrion has recovered a bit this year relative to Celltrion Healthcare since the harsh diversion that started late last year with the progress of a merger plan. But the duo's price ratio (Celltrion in the numerator for Long and Celltrion Healthcare in the denominator for Short) is still 8.73% below the 180-day average and 25.73% down from the 180-day high.





Celltrion, Inc.

Current sigma on a 20-day moving average
-1.77


Current price ratio
2.31791


%Δ to 180-day mean
-8.73%


%Δ to 180-day high
-25.73%


%Δ to 180-day low
12.06%

Source: KRX

The Long/Short trade on the Celltrion and Celltrion Healthcare pair features a pretty tight correlation and cointegration, estimated by a 180-day price Δ beta. Their 180-day correlation coefficient sits at +0.84215. Also, their 180-day price change beta is 0.76771, which also implies a hedge ratio for a short position on Celltrion Healthcare.








Comp 1 (Long)
Comp 2 (Short)
180-day correlation coefficient
Cointegration coefficient (180-day price Δ beta)


Celltrion, Inc.
Celltrion HealthCare Co Ltd
0.84215
0.76771

Source: KRX



Celltrion Merger Situation & Long/Short on the Celltrion Duo

South Korea

Celltrion Pharm Inc. manufactures and sells pharmaceutical products.  The Company products inclue drugs for for hepatic diseases, digestion, diabetes, cold and fever, anti-inflammatory, and veterinary medical products.  Celltrion also provides pharmaceutical raw materials.

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Celltrion Pharm (068760 KS)

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