Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Bottom-Up

<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

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 7th (reported today). The aggregated short interest was USD26.6bn.</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 James Hardie Industries, Resmed Inc DRC, Charter Hall, Steadfast, Dexus Property.</li>
</ul>


We analyzed the changes in short interest of ASX Stocks as of Nov 7th (reported today). The aggregated short interest was USD26.6bn.
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 James Hardie Industries, Resmed Inc DRC, Charter Hall, Steadfast, Dexus Property.


ASX Short Interest Weekly (Nov 7th): James Hardie Industries, Resmed Inc DRC, Charter Hall

<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 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 14 pair trade opportunities across four 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 (10 Nov)

<ul>
<li>We analyzed the changes in short interest of ASX Stocks as of Oct 31st (reported today). The aggregated short interest was USD27.3bn.</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 CSL, Mineral Resources, Bluescope Steel, ALS, Vicinity Centres Re.</li>
</ul>


We analyzed the changes in short interest of ASX Stocks as of Oct 31st (reported today). The aggregated short interest was USD27.3bn.
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 CSL, Mineral Resources, Bluescope Steel, ALS, Vicinity Centres Re.


ASX Short Interest Weekly (Oct 31st): CSL, Mineral Resources, Bluescope Steel, ALS

<ul>
<li>Six Australian stock pairs have triggered new mean-reversion trade signals, with price ratios deviating more than two standard deviations from their one-year averages.</li>
<li>Upcoming earnings announcements could add volatility and shape short-term trade outcomes.</li>
<li>Essential for quantitative traders seeking mean-reversion opportunities, outlining opportunities and key risk considerations.</li>
</ul>


Six Australian stock pairs have triggered new mean-reversion trade signals, with price ratios deviating more than two standard deviations from their one-year averages.
Upcoming earnings announcements could add volatility and shape short-term trade outcomes.
Essential for quantitative traders seeking mean-reversion opportunities, outlining opportunities and key risk considerations.


Six Fresh Relative Value Opportunities in Australia Signal New Stat Arb Trades

Australia

Commonwealth Bank of Australia provides banking, life insurance, and related services for individuals, small businesses and medium sized commercial enterprises. The Bank provides corporate and general banking, international financing, institutional banking and stock broking and funds management such as superannuation product.

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

Commonwealth Bank of Australia (CBA AU)

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

ASX Short Interest Weekly (Nov 7th): James Hardie Industries, Resmed Inc DRC, Charter Hall

We analyzed ASX short interest report for the past week and highlight short interest changes in James Hardie Industries, Resmed Inc DRC, Charter...

Ke Yan, CFA, FRM

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (10 Nov)

Statistical methodology identifies 15 pair trade opportunities across four markets and five sectors, offering unique insights into relative value.

Gaudenz Schneider

ASX Short Interest Weekly (Oct 31st): CSL, Mineral Resources, Bluescope Steel, ALS

We analyzed ASX short interest report for the past week and highlight short interest changes in CSL, Mineral Resources, Bluescope Steel, ALS,...

Ke Yan, CFA, FRM

Six Fresh Relative Value Opportunities in Australia Signal New Stat Arb Trades

Pair trade opportunities arise across top ASX names such as CBA, NAB, Westpac, JB Hi-Fi and Xero as price ratios deviate.

Gaudenz Schneider

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

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

ASX Short Interest Weekly (Nov 7th): James Hardie Industries, Resmed Inc DRC, Charter Hall

We analyzed ASX short interest report for the past week and highlight short interest changes in James Hardie Industries, Resmed Inc DRC, Charter...

Ke Yan, CFA, FRM

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (10 Nov)

​Statistical methodology identifies 15 pair trade opportunities across four markets and five sectors, offering unique insights into relative value.

Gaudenz Schneider

ASX Short Interest Weekly (Oct 31st): CSL, Mineral Resources, Bluescope Steel, ALS

We analyzed ASX short interest report for the past week and highlight short interest changes in CSL, Mineral Resources, Bluescope Steel, ALS,...

Ke Yan, CFA, FRM

Six Fresh Relative Value Opportunities in Australia Signal New Stat Arb Trades

Pair trade opportunities arise across top ASX names such as CBA, NAB, Westpac, JB Hi-Fi and Xero as price ratios deviate.

Gaudenz Schneider

Statistical methodology identifies 15 pair trade opportunities across four markets and five sectors, offering unique insights into relative value.