Korea / Special Sits, Pairs, Index Rebalancing, Clepsydra Capital

Sanghyun Park

Korea / Special Sits, Pairs, Index Rebalancing

Event-Driven

<p>Amore holding company is now at -2.1σ on a 20D MA relative to Amorepacific.</p><table class="table table-striped">
<colgroup>
<col width="300">
<col width="300">
<col width="300">
</colgroup>
<tbody>
<tr><td colspan="3" rowspan="1" data-sheets-value='{"1":2,"2":"% of sigma"}' data-sheets-numberformat='{"1":2,"2":"#,##0"}'>% of sigma</td></tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Today"}'>Today</td>
<td colspan="2" rowspan="1" style="text-align: right;" data-sheets-value='{"1":3,"3":-2.0935650379435686}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=Data!R[0]C[6]">-209.36%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"T-1"}'>T-1</td>
<td colspan="2" rowspan="1" style="text-align: right;" data-sheets-value='{"1":3,"3":-1.189723840254671}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=Data!R[0]C[6]">-118.97%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"T-2"}'>T-2</td>
<td colspan="2" rowspan="1" style="text-align: right;" data-sheets-value='{"1":3,"3":-0.432176134420178}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=Data!R[0]C[6]">-43.22%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"T-3"}'>T-3</td>
<td colspan="2" rowspan="1" style="text-align: right;" data-sheets-value='{"1":3,"3":-1.219149193133675}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=Data!R[0]C[6]">-121.91%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"T-4"}'>T-4</td>
<td colspan="2" rowspan="1" style="text-align: right;" data-sheets-value='{"1":3,"3":0.261794857719485}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=Data!R[0]C[6]">26.18%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"T-5"}'>T-5</td>
<td colspan="2" rowspan="1" style="text-align: right;" data-sheets-value='{"1":3,"3":-1.2072576106460915}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=Data!R[0]C[6]">-120.73%</td>
</tr>
<tr><td colspan="3" rowspan="1" data-sheets-value='{"1":2,"2":"Source: KRX"}'><em>Source: KRX</em></td></tr>
</tbody>
</table><p>The price ratio currently sits at 0.296, a new 120D low, and pretty close to the 2Y low.</p><p>It is 6.8% down from the 120D mean and 16.4% down from the 120D high.</p><table class="table table-striped">
<colgroup>
<col width="300">
<col width="300">
<col width="300">
</colgroup>
<tbody>
<tr><td colspan="3" rowspan="1" data-sheets-value='{"1":2,"2":"Price ratio"}' data-sheets-numberformat='{"1":2,"2":"#,##0"}'>Price ratio</td></tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Today"}'>Today</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.2963076923076923}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=Data!R[-9]C[1]">0.29631</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"-"}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}'>-</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"20D MA"}'>20D MA</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.30229664561059055}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=Data!R[-10]C[2]">0.30230</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"-"}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}'>-</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"σ"}'>σ</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.0028606483172746106}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=Data!R[-11]C[5]">0.00286</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"-"}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}'>-</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"+1 σ"}' data-sheets-formula='="+1 σ"'>+1 σ</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.30515729392786517}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=Data!R[-12]C[3]">0.30516</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"-"}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}'>-</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"-1 σ"}' data-sheets-formula='="-1 σ"'>-1 σ</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.29943599729331594}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=Data!R[-13]C[4]">0.29944</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"-"}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}'>-</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"120D mean"}'>120D mean</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.3178130338953685}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=average(Data!R2C3:R100C3)">0.31781</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.06766664451765769}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=(R11C[-1]-R[0]C[-1])/R[0]C[-1]">-6.77%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"120D median"}'>120D median</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.31954674220963175}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=MEDIAN(Data!R2C3:R100C3)">0.31955</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.07272504091653029}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=(R11C[-1]-R[0]C[-1])/R[0]C[-1]">-7.27%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"120D high"}'>120D high</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.35460122699386504}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=MAX(Data!R2C3:R100C3)">0.35460</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.1643918019696566}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=(R11C[-1]-R[0]C[-1])/R[0]C[-1]">-16.44%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"120D low"}'>120D low</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.2963076923076923}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=MIN(Data!R2C3:R100C3)">0.29631</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=(R11C[-1]-R[0]C[-1])/R[0]C[-1]">0.00%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"1Y mean"}'>1Y mean</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.36200240542223466}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=average(Data!R2C3:R248C3)">0.36200</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.1814759021778237}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=(R11C[-1]-R[0]C[-1])/R[0]C[-1]">-18.15%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"1Y median"}'>1Y median</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.3412790697674419}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=MEDIAN(Data!R2C3:R248C3)">0.34128</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.1317730310575285}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=(R11C[-1]-R[0]C[-1])/R[0]C[-1]">-13.18%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"1Y high"}'>1Y high</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.49379310344827587}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=MAX(Data!R2C3:R248C3)">0.49379</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.39993553932101417}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=(R11C[-1]-R[0]C[-1])/R[0]C[-1]">-39.99%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"1Y low"}'>1Y low</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.27456140350877195}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=MIN(Data!R2C3:R248C3)">0.27456</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.07920373556156303}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=(R11C[-1]-R[0]C[-1])/R[0]C[-1]">7.92%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"2Y mean"}'>2Y mean</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.3713260609712572}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=average(Data!R2C3:R476C3)">0.37133</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.2020282887426308}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=(R11C[-1]-R[0]C[-1])/R[0]C[-1]">-20.20%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"2Y median"}'>2Y median</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.3689655172413793}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=MEDIAN(Data!R2C3:R476C3)">0.36897</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.1969230769230769}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=(R11C[-1]-R[0]C[-1])/R[0]C[-1]">-19.69%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"2Y high"}'>2Y high</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.49379310344827587}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=MAX(Data!R2C3:R476C3)">0.49379</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.39993553932101417}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=(R11C[-1]-R[0]C[-1])/R[0]C[-1]">-39.99%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"2Y low"}'>2Y low</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.27456140350877195}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=MIN(Data!R2C3:R476C3)">0.27456</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.07920373556156303}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=(R11C[-1]-R[0]C[-1])/R[0]C[-1]">7.92%</td>
</tr>
<tr><td colspan="3" rowspan="1" data-sheets-value='{"1":2,"2":"Source: KRX"}'><em>Source: KRX</em></td></tr>
</tbody>
</table><p>The downward trend for the holding company, which began about a year ago, still seems alive.</p><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/161/057/original/chart%20%282%29.png?1600897928" class="editor-image img-responsive" data-smartkarma-image-id="161057"></figure>

Amore holding company is now at -2.1σ on a 20D MA relative to Amorepacific.






% of sigma

Today
-209.36%


T-1
-118.97%


T-2
-43.22%


T-3
-121.91%


T-4
26.18%


T-5
-120.73%

Source: KRX

The price ratio currently sits at 0.296, a new 120D low, and pretty close to the 2Y low.It is 6.8% down from the 120D mean and 16.4% down from the 120D high.






Price ratio

Today
0.29631
-


20D MA
0.30230
-


σ
0.00286
-


+1 σ
0.30516
-


-1 σ
0.29944
-


120D mean
0.31781
-6.77%


120D median
0.31955
-7.27%


120D high
0.35460
-16.44%


120D low
0.29631
0.00%


1Y mean
0.36200
-18.15%


1Y median
0.34128
-13.18%


1Y high
0.49379
-39.99%


1Y low
0.27456
7.92%


2Y mean
0.37133
-20.20%


2Y median
0.36897
-19.69%


2Y high
0.49379
-39.99%


2Y low
0.27456
7.92%

Source: KRX

The downward trend for the holding company, which began about a year ago, still seems alive.

Amore Stub At -2.1σ: Expect Reversion for Three Reasons

<p>Amorepacific had a 5.33% gain last Friday. But its holding company didn't catch up as it ended with only a 1.58% gain. </p><p>As a result? The duo made a nearly one sigma shift on a 20D MA last Friday alone. They are now at -1.7σ.</p><p>Price ratio-wise, the Amore pair is currently a little higher than the March crash level. Still, they are about 20% lower than the 1-yr mean and 10% down even from the 120D mean.</p><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/142/844/original/1.png?1593374317" class="editor-image img-responsive" data-smartkarma-image-id="142844"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/142/845/original/2.png?1593374334" class="editor-image img-responsive" data-smartkarma-image-id="142845"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/142/846/original/5.png?1593374372" class="editor-image img-responsive" data-smartkarma-image-id="142846"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/142/847/original/chart%20%281%29.png?1593374391" class="editor-image img-responsive" data-smartkarma-image-id="142847"></figure>

Amorepacific had a 5.33% gain last Friday. But its holding company didn't catch up as it ended with only a 1.58% gain. As a result? The duo made a nearly one sigma shift on a 20D MA last Friday alone. They are now at -1.7σ.Price ratio-wise, the Amore pair is currently a little higher than the March crash level. Still, they are about 20% lower than the 1-yr mean and 10% down even from the 120D mean.

Amore Stub Trade on the Sigma Shift of Last Friday

<p>We now have a new entry point of a stub trade on Amore. The duo is at -1.5σ on a 20D MA. The pair has created a pretty broad divergence (a nearly 2σ) in six trading days. Price ratio? It is quite close to the 2-yr low.</p><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/131/987/original/2.png?1588890893" class="editor-image img-responsive" data-smartkarma-image-id="131987"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/131/988/original/3.png?1588890903" class="editor-image img-responsive" data-smartkarma-image-id="131988"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/131/989/original/5.png?1588890926" class="editor-image img-responsive" data-smartkarma-image-id="131989"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/131/991/original/chart%20%281%29.png?1588890957" class="editor-image img-responsive" data-smartkarma-image-id="131991"></figure>

We now have a new entry point of a stub trade on Amore. The duo is at -1.5σ on a 20D MA. The pair has created a pretty broad divergence (a nearly 2σ) in six trading days. Price ratio? It is quite close to the 2-yr low.

Amore Stub: New Entry Point of Stub Trade

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

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Thematic (Sector/Industry)

<p>Consumer Staples are a good inflation hedge, but only if they can pass on the increase in raw material costs to end consumers. In a scenario of high unemployment and collapsing demand this may not always be possible.</p><p>We have taken a look at the change in short interest on Asian consumer staples names across Hong Kong, Korea, Taiwan and Japan to identify stocks that the market is betting on and against.</p><p>There is a fair bit of variability among the HK and Taiwan stocks, short interest has been broadly lower in Korea and has been plummeting in Japan. Investors can use the data as one of the inputs in identifying stocks that could benefit from an increase in inflation in the near/medium term.</p>

Consumer Staples are a good inflation hedge, but only if they can pass on the increase in raw material costs to end consumers. In a scenario of high unemployment and collapsing demand this may not always be possible.We have taken a look at the change in short interest on Asian consumer staples names across Hong Kong, Korea, Taiwan and Japan to identify stocks that the market is betting on and against.There is a fair bit of variability among the HK and Taiwan stocks, short interest has been broadly lower in Korea and has been plummeting in Japan. Investors can use the data as one of the inputs in identifying stocks that could benefit from an increase in inflation in the near/medium term.

Asian Consumer Staples - Inflation Hedge?

<p>We now have the across-the-board shorting restriction in Korea for the next six months. It means that we will have to adjust our approach on most of the pairs trading names. That is, it is time for those carrying futures to draw more attention.</p><p>First, let's look at the full list of Korean holding companies. There are a total of 112 holding companies. The below list shows them in the order of market cap.</p><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/123/135/original/1.png?1584294126" class="editor-image img-responsive" data-smartkarma-image-id="123135"></figure><p>Out of the 112 names, these are 21 holding companies with a current market cap of ₩500bil or more, and which have at least one listed subsidiary on either KOSPI or KOSDAQ.</p><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/123/136/original/2.png?1584294321" class="editor-image img-responsive" data-smartkarma-image-id="123136"></figure><p>Finally, below are the names whose one or two subsidiaries account for 50% or more of the holding company NAV. </p><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/123/139/original/3.png?1584295319" class="editor-image img-responsive" data-smartkarma-image-id="123139"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/123/143/original/4.png?1584295789" class="editor-image img-responsive" data-smartkarma-image-id="123143"></figure>

We now have the across-the-board shorting restriction in Korea for the next six months. It means that we will have to adjust our approach on most of the pairs trading names. That is, it is time for those carrying futures to draw more attention.First, let's look at the full list of Korean holding companies. There are a total of 112 holding companies. The below list shows them in the order of market cap.Out of the 112 names, these are 21 holding companies with a current market cap of ₩500bil or more, and which have at least one listed subsidiary on either KOSPI or KOSDAQ.Finally, below are the names whose one or two subsidiaries account for 50% or more of the holding company NAV. 

Korean Stub Trade in a New Era: List of Holdcos Having Single Stock Futures

South Korea

AMOREPACIFIC Group is an investment holding company. The Company, through its subsidiaries, produce cosmetics and toiletries.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Amorepacific Group (002790 KS)

Amore Stub At -2.1σ: Expect Reversion for Three Reasons

???

Sanghyun Park

Amore Stub Trade on the Sigma Shift of Last Friday

Amorepacific had a 5.33% gain last Friday. But its holding company didn't catch up as it ended with only a 1.58% gain. As a result? The duo made a...

Sanghyun Park

Amore Stub: New Entry Point of Stub Trade

We now have a new entry point of a stub trade on Amore. The duo is at -1.5σ on a 20D MA. The pair has created a pretty broad divergence (a nearly...

Sanghyun Park

Asian Consumer Staples - Inflation Hedge?

Consumer Staples are a good inflation hedge, but only if they can pass on the increase in raw material costs to end consumers. In a scenario of...

Brian Freitas

Korean Stub Trade in a New Era: List of Holdcos Having Single Stock Futures

We now have the across-the-board shorting restriction in Korea for the next six months. It means that we will have to adjust our approach on most...

Sanghyun Park

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)