Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Bottom-Up

<ul>
<li>
Context: This Insight follows up on previously highlighted relative value opportunities, using a statistical methodology based on mean-reversion to identify opportunities in paired securities.</li>
<li>
Highlights: Currently twelve pair trade opportunities across three markets and five sectors persist.</li>
<li>
Why read: Statistical analysis offers a unique perspective on relative value. Gain insights into actionable statistical pair trade opportunities and monitor performance of previously highlighted pairs.</li>
</ul>



Context: This Insight follows up on previously highlighted relative value opportunities, using a statistical methodology based on mean-reversion to identify opportunities in paired securities.

Highlights: Currently twelve pair trade opportunities across three markets and five sectors persist.

Why read: Statistical analysis offers a unique perspective on relative value. Gain insights into actionable statistical pair trade opportunities and monitor performance of previously highlighted pairs.


Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (24 Nov)

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/bhp-group-ltd" target="_blank" data-smartkarma-citation="entities:147:1" rel="noopener">BHP Group (BHP AU)</a> vs. <a href="https://www.smartkarma.com/entities/rio-tinto-ltd" target="_blank" data-smartkarma-citation="entities:13:1" rel="noopener">Rio Tinto (RIO AU)</a> price ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.</li>
<li>
Highlights: Going long BHP Group (BHP AU) and short Rio Tinto (RIO AU) targets a 4% return.</li>
<li>
Why Read: Essential for quantitative traders seeking mean-reversion opportunities, with detailed execution framework, risk management protocols, and historical simulation showing the statistical basis for this relative value play.</li>
</ul>



Context: The BHP Group (BHP AU) vs. Rio Tinto (RIO AU) price ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlights: Going long BHP Group (BHP AU) and short Rio Tinto (RIO AU) targets a 4% return.

Why Read: Essential for quantitative traders seeking mean-reversion opportunities, with detailed execution framework, risk management protocols, and historical simulation showing the statistical basis for this relative value play.


BHP (BHP AU) Vs. Rio Tinto (RIO AU): Stat Arb Pair Trade Opportunity in High Profile Aussie Miners

European Event-Driven Analyst

Jesus Rodriguez Aguilar

Event-Driven

Groupe Bruxelles Lambert Sa / Event-Driven

<ul>
<li>GBL: discount 28.6% (Oct 31). Selling €1.7bn GBL Capital NAV for €1.5bn cash (+€0.4bn deferred); €0.6bn commitments transferred. Simpler, more liquid, greater buyback firepower—supports discount narrowing.</li>
<li>Sweden: Industrivärden discount 5.8% (near lows). Investor AB resilient; NAV SEK 1,024bn, TSR +5%. Quality ballast, limited discount alpha now.</li>
<li>Vivendi: 33.2% discount to €4.67 NAV; AMF-driven OPA path intact. Scenario-weighted value ~€4.17; prefer outright long or stub vs UMG/Banijay/MFE; trim if discount narrows to 10–15%.</li>
</ul>


GBL: discount 28.6% (Oct 31). Selling €1.7bn GBL Capital NAV for €1.5bn cash (+€0.4bn deferred); €0.6bn commitments transferred. Simpler, more liquid, greater buyback firepower—supports discount narrowing.
Sweden: Industrivärden discount 5.8% (near lows). Investor AB resilient; NAV SEK 1,024bn, TSR +5%. Quality ballast, limited discount alpha now.
Vivendi: 33.2% discount to €4.67 NAV; AMF-driven OPA path intact. Scenario-weighted value ~€4.17; prefer outright long or stub vs UMG/Banijay/MFE; trim if discount narrows to 10–15%.


Selected European HoldCos and DLC: October 2025 Report

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

<ul>
<li>We remain near-term bullish since our 4/22/25 Compass, and our intermediate-term outlook remains bullish as well (as of our 5/14/25 Compass), with Int’l Compass reports all echoing this sentiment.</li>
<li>In our prior Int'l Compass (Oct. 16) we discussed how the pullback was testing the uptrend, and we were buyers; this worked out well with indexes back at all-time highs.</li>
<li>Taiwan, China, Korea, and the U.S. remain our only overweights, but India is becoming more attractive as well -- add selective exposure. Many buy ideas highlighted in these countries.</li>
</ul>


We remain near-term bullish since our 4/22/25 Compass, and our intermediate-term outlook remains bullish as well (as of our 5/14/25 Compass), with Int’l Compass reports all echoing this sentiment.
In our prior Int'l Compass (Oct. 16) we discussed how the pullback was testing the uptrend, and we were buyers; this worked out well with indexes back at all-time highs.
Taiwan, China, Korea, and the U.S. remain our only overweights, but India is becoming more attractive as well -- add selective exposure. Many buy ideas highlighted in these countries.


India Finally Showing Signs of Life; Remain Overweight Taiwan, China, Korea, and the U.S.

Equity Derivatives

Commonwealth Bank of Australia / Equity Derivatives

<ul>
<li>
Context: Volatility cones provide a straightforward framework to evaluate whether options are trading cheap or rich. This Insight provides volatility analysis for the S&amp;P/ASX 200 and ten prominent Australian stocks.</li>
<li>
Highlights: Implied volatility across Australia’s major banks remains rich ahead of earnings and the RBA decision.</li>
<li>
Why Read: Spot opportunities, assess regime shifts, and manage risk effectively — volatility cones turn complex data into actionable insights for traders and investors.</li>
</ul>



Context: Volatility cones provide a straightforward framework to evaluate whether options are trading cheap or rich. This Insight provides volatility analysis for the S&amp;P/ASX 200 and ten prominent Australian stocks.

Highlights: Implied volatility across Australia’s major banks remains rich ahead of earnings and the RBA decision.

Why Read: Spot opportunities, assess regime shifts, and manage risk effectively — volatility cones turn complex data into actionable insights for traders and investors.


CBA, ANZ, Westpac, NAB: Volatility Runs High Ahead of Imminent Catalysts

United Kingdom

Rio Tinto plc is an international mining company. The Company has interests in mining for aluminum, borax, coal, copper, gold, iron ore, lead, silver, tin, uranium, zinc, titanium dioxide feedstock, diamonds, talc and zircon. Dually-listed company with RIO AU.

Price Gauge
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Rio Tinto PLC (RIO LN)

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (24 Nov)

Statistical methodology identifies twelve pair trade opportunities across three markets and five sectors, offering unique insights into relative...

Gaudenz Schneider

BHP (BHP AU) Vs. Rio Tinto (RIO AU): Stat Arb Pair Trade Opportunity in High Profile Aussie Miners

The BHP Group vs. Rio Tinto price ratio presents a potential relative value opportunity for quantitative traders seeking mean-reversion strategies.

Gaudenz Schneider

Selected European HoldCos and DLC: October 2025 Report

GBL: asset sales boost liquidity, simplify the portfolio, and fuel buybacks—primed for discount compression. Keep Swedish holdcos as ballast;...

Jesus Rodriguez Aguilar

India Finally Showing Signs of Life; Remain Overweight Taiwan, China, Korea, and the U.S.

India's $SENSEX Finally Showing Signs of Life; Remain Overweight Taiwan, China, Korea, and the U.S.; Bullish Outlook Intact on $ACWI; Actionable...

Vermilion Research

CBA, ANZ, Westpac, NAB: Volatility Runs High Ahead of Imminent Catalysts

Implied volatility analysis reveals rich options trading in Australian banks, offering insights for traders and investors.

Gaudenz Schneider

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (24 Nov)

​Statistical methodology identifies twelve pair trade opportunities across three markets and five sectors, offering unique insights into relative...

Gaudenz Schneider

BHP (BHP AU) Vs. Rio Tinto (RIO AU): Stat Arb Pair Trade Opportunity in High Profile Aussie Miners

​The BHP Group vs. Rio Tinto price ratio presents a potential relative value opportunity for quantitative traders seeking mean-reversion strategies.

Gaudenz Schneider

Selected European HoldCos and DLC: October 2025 Report

GBL: asset sales boost liquidity, simplify the portfolio, and fuel buybacks—primed for discount compression. Keep Swedish holdcos as ballast;...

Jesus Rodriguez Aguilar

India Finally Showing Signs of Life; Remain Overweight Taiwan, China, Korea, and the U.S.

India's $SENSEX Finally Showing Signs of Life; Remain Overweight Taiwan, China, Korea, and the U.S.; Bullish Outlook Intact on $ACWI; Actionable...

Vermilion Research

CBA, ANZ, Westpac, NAB: Volatility Runs High Ahead of Imminent Catalysts

​Implied volatility analysis reveals rich options trading in Australian banks, offering insights for traders and investors.

Gaudenz Schneider

Statistical methodology identifies twelve pair trade opportunities across three markets and five sectors, offering unique insights into relative...

The BHP Group vs. Rio Tinto price ratio presents a potential relative value opportunity for quantitative traders seeking mean-reversion strategies.

Implied volatility analysis reveals rich options trading in Australian banks, offering insights for traders and investors.