Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Bottom-Up

National Australia Bank / Equity Bottom-Up

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/anz-group-holdings-ltd" target="_blank" data-smartkarma-citation="entities:40898:1" rel="noopener">ANZ (ANZ AU)</a> vs. <a href="https://www.smartkarma.com/entities/national-australia-bank-ltd" target="_blank" data-smartkarma-citation="entities:15:1" rel="noopener">National Australia Bank (NAB AU)</a> price ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.</li>
<li>
Highlight: Going long <a href="https://www.smartkarma.com/entities/national-australia-bank-ltd" target="_blank" data-smartkarma-citation="entities:15:1" rel="noopener">National Australia Bank (NAB AU)</a> and short <a href="https://www.smartkarma.com/entities/anz-group-holdings-ltd" target="_blank" data-smartkarma-citation="entities:40898:1" rel="noopener">ANZ (ANZ AU)</a> targets a 6% 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 ANZ (ANZ AU) vs. National Australia Bank (NAB AU) price ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlight: Going long National Australia Bank (NAB AU) and short ANZ (ANZ AU) targets a 6% 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.


NAB (NAB AU) Vs ANZ (ANZ AU): Big Four Divergence Strikes Again

Pan-Asia Catalysts/Events, Quiddity Advisors

David Blennerhassett

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

<ul>
<li>Australia's ASIC releases the aggregated short position data four business days after the reporting day. Data in this insight is up to 18th May, published on the 22nd May.</li>
<li>The largest industry net increase in the past week was just A$49mn into "Industrial REITs"; the largest net decrease was A$531mn out of "Diversified Banks". Net shorts fell A$1.6bn week-on-week.</li>
<li>Companies mentioned in this regular weekly report include: <a href="https://www.smartkarma.com/entities/insurance-australia-group-ltd" target="_blank" data-smartkarma-citation="entities:712:1" rel="noopener">Insurance Australia (IAG AU)</a>, <a href="https://www.smartkarma.com/entities/4dmedical-ltd" target="_blank" data-smartkarma-citation="entities:30789:1" rel="noopener">4DMedical (4DX AU)</a>, <a href="https://www.smartkarma.com/entities/the-lottery-corp-ltd" target="_blank" data-smartkarma-citation="entities:35970:1" rel="noopener">The Lottery Corporation (TLC AU)</a>, <a href="https://www.smartkarma.com/entities/national-australia-bank-ltd" target="_blank" data-smartkarma-citation="entities:15:1" rel="noopener">NAB (NAB AU)</a>, <a href="https://www.smartkarma.com/entities/anz-group-holdings-ltd" target="_blank" data-smartkarma-citation="entities:40898:1" rel="noopener">ANZ  (ANZ AU)</a>, and <a href="https://www.smartkarma.com/entities/westpac-banking-corp" target="_blank" data-smartkarma-citation="entities:444:1" rel="noopener">Westpac (WBC AU)</a>.</li>
</ul>


Australia's ASIC releases the aggregated short position data four business days after the reporting day. Data in this insight is up to 18th May, published on the 22nd May.
The largest industry net increase in the past week was just A$49mn into "Industrial REITs"; the largest net decrease was A$531mn out of "Diversified Banks". Net shorts fell A$1.6bn week-on-week.
Companies mentioned in this regular weekly report include: Insurance Australia (IAG AU), 4DMedical (4DX AU), The Lottery Corporation (TLC AU), NAB (NAB AU), ANZ  (ANZ AU), and Westpac (WBC AU).


Aussie Shorts [18th May]: Insurance Australia, 4DMedical, The Lottery Corp., NAB, ANZ, and Westpac

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/anz-group-holdings-ltd" target="_blank" data-smartkarma-citation="entities:40898:1" rel="noopener">ANZ (ANZ AU)</a> vs. <a href="https://www.smartkarma.com/entities/national-australia-bank-ltd" target="_blank" data-smartkarma-citation="entities:15:1" rel="noopener">National Australia Bank (NAB AU)</a> price ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.</li>
<li>
Highlight: Going long <a href="https://www.smartkarma.com/entities/national-australia-bank-ltd" target="_blank" data-smartkarma-citation="entities:15:1" rel="noopener">National Australia Bank (NAB AU)</a> and short <a href="https://www.smartkarma.com/entities/anz-group-holdings-ltd" target="_blank" data-smartkarma-citation="entities:40898:1" rel="noopener">ANZ (ANZ AU)</a> targets a 6% 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 ANZ (ANZ AU) vs. National Australia Bank (NAB AU) price ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlight: Going long National Australia Bank (NAB AU) and short ANZ (ANZ AU) targets a 6% 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.


National Australia Bank (NAB AU) Vs ANZ (ANZ AU): Big Four Divergence Signals Pair Trade

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/national-australia-bank-ltd" target="_blank" data-smartkarma-citation="entities:15:1" rel="noopener">National Australia Bank (NAB AU)</a> vs. the <a href="https://www.smartkarma.com/entities/vaneck-vectors-australian-banks-etf" target="_blank" data-smartkarma-citation="entities:442:1" rel="noopener">VanEck Australian Banks ETF (MVB AU)</a> price-ratio has deviated three standard deviations from its one-year average, presenting a potential relative-value opportunity.</li>
<li>
 Highlight: Going long <a href="https://www.smartkarma.com/entities/national-australia-bank-ltd" target="_blank" data-smartkarma-citation="entities:15:1" rel="noopener">National Australia Bank (NAB AU)</a> and short <a href="https://www.smartkarma.com/entities/vaneck-vectors-australian-banks-etf" target="_blank" data-smartkarma-citation="entities:442:1" rel="noopener">VanEck Australian Banks ETF (MVB AU)</a>  targets a 7% 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 National Australia Bank (NAB AU) vs. the VanEck Australian Banks ETF (MVB AU) price-ratio has deviated three standard deviations from its one-year average, presenting a potential relative-value opportunity.

 Highlight: Going long National Australia Bank (NAB AU) and short VanEck Australian Banks ETF (MVB AU)  targets a 7% 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.


National Australia Bank (NAB AU) Vs MVB ETF (MVB AU): Three-Sigma Gap Opens Vs Sector

<ul>
<li>
Context: Upcoming ASX bank earnings are in focus, with recent results already triggering sharp one-week moves across the sector.</li>
<li>
Highlight: This Insight screens ASX-listed banks across correlation, dispersion, and dislocation to identify relative value opportunities.</li>
<li>
Why Read: Explore potential bank-sector dislocations around <a href="https://www.smartkarma.com/entities/national-australia-bank-ltd" target="_blank" data-smartkarma-citation="entities:15:1" rel="noopener">National Australia Bank (NAB AU)</a>, <a href="https://www.smartkarma.com/entities/westpac-banking-corp" target="_blank" data-smartkarma-citation="entities:444:1" rel="noopener">Westpac Banking (WBC AU),</a> and <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> ahead of several May earnings events.</li>
</ul>



Context: Upcoming ASX bank earnings are in focus, with recent results already triggering sharp one-week moves across the sector.

Highlight: This Insight screens ASX-listed banks across correlation, dispersion, and dislocation to identify relative value opportunities.

Why Read: Explore potential bank-sector dislocations around National Australia Bank (NAB AU), Westpac Banking (WBC AU), and Bank of Queensland (BOQ AU) ahead of several May earnings events.


ASX Banks: May Earnings Could Widen Relative Value Dislocations

Australia

National Australia Bank Limited is an international banking group which operates in Australia, New Zealand, Europe, Asia and the United States.  The Group offers banking services, credit and access card facilities, leasing, housing and general finance, international and investment banking, wealth and funds management, life insurance and custodian, trustee and nominee services.

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National Australia Bank (NAB AU)

NAB (NAB AU) Vs ANZ (ANZ AU): Big Four Divergence Strikes Again

Pair trade opportunity re-emerges as the spread between the two Australian banks climbs back above the 2 SD opening threshold. Essential for...

Gaudenz Schneider

Aussie Shorts [18th May]: Insurance Australia, 4DMedical, The Lottery Corp., NAB, ANZ, and Westpac

Net shorts fell A$1.6bn week-on-week. Companies mentioned in this regular weekly report include: Insurance Australia, 4DMedical, The Lottery...

David Blennerhassett