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>
Highlights: Currently six pair trade opportunities across three markets and four 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 six pair trade opportunities across three markets and four 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 (8 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 is 1 change for the S&amp;P/ASX50 Index, 3 changes for the S&amp;P/ASX100 Index, 9 changes for the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX200 (AS51 INDEX)</a> and 17 adds/ 12 deletes for the S&amp;P/ASX300 Index.</li>
<li>Some of the index changes will also have same way flows from trackers of other global and sector indices on the same day.</li>
<li>The adds have outperformed the deletes across all indices and performance has been especially strong for the S&amp;P/ASX100 Index and S&amp;P/ASX300 Index changes.</li>
</ul>


There is 1 change for the S&amp;P/ASX50 Index, 3 changes for the S&amp;P/ASX100 Index, 9 changes for the S&amp;P/ASX200 (AS51 INDEX) and 17 adds/ 12 deletes for the S&amp;P/ASX300 Index.
Some of the index changes will also have same way flows from trackers of other global and sector indices on the same day.
The adds have outperformed the deletes across all indices and performance has been especially strong for the S&amp;P/ASX100 Index and S&amp;P/ASX300 Index changes.


S&P/​​​​ASX Index Rebalance (Sep 2025): New Methodology & The Many Changes

<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)

<ul>
<li>S&amp;P DJI have proposed methodology changes to the S&amp;P/ASX family of indices to enhance representativeness and more quickly reflect changing market conditions. The consultation conclusions could be announced next week.</li>
<li>The updated methodology could lead to 51 changes across the family of indices with implementation on 19 September. There will be a large impact on a number of stocks.</li>
<li>The forecast adds have outperformed the forecast deletes over the last several months and near-term performance has been spectacular for the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> and S&amp;P/ASX 300 Index changes.</li>
</ul>


S&amp;P DJI have proposed methodology changes to the S&amp;P/ASX family of indices to enhance representativeness and more quickly reflect changing market conditions. The consultation conclusions could be announced next week.
The updated methodology could lead to 51 changes across the family of indices with implementation on 19 September. There will be a large impact on a number of stocks.
The forecast adds have outperformed the forecast deletes over the last several months and near-term performance has been spectacular for the S&amp;P/ASX 200 (AS51 INDEX) and S&amp;P/ASX 300 Index changes.


S&P/​​​​​​​​​ASX Index Rebalance Preview (Sep 25): Potential Changes if Methodology Is Updated

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)

Australia

Netwealth Group Limited provides investment management services. The Company offers portfolio management, insurance, advisory, and investment solutions. Netwealth Group focuses on funds, deposits, accounts, cash, and securities. Netwealth Group serves customers in Australia.

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Netwealth Group (NWL AU)

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (8 Sep)

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

Gaudenz Schneider

S&P/ASX Index Rebalance (Sep 2025): New Methodology & The Many Changes

There are 53 stocks that are adds/deletes across the ASX family of indices. There are some surprises and big flow/impact across the changes. Adds...

Brian Freitas

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

S&P/ASX Index Rebalance Preview (Sep 25): Potential Changes if Methodology Is Updated

The review period for the September rebalance is done and the proposals in the market consultation will be implemented. That means a lot of change...

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

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (8 Sep)

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

Gaudenz Schneider

S&P/​​​​ASX Index Rebalance (Sep 2025): New Methodology & The Many Changes

There are 53 stocks that are adds/deletes across the ASX family of indices. There are some surprises and big flow/impact across the changes. Adds...

Brian Freitas

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

S&P/​​​​​​​​​ASX Index Rebalance Preview (Sep 25): Potential Changes if Methodology Is Updated

The review period for the September rebalance is done and the proposals in the market consultation will be implemented. That means a lot of change...

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

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

S&P/ASX Index Rebalance (Sep 2025): New Methodology & The Many Changes

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

S&P/ASX Index Rebalance Preview (Sep 25): Potential Changes if Methodology Is Updated

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