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>
Highlight: Two pair trade opportunities in the Indian financial sector persist, with price ratios exceeding two standard deviations from their historical means.</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: Two pair trade opportunities in the Indian financial sector persist, with price ratios exceeding two standard deviations from their historical means.

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 Financial Pair Trades

ICICI Lombard General Insurance Company / Equity Bottom-Up

<ul>
<li>
Context: This article provides an update on a previously identified pair trading opportunity between <a href="https://www.smartkarma.com/entities/icici-lombard-general-insura" target="_blank" data-smartkarma-citation="entities:25882:1" rel="noopener">ICICI Lombard (ICICIGI IN)</a> and <a href="https://www.smartkarma.com/entities/sbi-life-insurance-co-ltd" target="_blank" data-smartkarma-citation="entities:25899:1" rel="noopener">SBI Life (SBILIFE IN)</a>, based on statistical mean reversion analysis.</li>
<li>
Key Insights: The trade has now reached its exit signal as the price ratio reverted to its one-standard deviation band, yielding a +9% return.</li>
<li>
Why Read It: 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 a previously identified pair trading opportunity between ICICI Lombard (ICICIGI IN) and SBI Life (SBILIFE IN), based on statistical mean reversion analysis.

Key Insights: The trade has now reached its exit signal as the price ratio reverted to its one-standard deviation band, yielding a +9% return.

Why Read It: 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.


ICICI Lombard (ICICIGI IN) Vs. SBI Life (SBILIFE IN): Mean Reversion Delivers Gains, Trade Exit

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Douglas Research Advisory

Mirae Asset Securities / Equity Bottom-Up

<ul>
<li>In this insight, we propose a pair trade between a basket of major securities stocks (long) versus banking stocks (short) in Korea.</li>
<li>We believe the five major securities stocks in Korea could continue to outperform the five major banking stocks in Korea over the next 6-12 months.</li>
<li>We present 3 major headwinds on the Korean banking sector and 4 major tailwinds on the Korean securities sector. </li>
</ul>


In this insight, we propose a pair trade between a basket of major securities stocks (long) versus banking stocks (short) in Korea.
We believe the five major securities stocks in Korea could continue to outperform the five major banking stocks in Korea over the next 6-12 months.
We present 3 major headwinds on the Korean banking sector and 4 major tailwinds on the Korean securities sector. 


A Pair Trade (Basket) Of Korean Banks Vs Securities

Financials & FinTech research, Galliano’s Financials Research

Victor Galliano

Financials & FinTech research

Financials & FinTech, EM & Developed Markets

Galliano’s Financials Research

Galliano's Financials Research provides fundamental research in Emerging Markets financials, including FinTech, as well as financials in select Developed Markets.

The investment style applied is generally value oriented, although Growth At Reasonable Price (GARP) strategies can also be used where appropriate. 

Our investment research approach aim is often contrarian, looking to capitalise on overly sceptical or optimistic consensus views. In terms of valuation techniques, the focus is on PBV ratio to ROE, PE multiples and dividend yield, as well as the application of PEG ratios and, where appropriate, Sum of the Parts (SOTP) valuations.

<ul>
<li>Our weighted metrics of share valuations, returns, capital adequacy and credit quality feed into a scorecard matrix; we look for opportunities where the risks are well discounted in current valuations</li>
<li>
<a href="https://www.smartkarma.com/entities/woori-financial-group-inc" target="_blank" data-smartkarma-citation="entities:27995:1" rel="noopener">Woori Financial Group (316140 KS)</a> remains the stand-out in terms of our matrix; this is based on valuation, dividend yield, and its superior credit quality relative to its peers</li>
<li>Hana Financial is second from top in our scorecard due to its attractive PBV ratio versus RoE, healthy dividend yield and sound credit quality; management should deliver improved medium-term returns</li>
</ul>


Our weighted metrics of share valuations, returns, capital adequacy and credit quality feed into a scorecard matrix; we look for opportunities where the risks are well discounted in current valuations

Woori Financial Group (316140 KS) remains the stand-out in terms of our matrix; this is based on valuation, dividend yield, and its superior credit quality relative to its peers
Hana Financial is second from top in our scorecard due to its attractive PBV ratio versus RoE, healthy dividend yield and sound credit quality; management should deliver improved medium-term returns


Korean Banks; Stick with Hana (086790 KS) And Woori (316140 KS)

<ul>
<li>Our weighted metrics of share valuations, capital adequacy and credit quality feed into an investment valuation matrix; we look for opportunities where the risks are well discounted in current valuations</li>
<li>We stick with Hana Financial for its attractive valuations, PEG and equity risk premia; there is potential for management to deliver on its Value-Up plan over the medium term</li>
<li>Woori is the stand-out in terms of our matrix; this is based on valuation, PEG ratio, credit quality and its improving pre- and post-provision returns along with efficiency ratio</li>
</ul>


Our weighted metrics of share valuations, capital adequacy and credit quality feed into an investment valuation matrix; we look for opportunities where the risks are well discounted in current valuations
We stick with Hana Financial for its attractive valuations, PEG and equity risk premia; there is potential for management to deliver on its Value-Up plan over the medium term
Woori is the stand-out in terms of our matrix; this is based on valuation, PEG ratio, credit quality and its improving pre- and post-provision returns along with efficiency ratio


Korean Banks; Positive Fundamental and Share Price Trends for Hana (086790 KS) And Woori (316140 KS)

South Korea

Industrial Bank of Korea(IBK) is a policy bank providing development finance and related banking services to support small and medium-sized enterprises in Korea. The Bank provides loans, discount bills, trade finance, deposits, foreign exchange, and payment guarantees. The company also offers services such as credit cards, insurance and smart-phone banking.

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Industrial Bank Of Korea (024110 KS)

Relative Value Roundup: Performance Recap of Financial Pair Trades

A collection of relative value opportunities uncovered by a mean-reversion methodology, offering unique insights for potential gains in the Indian...

Gaudenz Schneider

ICICI Lombard (ICICIGI IN) Vs. SBI Life (SBILIFE IN): Mean Reversion Delivers Gains, Trade Exit

Update on the pair trading opportunity between ICICI Lombard and SBI Life shows the trade has reached its exit signal with a profit, highlighting...

Gaudenz Schneider

A Pair Trade (Basket) Of Korean Banks Vs Securities

In this insight, we propose a pair trade between a basket of major securities stocks (long) versus banking stocks (short) in Korea.

Douglas Kim

Korean Banks; Stick with Hana (086790 KS) And Woori (316140 KS)

Weighted scorecard metrics drive opportunities in undervalued stocks; Woori Financial with its strong credit quality and high dividend yield, Hana...

Victor Galliano

Price Gauge

52-week Range

Market Cap (USDm)

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Relative Value Roundup: Performance Recap of Financial Pair Trades

A collection of relative value opportunities uncovered by a mean-reversion methodology, offering unique insights for potential gains in the Indian...

Gaudenz Schneider

ICICI Lombard (ICICIGI IN) Vs. SBI Life (SBILIFE IN): Mean Reversion Delivers Gains, Trade Exit

Update on the pair trading opportunity between ICICI Lombard and SBI Life shows the trade has reached its exit signal with a profit, highlighting...

Gaudenz Schneider

A Pair Trade (Basket) Of Korean Banks Vs Securities

In this insight, we propose a pair trade between a basket of major securities stocks (long) versus banking stocks (short) in Korea.

Douglas Kim

Korean Banks; Stick with Hana (086790 KS) And Woori (316140 KS)

​Weighted scorecard metrics drive opportunities in undervalued stocks; Woori Financial with its strong credit quality and high dividend yield, Hana...

Victor Galliano

Korean Banks; Positive Fundamental and Share Price Trends for Hana (086790 KS) And Woori (316140 KS)

​Weighted metrics drive our investment valuation matrix; we like Hana Financial for attractive valuations and its Value-up plan, Woori stands out...

Victor Galliano

Weighted scorecard metrics drive opportunities in undervalued stocks; Woori Financial with its strong credit quality and high dividend yield, Hana...

Weighted metrics drive our investment valuation matrix; we like Hana Financial for attractive valuations and its Value-up plan, Woori stands out...