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 Financials: Woori Vs. Shinhan Price Ratio at a 180-Day Low

Korea Banks 20% Dividend Cap Scrapping: Projected Div Payout & Yield of 8 Bank Stocks

Shinhan Financial Quarterly Dividends: Procedural Issues, Stress Test, & Payment Size

Korea Sector Pair Trade: Financials, Retail, & Industrials

Potential Trades on HMG Stocks Amid Hyundai Eng IPO: Loan/Short Int Flow & 20D MA σ

Glovis Block Deals by Chung & Buy Mobis Shares: Unlikely to Happen

Gravity Works As WeWork Doesn't; Now Plan B

Clepsydra Capital

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

Event-Driven

<p>Hyundai mobis continues to be in a harsh diversion relative to its siblings, Kia Corp and Hyundai Motor. It is at a -2.25σ on a 20-day moving average vs. Kia Corp. The 20-day sigma relative to Hyundai Motor is -1.55 now. </p><table class="table table-striped">
<colgroup>
<col width="70">
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<tbody>
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<td style="width: 147.682px;" data-sheets-value='{"1":2,"2":"Comp 1 (Long)"}'>Comp 1 (Long)</td>
<td style="width: 115.56px;" data-sheets-value='{"1":2,"2":"Comp 2 (Short)"}'>Comp 2 (Short)</td>
<td style="text-align: right; width: 117.552px;" data-sheets-value='{"1":2,"2":"Sigma on a 20-day moving average"}'>Sigma on a 20-day moving average</td>
<td style="text-align: right; width: 127.604px;" data-sheets-value='{"1":2,"2":"180-day correlation coefficient"}'>180-day correlation coefficient</td>
<td style="text-align: right; width: 133.659px;" 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: 147.682px;" data-sheets-value='{"1":2,"2":"HYUNDAI MOBIS CO., LTD."}' data-sheets-formula="=Data!R[-1]C[1]"><strong>HYUNDAI MOBIS CO., LTD.</strong></td>
<td style="width: 115.56px;" data-sheets-value='{"1":2,"2":"Kia Corp"}' data-sheets-formula="=Data!R[-1]C[1]"><strong>Kia Corp</strong></td>
<td style="text-align: right; width: 117.552px;" data-sheets-value='{"1":3,"3":-2.2518639492767143}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula="=R[8]C[-1]"><strong>-2.25</strong></td>
<td style="text-align: right; width: 127.604px;" data-sheets-value='{"1":3,"3":0.7480010585761807}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=correl(index(googlefinance(R[0]C[2], "price",today()-200, today()), 0,2), index(googlefinance(R[0]C[3], "price",today()-200, today()), 0,2))'>0.75</td>
<td style="text-align: right; width: 133.659px;" data-sheets-value='{"1":3,"3":0.5563729124603229}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula="=Beta!R[2]C[-3]">0.56</td>
</tr>
<tr>
<td style="width: 147.682px;" data-sheets-value='{"1":2,"2":"HYUNDAI MOBIS CO., LTD."}' data-sheets-formula="=Data!R[-2]C[3]"><strong>HYUNDAI MOBIS CO., LTD.</strong></td>
<td style="width: 115.56px;" data-sheets-value='{"1":2,"2":"Hyundai Motor Co"}' data-sheets-formula="=Data!R[-2]C[3]"><strong>Hyundai Motor Co</strong></td>
<td style="text-align: right; width: 117.552px;" data-sheets-value='{"1":3,"3":-1.5544482164241549}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula="=R[8]C[-1]"><strong>-1.55</strong></td>
<td style="text-align: right; width: 127.604px;" data-sheets-value='{"1":3,"3":0.929675478057548}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=correl(index(googlefinance(R[0]C[2], "price",today()-200, today()), 0,2), index(googlefinance(R[0]C[3], "price",today()-200, today()), 0,2))'>0.93</td>
<td style="text-align: right; width: 133.659px;" data-sheets-value='{"1":3,"3":0.7886057127133221}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula="=Beta!R[1]C[-1]">0.79</td>
</tr>
<tr><td colspan="5" style="width: 726.016px;">Source: KRX</td></tr>
</tbody>
</table><p>The current price ratio is 19.25% and 9.09% below the 180-day mean vs. Kia Corp and Hyundai Motor, respectively. Mobis is currently at a 180-day low to both Kia and Hyundai Motor.</p><table class="table table-striped">
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<col width="70">
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<tbody>
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<td style="width: 149.466px;" data-sheets-value='{"1":2,"2":"Comp 1 (Long)"}'>Comp 1 (Long)</td>
<td style="width: 120.391px;" data-sheets-value='{"1":2,"2":"Comp 2 (Short)"}'>Comp 2 (Short)</td>
<td style="text-align: right; width: 118.372px;" data-sheets-value='{"1":2,"2":"Price ratio %Δ to 180-day mean"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]'>Price ratio %Δ to 180-day mean</td>
<td style="text-align: right; width: 128.398px;" data-sheets-value='{"1":2,"2":"Price ratio %Δ to 180-day high"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]'>Price ratio %Δ to 180-day high</td>
<td style="text-align: right; width: 125.43px;" data-sheets-value='{"1":2,"2":"Price ratio %Δ to 180-day low"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]'>Price ratio %Δ to 180-day low</td>
</tr>
<tr>
<td style="width: 149.466px;" data-sheets-value='{"1":2,"2":"HYUNDAI MOBIS CO., LTD."}' data-sheets-formula="=R[-16]C[0]"><strong>HYUNDAI MOBIS CO., LTD.</strong></td>
<td style="width: 120.391px;" data-sheets-value='{"1":2,"2":"Kia Corp"}' data-sheets-formula="=R[-16]C[0]"><strong>Kia Corp</strong></td>
<td style="text-align: right; width: 118.372px;" data-sheets-value='{"1":3,"3":-0.19253623208265946}' data-sheets-numberformat='[null,3,"0.00%",1]' data-sheets-formula="=(R[0]C6-R[0]C[4])/R[0]C[4]"><strong>-19.25%</strong></td>
<td style="text-align: right; width: 128.398px;" data-sheets-value='{"1":3,"3":-0.3974244135311329}' data-sheets-numberformat='[null,3,"0.00%",1]' data-sheets-formula="=(R[0]C6-R[0]C[4])/R[0]C[4]">-39.74%</td>
<td style="text-align: right; width: 125.43px;" data-sheets-value='{"1":3,"3":0}' data-sheets-numberformat='[null,3,"0.00%",1]' data-sheets-formula="=(R[0]C6-R[0]C[4])/R[0]C[4]">0.00%</td>
</tr>
<tr>
<td style="width: 149.466px;" data-sheets-value='{"1":2,"2":"HYUNDAI MOBIS CO., LTD."}' data-sheets-formula="=R[-16]C[0]"><strong>HYUNDAI MOBIS CO., LTD.</strong></td>
<td style="width: 120.391px;" data-sheets-value='{"1":2,"2":"Hyundai Motor Co"}' data-sheets-formula="=R[-16]C[0]"><strong>Hyundai Motor Co</strong></td>
<td style="text-align: right; width: 118.372px;" data-sheets-value='{"1":3,"3":-0.09085981735173156}' data-sheets-numberformat='[null,3,"0.00%",1]' data-sheets-formula="=(R[0]C6-R[0]C[4])/R[0]C[4]"><strong>-9.09%</strong></td>
<td style="text-align: right; width: 128.398px;" data-sheets-value='{"1":3,"3":-0.18788573693448832}' data-sheets-numberformat='[null,3,"0.00%",1]' data-sheets-formula="=(R[0]C6-R[0]C[4])/R[0]C[4]">-18.79%</td>
<td style="text-align: right; width: 125.43px;" data-sheets-value='{"1":3,"3":0}' data-sheets-numberformat='[null,3,"0.00%",1]' data-sheets-formula="=(R[0]C6-R[0]C[4])/R[0]C[4]">0.00%</td>
</tr>
<tr><td colspan="5" style="width: 726.016px;">Source: KRX</td></tr>
</tbody>
</table><section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/209/837/original/HYUNDAI+MOBIS+CO.%2C+LTD.+vs.+Kia+Corp.png?1622273377" class="editor-image img-responsive" data-smartkarma-image-id="209837"></figure></section><section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/209/838/original/HYUNDAI+MOBIS+CO.%2C+LTD.+vs.+Hyundai+Motor+Co.png?1622273387" class="editor-image img-responsive" data-smartkarma-image-id="209838"></figure></section>

Hyundai mobis continues to be in a harsh diversion relative to its siblings, Kia Corp and Hyundai Motor. It is at a -2.25σ on a 20-day moving average vs. Kia Corp. The 20-day sigma relative to Hyundai Motor is -1.55 now. 









Comp 1 (Long)
Comp 2 (Short)
Sigma on a 20-day moving average
180-day correlation coefficient
Cointegration coefficient (180-day price Δ beta)


HYUNDAI MOBIS CO., LTD.
Kia Corp
-2.25
0.75
0.56


HYUNDAI MOBIS CO., LTD.
Hyundai Motor Co
-1.55
0.93
0.79

Source: KRX

The current price ratio is 19.25% and 9.09% below the 180-day mean vs. Kia Corp and Hyundai Motor, respectively. Mobis is currently at a 180-day low to both Kia and Hyundai Motor.









Comp 1 (Long)
Comp 2 (Short)
Price ratio %Δ to 180-day mean
Price ratio %Δ to 180-day high
Price ratio %Δ to 180-day low


HYUNDAI MOBIS CO., LTD.
Kia Corp
-19.25%
-39.74%
0.00%


HYUNDAI MOBIS CO., LTD.
Hyundai Motor Co
-9.09%
-18.79%
0.00%

Source: KRX



Korea Sector Pair: Hyundai Mobis Vs. Kia and Hyundai Motor