Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Bottom-Up

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/bank-of-queensland-ltd" target="_blank" data-smartkarma-citation="entities:16606:1" rel="noopener">Bank Of Queensland (BOQ AU)</a> vs. <a href="https://www.smartkarma.com/entities/commonwealth-bank-of-australia" target="_blank" data-smartkarma-citation="entities:14:1" rel="noopener">Commonwealth Bank (CBA 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: Long Bank Of Queensland (BOQ AU) vs. short CBA (CBA 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 Bank Of Queensland (BOQ AU) vs. Commonwealth Bank (CBA AU) price-ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlights: Long Bank Of Queensland (BOQ AU) vs. short CBA (CBA 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.


Long Bank Of Queensland (BOQ AU) Vs. Short CBA (CBA AU): Proven Stat Arb Pair Trade Returns

<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: Currently eight pair trade opportunities across three markets and four 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.

Highlight: Currently eight pair trade opportunities across three markets and four 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 (25 Aug)

Research and consultancy, Tabbush Report

Daniel Tabbush

Research and consultancy

Tabbush Report

We provide research and consultancy on Asian banks. Our focus is on what we call “Asian bank research, without the noise.” We are interested in the most critical swing-factors for banks, the NPL and credit cycle, and where we believe there is a gap between perception and reality. We often focus on the less studied components of bank financial statements.  Our research is highly thematic, sometimes examining unlisted banks and companies as a window on mainstream banks. 

Being independent allows us to look at smaller banks, often overlooked by others. Analysis of BIS bank guidelines in the context of Asia, is also a focal point, while we also analyze global banks operating in the region. We use what we believe is the most comprehensive, reliable financials database, SNL Financial. S&P Capital IQ augments our database, with corporate data and CEIC, with economics. 

Asian bank research, without the noise.

<ul>
<li>AMP released 1H23 numbers with 24-26% underlying NPAT growth in 2 key divisions</li>
<li>AUD610m of returned capital in past 12 months will see AUD140m added by October</li>
<li>AMP Bank is unlike peers, which is deposit-funded, small, focused on mortgages</li>
</ul>


AMP released 1H23 numbers with 24-26% underlying NPAT growth in 2 key divisions
AUD610m of returned capital in past 12 months will see AUD140m added by October
AMP Bank is unlike peers, which is deposit-funded, small, focused on mortgages


AMP - Strong Numbers Released,, Returning Capital, Paying Down Debt, Deposit Funded, Mortgage Bank

<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 ten pair trade opportunities across four markets and four 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 ten pair trade opportunities across four markets and four 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 (17 Nov)

<ul>
<li>Australian banks’ November earnings triggered sharp and divergent share-price reactions, widening performance dispersion across the sector.</li>
<li>Based on the most recent moves, ANZ (ANZ AU) and Westpac (WBC AU) appear overvalued versus peers and potentially overbought, while two other banks screen as comparatively oversold.</li>
<li>Statistical analysis identifies sixteen actionable opportunities for quantitative traders targeting mean reversion plays within the sector.</li>
</ul>


Australian banks’ November earnings triggered sharp and divergent share-price reactions, widening performance dispersion across the sector.
Based on the most recent moves, ANZ (ANZ AU) and Westpac (WBC AU) appear overvalued versus peers and potentially overbought, while two other banks screen as comparatively oversold.
Statistical analysis identifies sixteen actionable opportunities for quantitative traders targeting mean reversion plays within the sector.


Relative Value in Australian Banks: ANZ/Westpac Overbought; Macquarie/Bendigo to Catch Up

Australia

Bank of Queensland Limited is a full service financial institution. The Bank operates retail branches, business banking centers, and equipment finance centers throughout Australia and New Zealand.  Bank of Queensland also operates an automated teller machine (ATM) network throughout Australia.

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Bank Of Queensland (BOQ AU)

Long Bank Of Queensland (BOQ AU) Vs. Short CBA (CBA AU): Proven Stat Arb Pair Trade Returns

A recurring divergence between Bank of Queensland and Commonwealth Bank offers another 4% pair trade opportunity for quant traders targeting mean...

Gaudenz Schneider

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (25 Aug)

Quantitative analysis identifies eight pair trade opportunities across three markets and four sectors, offering unique insights into relative value.

Gaudenz Schneider

AMP - Strong Numbers Released,, Returning Capital, Paying Down Debt, Deposit Funded, Mortgage Bank

AMP is now launching an online bank, and this is a real concern. A the same time, its margin pressure at its AMP Bank is not strong, new guidance...

Daniel Tabbush

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (17 Nov)

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

Gaudenz Schneider

Relative Value in Australian Banks: ANZ/Westpac Overbought; Macquarie/Bendigo to Catch Up

Earnings in November led to varying share-price reactions, with ANZ and Westpac outperforming. Statistical analysis identifies sixteen...

Gaudenz Schneider

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Long Bank Of Queensland (BOQ AU) Vs. Short CBA (CBA AU): Proven Stat Arb Pair Trade Returns

A recurring divergence between Bank of Queensland and Commonwealth Bank offers another 4% pair trade opportunity for quant traders targeting mean...

Gaudenz Schneider

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (25 Aug)

​Quantitative analysis identifies eight pair trade opportunities across three markets and four sectors, offering unique insights into relative value.

Gaudenz Schneider

AMP - Strong Numbers Released,, Returning Capital, Paying Down Debt, Deposit Funded, Mortgage Bank

AMP is now launching an online bank, and this is a real concern. A the same time, its margin pressure at its AMP Bank is not strong, new guidance...

Daniel Tabbush

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (17 Nov)

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

Gaudenz Schneider

Relative Value in Australian Banks: ANZ/Westpac Overbought; Macquarie/Bendigo to Catch Up

Earnings in November led to varying share-price reactions, with ANZ and Westpac outperforming. Statistical analysis identifies sixteen...

Gaudenz Schneider

Quantitative analysis identifies eight pair trade opportunities across three markets and four sectors, offering unique insights into relative value.

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