Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Bottom-Up

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/central-bank-of-india" target="_blank" data-smartkarma-citation="entities:544:1" rel="noopener">Central Bank Of India (CBOI IN)</a> vs. <a href="https://www.smartkarma.com/entities/indian-overseas-bank" target="_blank" data-smartkarma-citation="entities:13838:1" rel="noopener">Indian Overseas Bank (IOB IN)</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 <a href="https://www.smartkarma.com/entities/central-bank-of-india" target="_blank" data-smartkarma-citation="entities:544:1" rel="noopener">Central Bank Of India (CBOI IN)</a> vs. short <a href="https://www.smartkarma.com/entities/indian-overseas-bank" target="_blank" data-smartkarma-citation="entities:13838:1" rel="noopener">Indian Overseas Bank (IOB IN)</a> targets a 5% return to the statistical mean reversion level.</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 Central Bank Of India (CBOI IN) vs. Indian Overseas Bank (IOB IN) price-ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlights: Going long Central Bank Of India (CBOI IN) vs. short Indian Overseas Bank (IOB IN) targets a 5% return to the statistical mean reversion level.

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.


Stat-Arb Pair Trade: Long Central Bank Of India (CBOI IN) Vs. Short Indian Overseas Bank (IOB IN)

<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 four pair trade opportunities across two markets and three 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 four pair trade opportunities across two markets and three 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 (1 Sep)

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 are 13 changes a side for the NIFTY Midcap 150 Index at the September rebalance. There are many stocks with flows from passive trackers of other indices.</li>
<li>Estimated one-way turnover is 7.8% resulting in a round-trip trade of INR 18.23bn (US$209m). With over US$43bn tracking the index actively, the impact on the stocks will be much larger.</li>
<li>The adds to the index have outperformed the deletes over the last 5 months and there has been noticeable outperformance in the last couple of weeks.</li>
</ul>


There are 13 changes a side for the NIFTY Midcap 150 Index at the September rebalance. There are many stocks with flows from passive trackers of other indices.
Estimated one-way turnover is 7.8% resulting in a round-trip trade of INR 18.23bn (US$209m). With over US$43bn tracking the index actively, the impact on the stocks will be much larger.
The adds to the index have outperformed the deletes over the last 5 months and there has been noticeable outperformance in the last couple of weeks.


NIFTY MIDCAP150 Index Rebalance: 13 Changes a Side; Lots of Overlap with Other Index Flow

Commonwealth Bank of Australia / 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>
Highlight: Currently seven pair trade opportunities across two markets and two 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 seven pair trade opportunities across two markets and two 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 (18 Aug)

<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 nine 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.

Highlight: Currently nine 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 (11 Aug)

India

Indian Overseas Bank operates some 1,429 banking branches in India, as well as six branches in overseas locations.  The Group's banks provide loan and deposit schemes, Internet banking, and a full range of banking services.

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

Indian Overseas Bank (IOB IN)

Stat-Arb Pair Trade: Long Central Bank Of India (CBOI IN) Vs. Short Indian Overseas Bank (IOB IN)

The price ratio between Central Bank of India and Indian Overseas Bank signals a potential 5% return for quantitative traders targeting mean...

Gaudenz Schneider

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (1 Sep)

Statistical methodology identifies four pair trade opportunities in multiple markets and sectors, offering unique insights for investors.

Gaudenz Schneider

NIFTY MIDCAP150 Index Rebalance: 13 Changes a Side; Lots of Overlap with Other Index Flow

There are 13 changes for the index in Sep. Estimated one-way turnover is 7.8% and the round-trip trade is INR 18.2bn. There are many stocks with...

Brian Freitas

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (18 Aug)

Statistical methodology identifies seven pair trade opportunities across two markets and two sectors. Update on previously flagged opportunities,...

Gaudenz Schneider

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (11 Aug)

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

Gaudenz Schneider

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Stat-Arb Pair Trade: Long Central Bank Of India (CBOI IN) Vs. Short Indian Overseas Bank (IOB IN)

The price ratio between Central Bank of India and Indian Overseas Bank signals a potential 5% return for quantitative traders targeting mean...

Gaudenz Schneider

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (1 Sep)

​Statistical methodology identifies four pair trade opportunities in multiple markets and sectors, offering unique insights for investors.

Gaudenz Schneider

NIFTY MIDCAP150 Index Rebalance: 13 Changes a Side; Lots of Overlap with Other Index Flow

There are 13 changes for the index in Sep. Estimated one-way turnover is 7.8% and the round-trip trade is INR 18.2bn. There are many stocks with...

Brian Freitas

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (18 Aug)

​Statistical methodology identifies seven pair trade opportunities across two markets and two sectors. Update on previously flagged opportunities,...

Gaudenz Schneider

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (11 Aug)

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

Gaudenz Schneider

Statistical methodology identifies four pair trade opportunities in multiple markets and sectors, offering unique insights for investors.

Statistical methodology identifies seven pair trade opportunities across two markets and two sectors. Update on previously flagged opportunities,...

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