Derivatives and Quantitative Strategist

Gaudenz Schneider

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/kotak-mahindra-bank-ltd" target="_blank" data-smartkarma-citation="entities:126:1" rel="noopener">Kotak Mahindra Bank (KMB IN)</a> and <a href="https://www.smartkarma.com/entities/bajaj-finance-ltd" target="_blank" data-smartkarma-citation="entities:8950:1" rel="noopener">Bajaj Finance (BAF 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 +4.7% 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 Kotak Mahindra Bank (KMB IN) and Bajaj Finance (BAF 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 +4.7% 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.


Bajaj Finance (BAF IN) Vs. Kotak Mahindra Bank (KMB IN) - Trade Exit and Take Profit

<ul>
<li>The <a href="https://www.smartkarma.com/entities/bajaj-finance-ltd" target="_blank" data-smartkarma-citation="entities:8950:1" rel="noopener">Bajaj Finance Ltd (BAF IN)</a> vs. <a href="https://www.smartkarma.com/entities/kotak-mahindra-bank-ltd" target="_blank" data-smartkarma-citation="entities:126:1" rel="noopener">Kotak Mahindra Bank (KMB IN)</a> Price-Ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.</li>
<li>While one of the two companies displays higher revenue growth, the valuation might begin to become stretched. Fundamental key figures are provided to complement the statistical analysis.</li>
<li>Trade setup, statistical properties, factor exposure, risk management strategies, and key events are discussed.</li>
</ul>


The Bajaj Finance Ltd (BAF IN) vs. Kotak Mahindra Bank (KMB IN) Price-Ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.
While one of the two companies displays higher revenue growth, the valuation might begin to become stretched. Fundamental key figures are provided to complement the statistical analysis.
Trade setup, statistical properties, factor exposure, risk management strategies, and key events are discussed.


Bajaj Finance (BAF IN) Vs. Kotak Mahindra Bank (KMB IN): A Relative Value Play

Head of Research, IPOs & Placements, Aequitas Research

Sumeet Singh

Head of Research, IPOs & Placements

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.

Event-Driven

<ul>
<li>In Jun 2023, CPPIB raised around US$750m via selling a 1.6% stake in <a href="https://www.smartkarma.com/entities/kotak-mahindra-bank-ltd" target="_blank" data-smartkarma-citation="entities:126:1" rel="noopener">Kotak Mahindra Bank (KMB IN)</a>. Prior to that it had sold a similar amount in Mar 2022.</li>
<li>CPPIB will be released from its placement linked lockup early next month.</li>
<li>In this note, we will talk about the lockup dynamics and past deals performance.</li>
</ul>


In Jun 2023, CPPIB raised around US$750m via selling a 1.6% stake in Kotak Mahindra Bank (KMB IN). Prior to that it had sold a similar amount in Mar 2022.
CPPIB will be released from its placement linked lockup early next month.
In this note, we will talk about the lockup dynamics and past deals performance.


Kotak Mahindra Bank - US$1.2 Billion Lockup Release

<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

Equity Derivatives

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index (NIFTY INDEX)</a> and the <a href="https://www.smartkarma.com/entities/nse-nifty-bank-index" target="_blank" data-smartkarma-citation="entities:26811:1" rel="noopener">NSE Nifty Bank Index (NSEBANK INDEX EQUITY)</a> reached all-time highs on 26 September 2024 but have since declined.</li>
<li>Most stocks in the Bank Index have fallen below their 200 and 50 day moving average,. Volatilities have gone up, but trade cheap when compared to historical levels.</li>
<li>Opportunities present themselves either in stocks that stayed resilient during the downturn (<a href="https://www.smartkarma.com/entities/federal-bank-ltd" target="_blank" data-smartkarma-citation="entities:11784:1" rel="noopener">Federal Bank (FB IN)),</a>or fell and gained in implied volatility. A long-short strategy might also be considered.</li>
</ul>


The NIFTY Index (NIFTY INDEX) and the NSE Nifty Bank Index (NSEBANK INDEX EQUITY) reached all-time highs on 26 September 2024 but have since declined.
Most stocks in the Bank Index have fallen below their 200 and 50 day moving average,. Volatilities have gone up, but trade cheap when compared to historical levels.
Opportunities present themselves either in stocks that stayed resilient during the downturn (Federal Bank (FB IN)),or fell and gained in implied volatility. A long-short strategy might also be considered.


EQD | Nifty Banks – Single Stock Options and Relative Value Opportunities

India

Kotak Mahindra Bank Limited is a full service commercial bank. The Bank offers a wide range of products and services such as personal, commercial, and corporate banking services, including deposit accounts, loans, and investments. Kotak Mahindra Bank serves customers in India.

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Kotak Mahindra Bank (KMB IN)

Bajaj Finance (BAF IN) Vs. Kotak Mahindra Bank (KMB IN) - Trade Exit and Take Profit

Update on pair trading opportunity between Kotak Mahindra Bank and Bajaj Finance. The pair has profitably mean-reverted, showcasing the potential...

Gaudenz Schneider

Bajaj Finance (BAF IN) Vs. Kotak Mahindra Bank (KMB IN): A Relative Value Play

The Price-ratio between Bajaj Finance Ltd and Kotak Mahindra Bank signals a potential relative value opportunity. Trade setup, risk management,...

Gaudenz Schneider

Kotak Mahindra Bank - US$1.2 Billion Lockup Release

In Jun 2023, CPPIB raised around US$750m via selling a 1.6% stake in Kotak Mahindra Bank (KMB IN). Prior to that it had sold a similar amount in...

Sumeet Singh

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

EQD | Nifty Banks – Single Stock Options and Relative Value Opportunities

The NSE Nifty Bank Index hit a record high in September 2024 but has since dropped. Option opportunities are found in resilient or volatile bank...

Gaudenz Schneider

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Bajaj Finance (BAF IN) Vs. Kotak Mahindra Bank (KMB IN) - Trade Exit and Take Profit

​Update on pair trading opportunity between Kotak Mahindra Bank and Bajaj Finance. The pair has profitably mean-reverted, showcasing the potential...

Gaudenz Schneider

Bajaj Finance (BAF IN) Vs. Kotak Mahindra Bank (KMB IN): A Relative Value Play

​The Price-ratio between Bajaj Finance Ltd and Kotak Mahindra Bank signals a potential relative value opportunity. Trade setup, risk management,...

Gaudenz Schneider

Kotak Mahindra Bank - US$1.2 Billion Lockup Release

In Jun 2023, CPPIB raised around US$750m via selling a 1.6% stake in Kotak Mahindra Bank (KMB IN). Prior to that it had sold a similar amount in...

Sumeet Singh

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

EQD | Nifty Banks – Single Stock Options and Relative Value Opportunities

The NSE Nifty Bank Index hit a record high in September 2024 but has since dropped. Option opportunities are found in resilient or volatile bank...

Gaudenz Schneider

Update on pair trading opportunity between Kotak Mahindra Bank and Bajaj Finance. The pair has profitably mean-reverted, showcasing the potential...

The Price-ratio between Bajaj Finance Ltd and Kotak Mahindra Bank signals a potential relative value opportunity. Trade setup, risk management,...

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