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

The Passing of Samsung Lee Kun-Hee: Checking Immediate Issues

LJY's New Samsung May Begin with Sale of Financial Arm (Life)

Samsung Elec Dividend or Buyback? Tax & Net Cash-In Calculations to the Family

Samsung 1P at a Profound Diversion, Possibly Resulting from Signal Misinterpretation

Samsung 1P Going Strong on Expectations of Special Dividend & New 3-Yr Return Plan

Samsung Dividend Play, Hedging-Adjusted with Futures

Event-Driven

Samsung Electronics Pref Shares / Event-Driven

Samsung Electronics Pref Shares (005935 KS)

<p>Samsung 1P is wrapping up the three-day skid today relative to the ordinary share. The sigma is now back to +1.7 for 1P on a 20D MA.</p><p>The duo hit +2.1σ on T-4, then began a decline to the neutral point until yesterday.</p><p><strong>What caused this decline?</strong></p><p>It was probably because of <strong>the SK Hynix/Intel deal</strong>, which might have led to a concern that Samsung would be conservative on the upcoming dividend policy as the deal may open up an industry-wide M&amp;A race.</p><p>But it now seems that the theory isn't gaining ground anymore.</p><p>1P discount is now 11.2%, almost there to the all-time low at 10.5%.</p><table class="table table-striped">
<colgroup>
<col width="300">
<col width="300">
</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"}'><strong>Today</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.6482283181420518}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=Data!R[0]C[6]"><strong>164.82%</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"T-1"}'><strong>T-1</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.20857242985196214}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=Data!R[0]C[6]"><strong>20.86%</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"T-2"}'><strong>T-2</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.4558295544289668}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=Data!R[0]C[6]"><strong>45.58%</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"T-3"}'><strong>T-3</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1.2861473735904243}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=Data!R[0]C[6]"><strong>128.61%</strong></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":2.0953475237198345}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=Data!R[0]C[6]">209.53%</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":2.1103104667249077}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=Data!R[0]C[6]">211.03%</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="300">
<col width="300">
</colgroup>
<tbody>
<tr><td colspan="2" rowspan="1" style="width: 723.636px;" data-sheets-value='{"1":2,"2":"% of sigma"}'>% of sigma</td></tr>
<tr>
<td style="width: 351.818px;" data-sheets-value='{"1":2,"2":"Today"}'><strong>Today</strong></td>
<td style="text-align: right; width: 350.909px;" data-sheets-value='{"1":3,"3":0.11185308848080133}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=RP!R[9]C[15]"><strong>11.19%</strong></td>
</tr>
<tr>
<td style="width: 351.818px;" data-sheets-value='{"1":2,"2":"T-1"}'><strong>T-1</strong></td>
<td style="text-align: right; width: 350.909px;" data-sheets-value='{"1":3,"3":0.12643678160919541}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=RP!R[7]C[15]"><strong>12.64%</strong></td>
</tr>
<tr>
<td style="width: 351.818px;" data-sheets-value='{"1":2,"2":"T-2"}'>T-2</td>
<td style="text-align: right; width: 350.909px;" data-sheets-value='{"1":3,"3":0.12479474548440066}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=RP!R[5]C[15]">12.48%</td>
</tr>
<tr>
<td style="width: 351.818px;" data-sheets-value='{"1":2,"2":"T-3"}'>T-3</td>
<td style="text-align: right; width: 350.909px;" data-sheets-value='{"1":3,"3":0.11666666666666667}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=RP!R[3]C[15]">11.67%</td>
</tr>
<tr>
<td style="width: 351.818px;" data-sheets-value='{"1":2,"2":"T-4"}'>T-4</td>
<td style="text-align: right; width: 350.909px;" data-sheets-value='{"1":3,"3":0.1092436974789916}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=RP!R[1]C[15]">10.92%</td>
</tr>
<tr>
<td style="width: 351.818px;" data-sheets-value='{"1":2,"2":"T-5"}'><strong>T-5</strong></td>
<td style="text-align: right; width: 350.909px;" data-sheets-value='{"1":3,"3":0.11333333333333333}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=RP!R[-1]C[15]"><strong>11.33%</strong></td>
</tr>
<tr><td colspan="2" rowspan="1" style="width: 723.636px;" data-sheets-value='{"1":2,"2":"Source: KRX"}'>Source: KRX</td></tr>
</tbody>
</table><table class="table table-striped">
<colgroup>
<col width="300">
<col width="300">
</colgroup>
<tbody>
<tr><td colspan="2" rowspan="1" data-sheets-value='{"1":2,"2":"Pref discount"}'>Pref discount</td></tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Today"}'><strong>Today</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.11185308848080133}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=RP!R[445]C[5]"><strong>11.19%</strong></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":0.13049699147320118}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=average(RP!R396C7:R494C7)">13.05%</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":0.13099630996309963}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MEDIAN(RP!R396C7:R494C7)">13.10%</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":0.1552901023890785}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MAX(RP!R396C7:R494C7)">15.53%</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":0.10505836575875487}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MIN(RP!R396C7:R494C7)">10.51%</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":0.1501642918651683}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=average(RP!R248C7:R494C7)">15.02%</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":0.14724919093851133}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MEDIAN(RP!R248C7:R494C7)">14.72%</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":0.19791666666666666}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MAX(RP!R248C7:R494C7)">19.79%</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":0.10505836575875487}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MIN(RP!R248C7:R494C7)">10.51%</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":0.16677099580087038}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=average(RP!R2C7:R494C7)">16.68%</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":0.17272727272727273}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MEDIAN(RP!R2C7:R494C7)">17.27%</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":0.21040723981900453}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MAX(RP!R2C7:R494C7)">21.04%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"2Y low"}'><strong>2Y low</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.10505836575875487}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MIN(RP!R2C7:R494C7)"><strong>10.51%</strong></td>
</tr>
<tr><td colspan="2" rowspan="1" data-sheets-value='{"1":2,"2":"Source: KRX"}'>Source: KRX</td></tr>
</tbody>
</table>

Samsung 1P is wrapping up the three-day skid today relative to the ordinary share. The sigma is now back to +1.7 for 1P on a 20D MA.The duo hit +2.1σ on T-4, then began a decline to the neutral point until yesterday.What caused this decline?It was probably because of the SK Hynix/Intel deal, which might have led to a concern that Samsung would be conservative on the upcoming dividend policy as the deal may open up an industry-wide M&amp;A race.But it now seems that the theory isn't gaining ground anymore.1P discount is now 11.2%, almost there to the all-time low at 10.5%.





% of sigma

Today
164.82%


T-1
20.86%


T-2
45.58%


T-3
128.61%


T-4
209.53%


T-5
211.03%

Source: KRX







% of sigma

Today
11.19%


T-1
12.64%


T-2
12.48%


T-3
11.67%


T-4
10.92%


T-5
11.33%

Source: KRX







Pref discount

Today
11.19%


120D mean
13.05%


120D median
13.10%


120D high
15.53%


120D low
10.51%


1Y mean
15.02%


1Y median
14.72%


1Y high
19.79%


1Y low
10.51%


2Y mean
16.68%


2Y median
17.27%


2Y high
21.04%


2Y low
10.51%

Source: KRX



Samsung 1P Ends 3-Day Skid Relative to Ordinary: Situation Check-Up