三星-亚洲宏观经济-pair trading strategy：holding firm golden age-20170705-samsung

《三星-亚洲宏观经济-pair trading strategy：holding firm golden age-20170705-samsung》由会员上传分享，免费在线阅读，更多相关内容在行业资料-天天文库。

1、2017.7.5QuantitativePairTradingStrategyIssueHoldingfirmgoldenageMorecompaniesshiftingtoholdingcompanystructureThenumberofholdingcompaniesinKoreahasbeenrisinggradually,whichhascreatedgreateropportunitytopairtradeholdingcompaniesandtheirsubsidiaries.Holdingcompaniesthatrelyonasinglel

2、istedsubsidiaryforthebulkoftheirNAVmakeidealtargetsforapair-tradingstrategy.Pair-tradingstrategyWesetupaSamsungHoldingCompany/SubsidiaryPairsTradingmodelthatconsistsofDongyoungKim,CFAAnalystthreelarge-cappairsandsixmid-cappairs(seepage8fordetails).Backtestingoverthedy76.kim@samsung

3、.compastthreeyearsrevealsthatthethreelarge-cappairsgeneratedstableannualafter-tax82220207839returnsof15.9%withaninformationratioof1.2.Large-cappairs:Totalpairs:Averagecombinedafter-taxreturnAveragecombinedafter-taxreturn(%)(%)608050706040503040203020101000(10)(10)Jun14Jun15Jun16Jun

4、14Jun15Jun16Source:SamsungSecuritiesSource:SamsungSecuritiesQuantitativeIssue2017.7.5ContentsCompaniesshiftingtop2holdingcompanystructurePairtradingstrategyp6Backtestingp11Sensitivitytestp17Currentpositionp19CompaniesshiftingtoholdingcompanystructureThenumberofholdingcompaniesinKor

5、ea(thatmeetlegalrequirementsundertheFairTradeAct)hasbeenrisinggradually,increasingfrom67asofend-Sep2015to76asofend-Sep2016.Thisyear,HyundaiHeavyIndustriesandMaeilDairyIndustryspunoffsubsidiariestoshiftintoaholdingcompanystructure,whileBGFRetailandSKChemicalsannouncedplanstodothesam

6、e.Korea:Listedholdingcompaniesandtheirsubsidiaries(Number)1801621601401401201007680676040200Sep2015Sep2016ListedholdingcompaniesListedsubsidiariesNote:BasedonrequirementsofFairTradeActSource:KoreaFairTradeCommissionSuchatrendhasproducedmorepairtradingopportunitiesasaholdingcompanya

7、nditssubsidiaryareoftenbothlisted.Thatsaid,weexpecttransitionstosuchastructuretoslow,givenatighteningofrelatedregulationsfromstart-July.Still,thereareasufficientnumberofestablishedentitiestoenactapairtradingstrategy.Sincepairtradingreliesonhistoricalcorrelations,asingleeventhaspote

8、ntialtocausesharestodeviat