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

LG Chem Pref Arb Trade: Capitalize on a Disparity Resulting from Index Rebalancing

Samsung SDI Ord's Price Gain on a Market Noise Last Friday: Two Pair Trades Worth Considering

Time to Short Samsung SDI on Inevitable ECO of Battery Unit or Massive Rights Offer

LG Chem Share Class Arb Presents Another Mid-March-Like Juicy Setup

Korea Preferred Shares Disparity & Sigma, Feat. Samsung Electronics 1P & CJ Corp 4PB

Clepsydra Capital

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

Event-Driven

Korea has a total of 121 preferred shares trading in the public stock market. At the last close, 10 preferred shares are below -1.5σ relative to their respective ordinary shares on a 20-day moving average. Three of them are below -2.0σ, including Samsung SDI 1P. <table class="table table-striped">
<colgroup>
<col width="200">
<col width="200">
<col width="100">
<col width="100">
</colgroup>
<tbody>
<tr>
<td style="width: 252.727px;" data-sheets-value='{"1":2,"2":"Preferred shares"}'>Preferred share</td>
<td style="width: 226.364px;" data-sheets-value='{"1":2,"2":"Ord"}'>Ordinary share</td>
<td style="text-align: right; width: 100px;" data-sheets-value='{"1":2,"2":"Disparity to ordinary share"}'>Disparity to ordinary share</td>
<td style="text-align: right; width: 81.8182px;" data-sheets-value='{"1":2,"2":"Sigma on a 20-day moving average"}'>Sigma on a 20-day moving average</td>
</tr>
<tr>
<td style="width: 252.727px;" data-sheets-value='{"1":2,"2":"Sungshin Cement Co Ltd 1P"}'>Sungshin Cement Co Ltd 1P</td>
<td style="width: 226.364px;" data-sheets-value='{"1":2,"2":"Sungshin Cement Co Ltd"}'>Sungshin Cement Co Ltd</td>
<td style="text-align: right; width: 100px;" data-sheets-value='{"1":3,"3":-0.3779527559055118}' data-sheets-numberformat='[null,3,"0.00%",1]'>-37.80%</td>
<td style="text-align: right; width: 81.8182px;" data-sheets-value='{"1":3,"3":-2.652932322814385}' data-sheets-numberformat='[null,2,"#,##0.00",1]'>-2.65</td>
</tr>
<tr>
<td style="width: 252.727px;" data-sheets-value='{"1":2,"2":"Samsung SDI Co Ltd 1P"}'>Samsung SDI Co Ltd 1P</td>
<td style="width: 226.364px;" data-sheets-value='{"1":2,"2":"Samsung SDI Co Ltd"}'>Samsung SDI Co Ltd</td>
<td style="text-align: right; width: 100px;" data-sheets-value='{"1":3,"3":0.35769828926905134}' data-sheets-numberformat='[null,3,"0.00%",1]'>35.77%</td>
<td style="text-align: right; width: 81.8182px;" data-sheets-value='{"1":3,"3":-2.4869804295474376}' data-sheets-numberformat='[null,2,"#,##0.00",1]'>-2.49</td>
</tr>
<tr>
<td style="width: 252.727px;" data-sheets-value='{"1":2,"2":"Kumkang Kind Co Ltd 1P"}'>Kumkang Kind Co Ltd 1P</td>
<td style="width: 226.364px;" data-sheets-value='{"1":2,"2":"Kumkang Kind Co Ltd"}'>Kumkang Kind Co Ltd</td>
<td style="text-align: right; width: 100px;" data-sheets-value='{"1":3,"3":-0.8367346938775511}' data-sheets-numberformat='[null,3,"0.00%",1]'>-83.67%</td>
<td style="text-align: right; width: 81.8182px;" data-sheets-value='{"1":3,"3":-2.2511038028914796}' data-sheets-numberformat='[null,2,"#,##0.00",1]'>-2.25</td>
</tr>
<tr>
<td style="width: 252.727px;" data-sheets-value='{"1":2,"2":"Mirae Asset Securities Co Ltd 1P"}'>Mirae Asset Securities Co Ltd 1P</td>
<td style="width: 226.364px;" data-sheets-value='{"1":2,"2":"Mirae Asset Securities Co Ltd"}'>Mirae Asset Securities Co Ltd</td>
<td style="text-align: right; width: 100px;" data-sheets-value='{"1":3,"3":0.348}' data-sheets-numberformat='[null,3,"0.00%",1]'>34.80%</td>
<td style="text-align: right; width: 81.8182px;" data-sheets-value='{"1":3,"3":-1.8353464801840684}' data-sheets-numberformat='[null,2,"#,##0.00",1]'>-1.84</td>
</tr>
<tr>
<td style="width: 252.727px;" data-sheets-value='{"1":2,"2":"Hyundai Engineering &amp; Construction Co. 1P"}'>Hyundai Engineering &amp; Construction Co. 1P</td>
<td style="width: 226.364px;" data-sheets-value='{"1":2,"2":"Hyundai Engineering &amp; Construction Co."}'>Hyundai Engineering &amp; Construction Co.</td>
<td style="text-align: right; width: 100px;" data-sheets-value='{"1":3,"3":-3.1254752851711025}' data-sheets-numberformat='[null,3,"0.00%",1]'>-312.55%</td>
<td style="text-align: right; width: 81.8182px;" data-sheets-value='{"1":3,"3":-1.7804411287688098}' data-sheets-numberformat='[null,2,"#,##0.00",1]'>-1.78</td>
</tr>
<tr>
<td style="width: 252.727px;" data-sheets-value='{"1":2,"2":"SK Securities Co., Ltd 1P"}'>SK Securities Co., Ltd 1P</td>
<td style="width: 226.364px;" data-sheets-value='{"1":2,"2":"SK Securities Co., Ltd"}'>SK Securities Co., Ltd</td>
<td style="text-align: right; width: 100px;" data-sheets-value='{"1":3,"3":-4.303482587064677}' data-sheets-numberformat='[null,3,"0.00%",1]'>-430.35%</td>
<td style="text-align: right; width: 81.8182px;" data-sheets-value='{"1":3,"3":-1.778269782640592}' data-sheets-numberformat='[null,2,"#,##0.00",1]'>-1.78</td>
</tr>
<tr>
<td style="width: 252.727px;" data-sheets-value='{"1":2,"2":"Hanyang Securities Co., Ltd. 1P"}'>Hanyang Securities Co., Ltd. 1P</td>
<td style="width: 226.364px;" data-sheets-value='{"1":2,"2":"Hanyang Securities Co., Ltd."}'>Hanyang Securities Co., Ltd.</td>
<td style="text-align: right; width: 100px;" data-sheets-value='{"1":3,"3":-0.5769230769230769}' data-sheets-numberformat='[null,3,"0.00%",1]'>-57.69%</td>
<td style="text-align: right; width: 81.8182px;" data-sheets-value='{"1":3,"3":-1.7597547389001398}' data-sheets-numberformat='[null,2,"#,##0.00",1]'>-1.76</td>
</tr>
<tr>
<td style="width: 252.727px;" data-sheets-value='{"1":2,"2":"Doosan Corp 2PB"}'>Doosan Corp 2PB</td>
<td style="width: 226.364px;" data-sheets-value='{"1":2,"2":"Doosan Corp"}'>Doosan Corp</td>
<td style="text-align: right; width: 100px;" data-sheets-value='{"1":3,"3":-0.016107382550335572}' data-sheets-numberformat='[null,3,"0.00%",1]'>-1.61%</td>
<td style="text-align: right; width: 81.8182px;" data-sheets-value='{"1":3,"3":-1.6412907716398928}' data-sheets-numberformat='[null,2,"#,##0.00",1]'>-1.64</td>
</tr>
<tr>
<td style="width: 252.727px;" data-sheets-value='{"1":2,"2":"Duksung Co Ltd 1P"}'>Duksung Co Ltd 1P</td>
<td style="width: 226.364px;" data-sheets-value='{"1":2,"2":"Duksung Co Ltd"}'>Duksung Co Ltd</td>
<td style="text-align: right; width: 100px;" data-sheets-value='{"1":3,"3":-0.6386554621848739}' data-sheets-numberformat='[null,3,"0.00%",1]'>-63.87%</td>
<td style="text-align: right; width: 81.8182px;" data-sheets-value='{"1":3,"3":-1.5966699157401607}' data-sheets-numberformat='[null,2,"#,##0.00",1]'>-1.60</td>
</tr>
<tr>
<td style="width: 252.727px;" data-sheets-value='{"1":2,"2":"Daesang Corp 1P"}'>Daesang Corp 1P</td>
<td style="width: 226.364px;" data-sheets-value='{"1":2,"2":"Daesang Corp"}'>Daesang Corp</td>
<td style="text-align: right; width: 100px;" data-sheets-value='{"1":3,"3":0.24910394265232974}' data-sheets-numberformat='[null,3,"0.00%",1]'>24.91%</td>
<td style="text-align: right; width: 81.8182px;" data-sheets-value='{"1":3,"3":-1.5934323730589053}' data-sheets-numberformat='[null,2,"#,##0.00",1]'>-1.59</td>
</tr>
<tr><td colspan="4" style="width: 252.727px;">Source: KRX</td></tr>
</tbody>
</table>Among the largest cap preferred shares having a market cap of +₩500B, 3 names are below -1.0σ (or close) on a 20-day moving average. Samsung SDI 1P tops the list at -2.49σ, followed by LG Chem 1P with -1.26σ and Hyundai Motor 1P with -0.91σ.<table class="table table-striped">
<colgroup>
<col width="200">
<col width="70">
<col width="70">
<col width="70">
</colgroup>
<tbody>
<tr>
<td data-sheets-value='{"1":2,"2":"Preferred share"}'>Preferred share</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Market cap"}'>Market cap</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Disparity to ordinary share"}'>Disparity to ordinary share</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Sigma on a 20-day moving average"}'>Sigma on a 20-day moving average</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Samsung Electronics Co Ltd 1P"}'>Samsung Electronics Co Ltd 1P</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":60070.7291}' data-sheets-numberformat='[null,2,"₩#,##0.0B"]'>₩60,070.7B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.08863920099875156}' data-sheets-numberformat='[null,3,"0.00%",1]'>8.86%</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.17793857994805093}' data-sheets-numberformat='[null,2,"#,##0.00",1]'>0.18</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Hyundai Motor Co 2PB"}'>Hyundai Motor Co 2PB</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":3995.1568845}' data-sheets-numberformat='[null,2,"₩#,##0.0B"]'>₩3,995.2B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.5186813186813187}' data-sheets-numberformat='[null,3,"0.00%",1]'>51.87%</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.569196648465938}' data-sheets-numberformat='[null,2,"#,##0.00",1]'>-0.57</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"LG Chem Ltd 1P"}'>LG Chem Ltd 1P</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":3137.0304}' data-sheets-numberformat='[null,2,"₩#,##0.0B"]'>₩3,137.0B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.5436241610738255}' data-sheets-numberformat='[null,3,"0.00%",1]'>54.36%</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-1.2600935362723429}' data-sheets-numberformat='[null,2,"#,##0.00",1]'>-1.26</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Hyundai Motor Co 1P"}'>Hyundai Motor Co 1P</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":2691.4136925}' data-sheets-numberformat='[null,2,"₩#,##0.0B"]'>₩2,691.4B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.5142857142857142}' data-sheets-numberformat='[null,3,"0.00%",1]'>51.43%</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.9053094049952057}' data-sheets-numberformat='[null,2,"#,##0.00",1]'>-0.91</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"LG Household &amp; Healthcare Ltd 1P"}'>LG Household &amp; Healthcare Ltd 1P</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1530.679113}' data-sheets-numberformat='[null,2,"₩#,##0.0B"]'>₩1,530.7B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.5162574651625746}' data-sheets-numberformat='[null,3,"0.00%",1]'>51.63%</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.5138709182936434}' data-sheets-numberformat='[null,2,"#,##0.00",1]'>1.51</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"LG Electronics Inc. 1P"}'>LG Electronics Inc. 1P</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1213.3310352}' data-sheets-numberformat='[null,2,"₩#,##0.0B"]'>₩1,213.3B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.5277591973244147}' data-sheets-numberformat='[null,3,"0.00%",1]'>52.78%</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.09711712745185148}' data-sheets-numberformat='[null,2,"#,##0.00",1]'>-0.10</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Amorepacific Corp 1P"}'>Amorepacific Corp 1P</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1055.783}' data-sheets-numberformat='[null,2,"₩#,##0.0B"]'>₩1,055.8B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.6472663139329806}' data-sheets-numberformat='[null,3,"0.00%",1]'>64.73%</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.9736023999998425}' data-sheets-numberformat='[null,2,"#,##0.00",1]'>0.97</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Mirae Asset Securities Co Ltd 2PB"}'>Mirae Asset Securities Co Ltd 2PB</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":681.8}' data-sheets-numberformat='[null,2,"₩#,##0.0B"]'>₩681.8B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.513}' data-sheets-numberformat='[null,3,"0.00%",1]'>51.30%</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.1642296122273978}' data-sheets-numberformat='[null,2,"#,##0.00",1]'>-0.16</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Samsung SDI Co Ltd 1P"}'>Samsung SDI Co Ltd 1P</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":668.191048}' data-sheets-numberformat='[null,2,"₩#,##0.0B"]'>₩668.2B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.35769828926905134}' data-sheets-numberformat='[null,3,"0.00%",1]'>35.77%</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-2.4869804295474376}' data-sheets-numberformat='[null,2,"#,##0.00",1]'>-2.49</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Samsung Fire &amp; Marine Insurance Co Ltd 1P"}'>Samsung Fire &amp; Marine Insurance Co Ltd 1P</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":513.912}' data-sheets-numberformat='[null,2,"₩#,##0.0B"]'>₩513.9B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.2222222222222222}' data-sheets-numberformat='[null,3,"0.00%",1]'>22.22%</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.3047924743702875}' data-sheets-numberformat='[null,2,"#,##0.00",1]'>-0.30</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Korea Investment Holdings Co., Ltd. 1P"}'>Korea Investment Holdings Co., Ltd. 1P</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":510.8394872}' data-sheets-numberformat='[null,2,"₩#,##0.0B"]'>₩510.8B</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.1533980582524272}' data-sheets-numberformat='[null,3,"0.00%",1]'>15.34%</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.7986505752954771}' data-sheets-numberformat='[null,2,"#,##0.00",1]'>0.80</td>
</tr>
<tr><td colspan="4">Source: KRX</td></tr>
</tbody>
</table>

Korea has a total of 121 preferred shares trading in the public stock market. At the last close, 10 preferred shares are below -1.5σ relative to their respective ordinary shares on a 20-day moving average. Three of them are below -2.0σ, including Samsung SDI 1P. 








Preferred share
Ordinary share
Disparity to ordinary share
Sigma on a 20-day moving average


Sungshin Cement Co Ltd 1P
Sungshin Cement Co Ltd
-37.80%
-2.65


Samsung SDI Co Ltd 1P
Samsung SDI Co Ltd
35.77%
-2.49


Kumkang Kind Co Ltd 1P
Kumkang Kind Co Ltd
-83.67%
-2.25


Mirae Asset Securities Co Ltd 1P
Mirae Asset Securities Co Ltd
34.80%
-1.84


Hyundai Engineering &amp; Construction Co. 1P
Hyundai Engineering &amp; Construction Co.
-312.55%
-1.78


SK Securities Co., Ltd 1P
SK Securities Co., Ltd
-430.35%
-1.78


Hanyang Securities Co., Ltd. 1P
Hanyang Securities Co., Ltd.
-57.69%
-1.76


Doosan Corp 2PB
Doosan Corp
-1.61%
-1.64


Duksung Co Ltd 1P
Duksung Co Ltd
-63.87%
-1.60


Daesang Corp 1P
Daesang Corp
24.91%
-1.59

Source: KRX

Among the largest cap preferred shares having a market cap of +₩500B, 3 names are below -1.0σ (or close) on a 20-day moving average. Samsung SDI 1P tops the list at -2.49σ, followed by LG Chem 1P with -1.26σ and Hyundai Motor 1P with -0.91σ.








Preferred share
Market cap
Disparity to ordinary share
Sigma on a 20-day moving average


Samsung Electronics Co Ltd 1P
₩60,070.7B
8.86%
0.18


Hyundai Motor Co 2PB
₩3,995.2B
51.87%
-0.57


LG Chem Ltd 1P
₩3,137.0B
54.36%
-1.26


Hyundai Motor Co 1P
₩2,691.4B
51.43%
-0.91


LG Household &amp; Healthcare Ltd 1P
₩1,530.7B
51.63%
1.51


LG Electronics Inc. 1P
₩1,213.3B
52.78%
-0.10


Amorepacific Corp 1P
₩1,055.8B
64.73%
0.97


Mirae Asset Securities Co Ltd 2PB
₩681.8B
51.30%
-0.16


Samsung SDI Co Ltd 1P
₩668.2B
35.77%
-2.49


Samsung Fire &amp; Marine Insurance Co Ltd 1P
₩513.9B
22.22%
-0.30


Korea Investment Holdings Co., Ltd. 1P
₩510.8B
15.34%
0.80

Source: KRX



Korea Share Class Pair Trade: Assessing 3 Large Cap Prefs Below -1σ