Pan-Asia Tactical Market Calls (Quant-Driven), MRM Research

Nico Rosti

Pan-Asia Tactical Market Calls (Quant-Driven)

MRM Research

Quantitative Research

Equity Derivatives

<ul>
<li>
<a href="https://www.smartkarma.com/profiles/brian-freitas" target="_blank" data-smartkarma-citation="accounts:4091" rel="noopener">Brian Freitas</a> has discussed in a recent insight the methodology changes for 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</a> that will be implemented starting from December 30.</li>
<li>
<a href="https://www.smartkarma.com/entities/hdfc-bank-ltd-4b6b7a92-9087-468d-9dbe-ab169e77f014" target="_blank" data-smartkarma-citation="entities:558:1" rel="noopener">HDFC Bank (HDFCB IN)</a> is one of the two stocks that passive trackers need to sell (the other is <a href="https://www.smartkarma.com/entities/icici-bank-ltd" target="_blank" data-smartkarma-citation="entities:547:1" rel="noopener">ICICI Bank Ltd)</a>.</li>
<li>
<a href="https://www.smartkarma.com/entities/hdfc-bank-ltd-4b6b7a92-9087-468d-9dbe-ab169e77f014" target="_blank" data-smartkarma-citation="entities:558:1" rel="noopener">HDFC Bank (HDFCB IN)</a> is falling this week, so we analyze our model's WEEKLY support entry zones, to evaluate how much <a href="https://www.smartkarma.com/entities/hdfc-bank-ltd-4b6b7a92-9087-468d-9dbe-ab169e77f014" target="_blank" data-smartkarma-citation="entities:558:1" rel="noopener">HDFC Bank</a> can fall, for hedging or re-entry purpose. 
</li>
</ul>



Brian Freitas has discussed in a recent insight the methodology changes for the NSE Nifty Bank Index that will be implemented starting from December 30.

HDFC Bank (HDFCB IN) is one of the two stocks that passive trackers need to sell (the other is ICICI Bank Ltd).

HDFC Bank (HDFCB IN) is falling this week, so we analyze our model's WEEKLY support entry zones, to evaluate how much HDFC Bank can fall, for hedging or re-entry purpose. 



HDFC Bank (HDFCB IN): Tactical Outlook Post–NIFTY Bank Index Overhaul

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>NSE Indices has announced the methodology changes for 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)</a> that will be implemented in 4 tranches starting in December.</li>
<li>
<a href="https://www.smartkarma.com/entities/yes-bank-ltd" target="_blank" data-smartkarma-citation="entities:767:1" rel="noopener">Yes Bank (YES IN)</a> and <a href="https://www.smartkarma.com/entities/union-bank-of-india" target="_blank" data-smartkarma-citation="entities:546:1" rel="noopener">Union Bank Of India (UNBK IN)</a> will be added to the index to increase the number of constituents from 12 to 14.</li>
<li>Passives need to sell <a href="https://www.smartkarma.com/entities/hdfc-bank-ltd-4b6b7a92-9087-468d-9dbe-ab169e77f014" target="_blank" data-smartkarma-citation="entities:558:1" rel="noopener">HDFC Bank (HDFCB IN)</a> and <a href="https://www.smartkarma.com/entities/icici-bank-ltd" target="_blank" data-smartkarma-citation="entities:547:1" rel="noopener">ICICI Bank Ltd (ICICIBC IN)</a> while buying all the other stocks in the index.</li>
</ul>


NSE Indices has announced the methodology changes for the NSE Nifty Bank Index (NSEBANK INDEX) that will be implemented in 4 tranches starting in December.

Yes Bank (YES IN) and Union Bank Of India (UNBK IN) will be added to the index to increase the number of constituents from 12 to 14.
Passives need to sell HDFC Bank (HDFCB IN) and ICICI Bank Ltd (ICICIBC IN) while buying all the other stocks in the index.


NIFTY Bank Index: Methodology Changes Announced; US$1.4bn Trade in Tranches

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 twelve 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.

Highlights: Currently twelve 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 (24 Nov)

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/axis-bank-ltd" target="_blank" data-smartkarma-citation="entities:768:1" rel="noopener">Axis Bank (AXSB IN)</a> vs. <a href="https://www.smartkarma.com/entities/icici-bank-ltd" target="_blank" data-smartkarma-citation="entities:547:1" rel="noopener">ICICI Bank (ICICIBC 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 ICICI Bank (ICICIBC IN) and short Axis Bank (AXSB IN) targets a 5% 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 Axis Bank (AXSB IN) vs. ICICI Bank (ICICIBC IN) price ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlights: Going long ICICI Bank (ICICIBC IN) and short Axis Bank (AXSB IN) targets a 5% 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.


Long ICICI Bank (ICICIBC IN) Vs. Short Axis Bank (AXSB IN): Quant-Driven Pair Trade in Indian Banks

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/icici-bank-ltd" target="_blank" data-smartkarma-citation="entities:547:1" rel="noopener">ICICI Bank (ICICIBC IN)</a> vs. <a href="https://www.smartkarma.com/entities/hdfc-bank-ltd-4b6b7a92-9087-468d-9dbe-ab169e77f014" target="_blank" data-smartkarma-citation="entities:558:1" rel="noopener">HDFC Bank (HDFCB 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: The combination of going long <a href="https://www.smartkarma.com/entities/icici-bank-ltd" target="_blank" data-smartkarma-citation="entities:547:1" rel="noopener">ICICI Bank (ICICIBC IN)</a> and short <a href="https://www.smartkarma.com/entities/hdfc-bank-ltd-4b6b7a92-9087-468d-9dbe-ab169e77f014" target="_blank" data-smartkarma-citation="entities:558:1" rel="noopener">HDFC Bank (HDFCB IN)</a> has traded profitably in July and is now flagged again as a fresh opportunity.</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 ICICI Bank (ICICIBC IN) vs. HDFC Bank (HDFCB IN) price-ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlights: The combination of going long ICICI Bank (ICICIBC IN) and short HDFC Bank (HDFCB IN) has traded profitably in July and is now flagged again as a fresh opportunity.

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.


Long ICICI (ICICIBC IN), Short HDFC (HDFCB IN): Fresh Statistical Arbitrage Signal in Indian Banks

India

Nifty Bank Index is a free-float capitalization-weighted index comprised of the most liquid and large capitalized Indian Banking stocks. The index will have 12 stocks from the banking sector, which trade on the National Stock Exchange. The index was developed with a base value of 1000 as of January 1, 2000.

NSE Nifty Bank Index (NSEBANK INDEX EQUITY)

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

NSE Nifty Bank Index (NSEBANK INDEX EQUITY)

HDFC Bank (HDFCB IN): Tactical Outlook Post–NIFTY Bank Index Overhaul

Methodology changes for NSE Nifty Bank Index will start Dec 30. Passive trackers must sell HDFC Bank and ICICI Bank Ltd. We analyze HDFC Bank's...

Nico Rosti

NIFTY Bank Index: Methodology Changes Announced; US$1.4bn Trade in Tranches

Yes Bank and Union Bank will be added to the index. The weighting cap change is a net +ve for HDFCB and net -ve for ICICI Bank. Estimated turnover...

Brian Freitas

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (24 Nov)

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

Gaudenz Schneider

Long ICICI Bank (ICICIBC IN) Vs. Short Axis Bank (AXSB IN): Quant-Driven Pair Trade in Indian Banks

Pair trade with a 5% target-return amid significant deviation of the price ratio between Axis Bank vs. ICICI Bank. Opportunity for quantitative...

Gaudenz Schneider

Long ICICI (ICICIBC IN), Short HDFC (HDFCB IN): Fresh Statistical Arbitrage Signal in Indian Banks

A fresh entry opportunity has emerged as the price ratio crosses the two-standard-deviation threshold again, after fluctuating between the one- and...

Gaudenz Schneider

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

HDFC Bank (HDFCB IN): Tactical Outlook Post–NIFTY Bank Index Overhaul

Methodology changes for NSE Nifty Bank Index will start Dec 30. Passive trackers must sell HDFC Bank and ICICI Bank Ltd. We analyze HDFC Bank's...

Nico Rosti

NIFTY Bank Index: Methodology Changes Announced; US$1.4bn Trade in Tranches

Yes Bank and Union Bank will be added to the index. The weighting cap change is a net +ve for HDFCB and net -ve for ICICI Bank. Estimated turnover...

Brian Freitas

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (24 Nov)

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

Gaudenz Schneider

Long ICICI Bank (ICICIBC IN) Vs. Short Axis Bank (AXSB IN): Quant-Driven Pair Trade in Indian Banks

​Pair trade with a 5% target-return amid significant deviation of the price ratio between Axis Bank vs. ICICI Bank. Opportunity for quantitative...

Gaudenz Schneider

Long ICICI (ICICIBC IN), Short HDFC (HDFCB IN): Fresh Statistical Arbitrage Signal in Indian Banks

A fresh entry opportunity has emerged as the price ratio crosses the two-standard-deviation threshold again, after fluctuating between the one- and...

Gaudenz Schneider

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

Pair trade with a 5% target-return amid significant deviation of the price ratio between Axis Bank vs. ICICI Bank. Opportunity for quantitative...