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

Sanghyun Park

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

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

Event-Driven

<ul>
<li>The value accretion that will occur by unlocking treasury shares will be more significant than Hyundai Dept. The treasury shares account for 10.64%, compared with 6.61% for Hyundai Dept.</li>
<li>Neither Holdco nor Opco will likely remain in the KOSPI 200 after relisting. So we cannot expect PASSIVE inflow at the time of relisting.</li>
<li>A tender will likely follow. However, neither is available for shorting. So, we should use Opco's overheated price adjustment as an exit timing for our positions aimed at value accretion.</li>
</ul>


The value accretion that will occur by unlocking treasury shares will be more significant than Hyundai Dept. The treasury shares account for 10.64%, compared with 6.61% for Hyundai Dept.
Neither Holdco nor Opco will likely remain in the KOSPI 200 after relisting. So we cannot expect PASSIVE inflow at the time of relisting.
A tender will likely follow. However, neither is available for shorting. So, we should use Opco's overheated price adjustment as an exit timing for our positions aimed at value accretion.


Trading Angles of Hyundai Green Food Demerger, with Potential Tender & Hive-Off

<ul>
<li>This is an equity spinoff where the existing shareholders receive shares in the spun-off company. But this creates two LISTED companies. In such a case, there won't be appraisal rights.</li>
<li>PASSIVE's selling flow towards the trade suspension tends to be offset by ACTIVE's buying flow aiming for value accretion. So, developing a timely entry/exit between these opposing flows is critical.</li>
<li>Holdco's 30% rule dynamic generally, in relative terms, leads to an increase in the value of Opco's stake and a decline in the value of Holdco's stake.</li>
</ul>


This is an equity spinoff where the existing shareholders receive shares in the spun-off company. But this creates two LISTED companies. In such a case, there won't be appraisal rights.
PASSIVE's selling flow towards the trade suspension tends to be offset by ACTIVE's buying flow aiming for value accretion. So, developing a timely entry/exit between these opposing flows is critical.
Holdco's 30% rule dynamic generally, in relative terms, leads to an increase in the value of Opco's stake and a decline in the value of Holdco's stake.


A Walkthrough of Hyundai Department Store Demerger Event

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

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Hyundai Home Shopping Network / Event-Driven

<ul>
<li>A third of the way through the review period, we see one potential change. There are four stocks that are close to inclusion zone and could lead to more changes.</li>
<li>Currently, Miwon Specialty Chemical Co (268280 KS) is an add while <a href="https://www.smartkarma.com/entities/hyundai-home-shopping-network-corp" target="_blank" data-smartkarma-citation="entities:2357:1" rel="noopener">Hyundai Home Shopping Network (057050 KS)</a> is a delete.</li>
<li>
<a href="https://www.smartkarma.com/entities/samyang-foods-co-ltd" target="_blank" data-smartkarma-citation="entities:9100:1" rel="noopener">Samyang Foods (003230 KS)</a>, <a href="https://www.smartkarma.com/entities/lotte-confectionery-co-ltd-1feb0155-08b6-44eb-bdbd-8d67cf757dac" target="_blank" data-smartkarma-citation="entities:25993:1" rel="noopener">Lotte Confectionery (280360 KS)</a>, <a href="https://www.smartkarma.com/entities/unid-co-ltd" target="_blank" data-smartkarma-citation="entities:11197:1" rel="noopener">Unid Co Ltd (014830 KS)</a> and <a href="https://www.smartkarma.com/entities/miwon-commercial-co-ltd" target="_blank" data-smartkarma-citation="entities:13416:1" rel="noopener">Miwon Commercial (002840 KS)</a> are close adds currently.</li>
</ul>


A third of the way through the review period, we see one potential change. There are four stocks that are close to inclusion zone and could lead to more changes.
Currently, Miwon Specialty Chemical Co (268280 KS) is an add while Hyundai Home Shopping Network (057050 KS) is a delete.

Samyang Foods (003230 KS), Lotte Confectionery (280360 KS), Unid Co Ltd (014830 KS) and Miwon Commercial (002840 KS) are close adds currently.


KOSPI200 Dec Index Rebalance Preview: Stocks Nearing the Inclusion Zone

CEO, A. Stotz Investment Research

Dr. Andrew Stotz, CFA

Quantamental Investing to beat Benchmarks

A. Stotz Investment Research

We pick stocks. We construct portfolios. All our effort is focused on how to better pick stocks and construct portfolios. We serve fund management companies, family offices, and high net worth individuals.

Thematic (Sector/Industry)

<p>We highlight 14 stocks in Asia that look interesting to us based upon our FVMR Methodology. Our research team constantly reviews the Asian markets to try to find interesting ideas based on Fundamentals or Valuation or Momentum or Risk or some combination thereof.</p>

We highlight 14 stocks in Asia that look interesting to us based upon our FVMR Methodology. Our research team constantly reviews the Asian markets to try to find interesting ideas based on Fundamentals or Valuation or Momentum or Risk or some combination thereof.

<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">
<colgroup>
<col width="70">
<col width="70">
<col width="70">
<col width="70">
</colgroup>
<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$4")'>0.24</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Hyundai Department Store Co Ltd/Shinsegae Inc"}' data-sheets-formula='=Data!R[-16]C[11]&amp;"/"&amp;Data!R[-16]C[12]'><strong>Hyundai Department Store Co Ltd/Shinsegae Inc</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-2.8654321706876544}' data-sheets-numberformat='{"1":2,"2":"#,##0.00","3":1}' data-sheets-formula='=indirect(R[0]C8&amp;"!$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$4")'><strong>-1.81</strong></td>
</tr>
<tr><td colspan="4">Source: KRX<strong><br></strong>
</td></tr>
</tbody>
</table><p>The current price ratio is 5.46% below the 180-day average and 17.28% below the 180-day high. What's noteworthy is that the price ratio fell 12.2% only in 9 trading sessions, causing a 4σ movement downwardly for Hyundai Dept.</p><section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/204/512/original/Hyundai+Dept.+vs.+Shinsegae.png?1620244530" class="editor-image img-responsive" data-smartkarma-image-id="204512"></figure></section><table class="table table-striped">
<colgroup>
<col width="70">
<col width="70">
</colgroup>
<tbody>
<tr><td colspan="2" style="width: 723.636px;" data-sheets-value='{"1":2,"2":"Hyundai Department Store Co Ltd/Shinsegae Inc"}' data-sheets-formula="=R[-49]C[-10]">Hyundai Department Store Co Ltd/Shinsegae Inc</td></tr>
<tr>
<td style="width: 351.818px;" data-sheets-value='{"1":2,"2":"Current price ratio"}'>Current price ratio</td>
<td style="text-align: right; width: 350.909px;" data-sheets-value='{"1":3,"3":0.28462757527733756}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula='=indirect("$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":"[$₩]#,##0"}'><strong>%Δ to 180-day mean</strong></td>
<td style="text-align: right; width: 350.909px;" data-sheets-value='{"1":3,"3":-0.05460355438237345}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula='=indirect("$C"&amp;R74C[0])'><strong>-5.46%</strong></td>
</tr>
<tr>
<td style="width: 351.818px;" data-sheets-value='{"1":2,"2":"%Δ to 180-day high"}' data-sheets-numberformat='{"1":4,"2":"[$₩]#,##0"}'><strong>%Δ to 180-day high</strong></td>
<td style="text-align: right; width: 350.909px;" data-sheets-value='{"1":3,"3":-0.1727905582093986}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula='=indirect("$D"&amp;R74C[0])'><strong>-17.28%</strong></td>
</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

South Korea

Hyundai Department Store Co., Ltd. operates department stores under the name of Hyundai Department over nationwide.  The Company also produces home shopping programs for cable channels and sells merchandise through home shopping programs.

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

Hyundai Dept Store Co (069960 KS)

Trading Angles of Hyundai Green Food Demerger, with Potential Tender & Hive-Off

This post is a deep-dive investigation into the Hyundai Green Food demerger event, with a potential tender offer and hive-off that will likely...

Sanghyun Park

A Walkthrough of Hyundai Department Store Demerger Event

This post is a detailed walkthrough of the Hyundai Department Store demerger, officially announced last Friday. It includes the demerger process...

Sanghyun Park

KOSPI200 Dec Index Rebalance Preview: Stocks Nearing the Inclusion Zone

We currently see one potential change to the KOSPI200 in Dec, though there are 4 more changes possible. There will be a lot to trade on some stocks...

Brian Freitas

The Stocks to Own in Asia – Vol. 33

Since its inception, our FVMR Asia strategy has generated a before-fee total return of 95% versus the MSCI Asia ex Japan of 97%.

A. Stotz Investment Research

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

Price Gauge

52-week Range

Market Cap (USDm)

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