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 14 pair trade opportunities across four markets and six 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 14 pair trade opportunities across four markets and six 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 (13 Oct)

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/amotiv-limited" target="_blank" data-smartkarma-citation="entities:19883:1" rel="noopener">Amotiv (AOV AU)</a> vs. <a href="https://www.smartkarma.com/entities/arb-corp-ltd" target="_blank" data-smartkarma-citation="entities:19228:1" rel="noopener">ARB (ARB 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 Amotiv (AOV AU) and short ARB (ARB AU) targets a 6% 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 Amotiv (AOV AU) vs. ARB (ARB AU) price-ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlights: Going long Amotiv (AOV AU) and short ARB (ARB AU) targets a 6% 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.


Long Amotiv (AOV AU) Vs. Short ARB (ARB AU): Statistical Arbitrage in Australian Auto Parts

Asia Pac ECM and Index Rebal, Shenton Research

Ke Yan, CFA, FRM

Asia Pac ECM and Index Rebal

Asia Pac IPO & Placement Research, China Biotech

DZT Research

DZT Research is an independent Asia Pacific equity specialist. Our quantitative research covers index rebalancing flows, alongside exchange data analytics accross Asia Pacific. On the equity capital markets side, we focus on Asia Pacific ECM, especially biotech and TMT. Our lead analyst is frequently cited by international media.

Quantitative Analysis

<ul>
<li>We analyzed the changes in short interest of ASX Stocks as of Sep 19th (reported today). The aggregated short interest was USD26.4bn.</li>
<li>We tabulate league tables for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.</li>
<li>We highlight short interest changes in Northern Star Resources, Ramelius Resources, Brambles, Evolution Mining, Regis Resources.</li>
</ul>


We analyzed the changes in short interest of ASX Stocks as of Sep 19th (reported today). The aggregated short interest was USD26.4bn.
We tabulate league tables for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.
We highlight short interest changes in Northern Star Resources, Ramelius Resources, Brambles, Evolution Mining, Regis Resources.


ASX Short Interest Weekly (Sep 19th): Northern Star Resources, Ramelius Resources, Brambles

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Index Rebalance

<ul>
<li>There is 1 change for the S&amp;P/ASX50 Index, 3 changes for the S&amp;P/ASX100 Index, 9 changes for the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX200 (AS51 INDEX)</a> and 17 adds/ 12 deletes for the S&amp;P/ASX300 Index.</li>
<li>Some of the index changes will also have same way flows from trackers of other global and sector indices on the same day.</li>
<li>The adds have outperformed the deletes across all indices and performance has been especially strong for the S&amp;P/ASX100 Index and S&amp;P/ASX300 Index changes.</li>
</ul>


There is 1 change for the S&amp;P/ASX50 Index, 3 changes for the S&amp;P/ASX100 Index, 9 changes for the S&amp;P/ASX200 (AS51 INDEX) and 17 adds/ 12 deletes for the S&amp;P/ASX300 Index.
Some of the index changes will also have same way flows from trackers of other global and sector indices on the same day.
The adds have outperformed the deletes across all indices and performance has been especially strong for the S&amp;P/ASX100 Index and S&amp;P/ASX300 Index changes.


S&P/​​​​ASX Index Rebalance (Sep 2025): New Methodology & The Many Changes

<ul>
<li>S&amp;P DJI have proposed methodology changes to the S&amp;P/ASX family of indices to enhance representativeness and more quickly reflect changing market conditions. The consultation conclusions could be announced next week.</li>
<li>The updated methodology could lead to 51 changes across the family of indices with implementation on 19 September. There will be a large impact on a number of stocks.</li>
<li>The forecast adds have outperformed the forecast deletes over the last several months and near-term performance has been spectacular for the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> and S&amp;P/ASX 300 Index changes.</li>
</ul>


S&amp;P DJI have proposed methodology changes to the S&amp;P/ASX family of indices to enhance representativeness and more quickly reflect changing market conditions. The consultation conclusions could be announced next week.
The updated methodology could lead to 51 changes across the family of indices with implementation on 19 September. There will be a large impact on a number of stocks.
The forecast adds have outperformed the forecast deletes over the last several months and near-term performance has been spectacular for the S&amp;P/ASX 200 (AS51 INDEX) and S&amp;P/ASX 300 Index changes.


S&P/​​​​​​​​​ASX Index Rebalance Preview (Sep 25): Potential Changes if Methodology Is Updated

Australia

Amotiv Limited is an automotive company. The Company manufactures, imports, distributes, and sales automotive products. Amotiv serves customers worldwide.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Amotiv (AOV AU)

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (13 Oct)

Statistical methodology identifies 14 pair trade opportunities across four markets and six sectors, offering unique insights into relative value.

Gaudenz Schneider

Long Amotiv (AOV AU) Vs. Short ARB (ARB AU): Statistical Arbitrage in Australian Auto Parts

Opportunity for 6% return by going long Amotiv (AOV AU) and short ARB (ARB AU) for quantitative traders seeking mean-reversion pair trade...

Gaudenz Schneider

ASX Short Interest Weekly (Sep 19th): Northern Star Resources, Ramelius Resources, Brambles

We analyzed ASX short interest report for the past week and highlight short interest changes in Northern Star Resources, Ramelius Resources,...

Ke Yan, CFA, FRM

S&P/ASX Index Rebalance (Sep 2025): New Methodology & The Many Changes

There are 53 stocks that are adds/deletes across the ASX family of indices. There are some surprises and big flow/impact across the changes. Adds...

Brian Freitas

S&P/ASX Index Rebalance Preview (Sep 25): Potential Changes if Methodology Is Updated

The review period for the September rebalance is done and the proposals in the market consultation will be implemented. That means a lot of change...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (13 Oct)

​Statistical methodology identifies 14 pair trade opportunities across four markets and six sectors, offering unique insights into relative value.

Gaudenz Schneider

Long Amotiv (AOV AU) Vs. Short ARB (ARB AU): Statistical Arbitrage in Australian Auto Parts

​Opportunity for 6% return by going long Amotiv (AOV AU) and short ARB (ARB AU) for quantitative traders seeking mean-reversion pair trade...

Gaudenz Schneider

ASX Short Interest Weekly (Sep 19th): Northern Star Resources, Ramelius Resources, Brambles

We analyzed ASX short interest report for the past week and highlight short interest changes in Northern Star Resources, Ramelius Resources,...

Ke Yan, CFA, FRM

S&P/​​​​ASX Index Rebalance (Sep 2025): New Methodology & The Many Changes

There are 53 stocks that are adds/deletes across the ASX family of indices. There are some surprises and big flow/impact across the changes. Adds...

Brian Freitas

S&P/​​​​​​​​​ASX Index Rebalance Preview (Sep 25): Potential Changes if Methodology Is Updated

The review period for the September rebalance is done and the proposals in the market consultation will be implemented. That means a lot of change...

Brian Freitas

Statistical methodology identifies 14 pair trade opportunities across four markets and six sectors, offering unique insights into relative value.

Opportunity for 6% return by going long Amotiv (AOV AU) and short ARB (ARB AU) for quantitative traders seeking mean-reversion pair trade...

S&P/ASX Index Rebalance (Sep 2025): New Methodology & The Many Changes

S&P/ASX Index Rebalance Preview (Sep 25): Potential Changes if Methodology Is Updated