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

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Samsung 1P Discount Below 10% for the First Time in History: What's Driving It?

Event-Driven

Samsung Electronics Pref Shares / Event-Driven

Samsung Electronics Pref Shares (005935 KS)

<p>Samsung 1P now sits at a 5.6% discount, which is, of course, an all-time low.</p><p>The 20D sigma is +2.5, making a 3 sigma move just on two trading days.</p><table class="table table-striped">
<colgroup>
<col width="70">
<col width="70">
</colgroup>
<tbody>
<tr><td colspan="2" rowspan="1" data-sheets-value='{"1":2,"2":"% of sigma"}'>% of sigma</td></tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Today"}'>Today</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":2.517259424016804}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=Data!R[-26]C[7]">251.73%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"T-1"}'>T-1</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.9255158585598584}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=Data!R[-26]C[7]">192.55%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"T-2"}'>T-2</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.4760512302132772}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=Data!R[-26]C[7]">-47.61%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"T-3"}'>T-3</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.4911350310822193}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=Data!R[-26]C[7]">49.11%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"T-4"}'>T-4</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.2395746114046869}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=Data!R[-26]C[7]">23.96%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"T-5"}'>T-5</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.33902659344623726}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=Data!R[-26]C[7]">33.90%</td>
</tr>
<tr><td colspan="2" rowspan="1" data-sheets-value='{"1":2,"2":"Source: KRX"}'>Source: KRX</td></tr>
</tbody>
</table><table class="table table-striped">
<colgroup>
<col width="210">
<col width="70">
<col width="70">
<col width="70">
</colgroup>
<tbody>
<tr>
<td data-sheets-value='{"1":2,"2":"Metric"}' data-sheets-numberformat='{"1":2,"2":"#,##0"}'>Metric</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Price ratio"}' data-sheets-numberformat='{"1":2,"2":"#,##0"}'>Price ratio</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Discount"}' data-sheets-numberformat='{"1":2,"2":"#,##0"}'>Discount</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Δ"}' data-sheets-numberformat='{"1":2,"2":"#,##0"}'>Δ</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Today"}'>Today</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.944141689373297}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=Data!R[-35]C[2]">0.94414</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.055858310626702996}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=Data!R[-35]C[0]">5.59%</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":0.8807517345708635}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=average(Data!R2C4:R100C4)">0.88075</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.11924826542913641}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=average(Data!R2C3:R100C3)">11.92%</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.07197255743506373}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=(R37C[-2]-R[0]C[-2])/R[0]C[-2]">7.20%</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":0.8724137931034482}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=MEDIAN(Data!R2C4:R100C4)">0.87241</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.12758620689655173}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MEDIAN(Data!R2C3:R100C3)">12.76%</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.08221774671247488}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=(R37C[-2]-R[0]C[-2])/R[0]C[-2]">8.22%</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":0.944141689373297}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=MAX(Data!R2C4:R100C4)">0.94414</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.1552901023890785}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MAX(Data!R2C3:R100C3)">15.53%</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="=(R37C[-2]-R[0]C[-2])/R[0]C[-2]">0.00%</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":0.8447098976109215}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=MIN(Data!R2C4:R100C4)">0.84471</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.055858310626702996}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MIN(Data!R2C3:R100C3)">5.59%</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.11771117166212532}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=(R37C[-2]-R[0]C[-2])/R[0]C[-2]">11.77%</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":0.8631967757116901}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=average(Data!R2C4:R248C4)">0.86320</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.13680322428831074}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=average(Data!R2C3:R248C3)">13.68%</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.09377341984956945}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=(R37C[-2]-R[0]C[-2])/R[0]C[-2]">9.38%</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":0.8611955420466059}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=MEDIAN(Data!R2C4:R248C4)">0.86120</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.13880445795339413}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MEDIAN(Data!R2C3:R248C3)">13.88%</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.09631511460169902}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=(R37C[-2]-R[0]C[-2])/R[0]C[-2]">9.63%</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":0.944141689373297}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=MAX(Data!R2C4:R248C4)">0.94414</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.19375}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MAX(Data!R2C3:R248C3)">19.38%</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="=(R37C[-2]-R[0]C[-2])/R[0]C[-2]">0.00%</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":0.80625}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=MIN(Data!R2C4:R248C4)">0.80625</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.055858310626702996}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MIN(Data!R2C3:R248C3)">5.59%</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.17102845193587224}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=(R37C[-2]-R[0]C[-2])/R[0]C[-2]">17.10%</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":0.8403504527382868}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=average(Data!R2C4:R476C4)">0.84035</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.15964954726171324}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=average(Data!R2C3:R476C3)">15.96%</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.1235094671476714}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=(R37C[-2]-R[0]C[-2])/R[0]C[-2]">12.35%</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":0.8325991189427313}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=MEDIAN(Data!R2C4:R476C4)">0.83260</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.16740088105726872}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MEDIAN(Data!R2C3:R476C3)">16.74%</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.13396911898274294}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=(R37C[-2]-R[0]C[-2])/R[0]C[-2]">13.40%</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":0.944141689373297}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=MAX(Data!R2C4:R476C4)">0.94414</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.21040723981900453}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MAX(Data!R2C3:R476C3)">21.04%</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="=(R37C[-2]-R[0]C[-2])/R[0]C[-2]">0.00%</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":0.7895927601809954}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula="=MIN(Data!R2C4:R476C4)">0.78959</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.055858310626702996}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MIN(Data!R2C3:R476C3)">5.59%</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.19573245473638193}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=(R37C[-2]-R[0]C[-2])/R[0]C[-2]">19.57%</td>
</tr>
<tr><td colspan="4" rowspan="1" data-sheets-value='{"1":2,"2":"Source: KRX"}'>Source: KRX</td></tr>
</tbody>
</table><section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/178/161/original/chart%20%282%29.png?1607898160" class="editor-image img-responsive" data-smartkarma-image-id="178161"></figure></section><section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/178/162/original/chart%20%283%29.png?1607898169" class="editor-image img-responsive" data-smartkarma-image-id="178162"></figure></section>

Samsung 1P now sits at a 5.6% discount, which is, of course, an all-time low.The 20D sigma is +2.5, making a 3 sigma move just on two trading days.





% of sigma

Today
251.73%


T-1
192.55%


T-2
-47.61%


T-3
49.11%


T-4
23.96%


T-5
33.90%

Source: KRX










Metric
Price ratio
Discount
Δ


Today
0.94414
5.59%
-


120D mean
0.88075
11.92%
7.20%


120D median
0.87241
12.76%
8.22%


120D high
0.94414
15.53%
0.00%


120D low
0.84471
5.59%
11.77%


1Y mean
0.86320
13.68%
9.38%


1Y median
0.86120
13.88%
9.63%


1Y high
0.94414
19.38%
0.00%


1Y low
0.80625
5.59%
17.10%


2Y mean
0.84035
15.96%
12.35%


2Y median
0.83260
16.74%
13.40%


2Y high
0.94414
21.04%
0.00%


2Y low
0.78959
5.59%
19.57%

Source: KRX



Samsung 1P Discount Sets a New All-Time Low at 5.6%: Main Factor Behind It