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

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

Gravity Works As WeWork Doesn't; Now Plan B

Clepsydra Capital

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

Event-Driven

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