Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Bottom-Up

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/anz-group-holdings-ltd" target="_blank" data-smartkarma-citation="entities:40898:1" rel="noopener">ANZ Group Holdings (ANZ AU)</a> vs. <a href="https://www.smartkarma.com/entities/vaneck-vectors-australian-ba" target="_blank" data-smartkarma-citation="entities:442:1" rel="noopener">VanEck Australian Banks ETF (MVB AU)</a> price-ratio has deviated more than two standard deviations from its one-year average.</li>
<li>
Highlights: The dislocation highlights the recent outperformance of ANZ vs. the rest of the sector, pointing to a potential underweight in a portfolio context.</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 ANZ Group Holdings (ANZ AU) vs. VanEck Australian Banks ETF (MVB AU) price-ratio has deviated more than two standard deviations from its one-year average.

Highlights: The dislocation highlights the recent outperformance of ANZ vs. the rest of the sector, pointing to a potential underweight in a portfolio context.

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.


ANZ (ANZ AU) Has Outrun the Sector — Time to Underweight

Asia Pac IPO & Placement Research, China biotech, Aequitas Research

Ke Yan, CFA, FRM

Asia Pac IPO & Placement Research, China biotech

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Quantitative Analysis

<ul>
<li>We analyzed the changes in short interest of ASX Stocks as of Nov 28th (reported today). The aggregated short interest was USD27.2bn.</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 Lynas Rare Earths, James Hardie Industries, Transurban, CAR, Macquarie.</li>
</ul>


We analyzed the changes in short interest of ASX Stocks as of Nov 28th (reported today). The aggregated short interest was USD27.2bn.
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 Lynas Rare Earths, James Hardie Industries, Transurban, CAR, Macquarie.


ASX Short Interest Weekly (Nov 28th): Lynas Rare Earths, James Hardie Industries, Transurban, CAR

<ul>
<li>
Context: This article provides an update on the Insight  Long <a href="https://www.smartkarma.com/entities/anz-group-holdings-ltd" target="_blank" data-smartkarma-citation="entities:40898:1" rel="noopener">ANZ (ANZ AU)</a>, Short <a href="https://www.smartkarma.com/entities/national-australia-bank-ltd" target="_blank" data-smartkarma-citation="entities:15:1" rel="noopener">National Australia Bank (NAB AU)</a>: Banking on Statistical Arbitrage, published on 22 June 2025.</li>
<li>
Key Insights: The trade has hit its exit signal as the price ratio reverted to its one-standard deviation band, yielding a positive return.</li>
<li>
Why Read: For investors interested in quantitative trading strategies, this article demonstrates how statistical arbitrage can generate short-term alpha and highlights actionable similar opportunities in the current market.</li>
</ul>



Context: This article provides an update on the Insight  Long ANZ (ANZ AU), Short National Australia Bank (NAB AU): Banking on Statistical Arbitrage, published on 22 June 2025.

Key Insights: The trade has hit its exit signal as the price ratio reverted to its one-standard deviation band, yielding a positive return.

Why Read: For investors interested in quantitative trading strategies, this article demonstrates how statistical arbitrage can generate short-term alpha and highlights actionable similar opportunities in the current market.


ANZ Group (ANZ AU) Vs. National Australia Bank (NAB AU): Banking on Statistical Arbitrage Pays Off

<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>
Highlight: Six pair trade opportunities across three markets and three sectors persist. Two </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.

Highlight: Six pair trade opportunities across three markets and three sectors persist. Two 

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 Roundup: Performance Recap of Pair Trades in Asia-Pacific

<ul>
<li>
Context: Statistical analysis of a relative value opportunity in the Australian Banking industry between <a href="https://www.smartkarma.com/entities/anz-group-holdings-ltd" target="_blank" data-smartkarma-citation="entities:40898:1" rel="noopener">ANZ Group Holdings (ANZ AU)</a> and <a href="https://www.smartkarma.com/entities/national-australia-bank-ltd" target="_blank" data-smartkarma-citation="entities:15:1" rel="noopener">National Australia Bank (NAB AU)</a>.</li>
<li>
Highlights: Going long ANZ and short NAB targets a 4.5% return to the statistical mean reversion level, with ANZ supported by cheaper valuations.</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: Statistical analysis of a relative value opportunity in the Australian Banking industry between ANZ Group Holdings (ANZ AU) and National Australia Bank (NAB AU).

Highlights: Going long ANZ and short NAB targets a 4.5% return to the statistical mean reversion level, with ANZ supported by cheaper valuations.

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 ANZ (ANZ AU), Short National Australia Bank (NAB AU): Banking on Statistical Arbitrage

Australia

ANZ Group Holdings Limited operates as a holding company. The Company, through its subsidiaries, provides banking and financial products and services to retail and business customers. ANZ Group Holdings offers loans, transaction and institutional banking services, deposits, and other financial products.

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ANZ Group Holdings (ANZ AU)

ANZ (ANZ AU) Has Outrun the Sector — Time to Underweight

Short ANZ vs. long the VanEck Australian Banks ETF in a mean-reversion trade targeting a 4% return — a tactical setup for quantitative and relative...

Gaudenz Schneider

ASX Short Interest Weekly (Nov 28th): Lynas Rare Earths, James Hardie Industries, Transurban, CAR

We analyzed ASX short interest report for the past week and highlight short interest changes in Lynas Rare Earths, James Hardie Industries,...

Ke Yan, CFA, FRM

ANZ Group (ANZ AU) Vs. National Australia Bank (NAB AU): Banking on Statistical Arbitrage Pays Off

The statistical arbitrage trade between ANZ and NAB generated a positive return above its target return. This Insight highlights the alpha...

Gaudenz Schneider

Relative Value Roundup: Performance Recap of Pair Trades in Asia-Pacific

Statistical methodology identifies pair trade opportunities in various markets and sectors, offering unique insights and pair trade inspiration...

Gaudenz Schneider

Long ANZ (ANZ AU), Short National Australia Bank (NAB AU): Banking on Statistical Arbitrage

Statistical analysis favors going long ANZ and short NAB in Australian banking industry for 4.5% return to mean reversion level. Ideal for...

Gaudenz Schneider

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

ANZ (ANZ AU) Has Outrun the Sector — Time to Underweight

Short ANZ vs. long the VanEck Australian Banks ETF in a mean-reversion trade targeting a 4% return — a tactical setup for quantitative and relative...

Gaudenz Schneider

ASX Short Interest Weekly (Nov 28th): Lynas Rare Earths, James Hardie Industries, Transurban, CAR

We analyzed ASX short interest report for the past week and highlight short interest changes in Lynas Rare Earths, James Hardie Industries,...

Ke Yan, CFA, FRM

ANZ Group (ANZ AU) Vs. National Australia Bank (NAB AU): Banking on Statistical Arbitrage Pays Off

The statistical arbitrage trade between ANZ and NAB generated a positive return above its target return. This Insight highlights the alpha...

Gaudenz Schneider

Relative Value Roundup: Performance Recap of Pair Trades in Asia-Pacific

​Statistical methodology identifies pair trade opportunities in various markets and sectors, offering unique insights and pair trade inspiration...

Gaudenz Schneider

Long ANZ (ANZ AU), Short National Australia Bank (NAB AU): Banking on Statistical Arbitrage

​Statistical analysis favors going long ANZ and short NAB in Australian banking industry for 4.5% return to mean reversion level. Ideal for...

Gaudenz Schneider

Statistical methodology identifies pair trade opportunities in various markets and sectors, offering unique insights and pair trade inspiration...

Statistical analysis favors going long ANZ and short NAB in Australian banking industry for 4.5% return to mean reversion level. Ideal for...