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/region-re-ltd" target="_blank" data-smartkarma-citation="entities:20100:1" rel="noopener">Region Group (RGN AU)</a> vs. <a href="https://www.smartkarma.com/entities/waypoint-reit" target="_blank" data-smartkarma-citation="entities:22851:1" rel="noopener">Waypoint REIT (WPR AU)</a> Price-Ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.</li>
<li>The relative value opportunity can be implemented as a long-short pair trade or as relative over-/underweights in a long only context.  </li>
<li>This Insight provides a target return, discusses trade setup, liquidity and risk management strategies.</li>
</ul>


The Region Group (RGN AU) vs. Waypoint REIT (WPR AU) Price-Ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.
The relative value opportunity can be implemented as a long-short pair trade or as relative over-/underweights in a long only context.  
This Insight provides a target return, discusses trade setup, liquidity and risk management strategies.


Relative Value Opportunity: Region Group (RGN AU) Vs. Waypoint REIT (WPR AU)

Asia Pac ECM and Index Rebal, Shenton Research

Ke Yan, CFA, FRM

Asia Pac ECM and Index Rebal

Asia Pac IPO & Placement Research, China Biotech

DZT Research

DZT Research is an independent Asia Pacific equity specialist. Our quantitative research covers index rebalancing flows, alongside exchange data analytics accross Asia Pacific. On the equity capital markets side, we focus on Asia Pacific ECM, especially biotech and TMT. Our lead analyst is frequently cited by international media.

Quantitative Analysis

<ul>
<li>We analyzed the changes in short interest of ASX Stocks as of May 30th (reported today). The aggregated short interest was USD27.2bn.</li>
<li>We tabulate league tables for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.</li>
<li>We highlight short interest changes in Sigma Pharmaceuticals, Evolution Mining, Westpac, Goodman, Wisetech Global, Rio Tinto, Treasury Wine Estates, Gpt, National Australia Bank.</li>
</ul>


We analyzed the changes in short interest of ASX Stocks as of May 30th (reported today). The aggregated short interest was USD27.2bn.
We tabulate league tables for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.
We highlight short interest changes in Sigma Pharmaceuticals, Evolution Mining, Westpac, Goodman, Wisetech Global, Rio Tinto, Treasury Wine Estates, Gpt, National Australia Bank.


ASX Short Interest Weekly (May 30th): Sigma Pharmaceuticals, Evolution Mining, Westpac, Goodman

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>
<a href="https://www.smartkarma.com/entities/waypoint-reit" target="_blank" data-smartkarma-citation="entities:22851:1" rel="noopener">Waypoint REIT (WPR AU)</a> will be deleted from the <a href="https://www.smartkarma.com/entities/vaneck-vectors-australian-property-etf" target="_blank" data-smartkarma-citation="entities:30998:1" rel="noopener">Vaneck Vectors Australian Property ETF (MVA AU)</a> next week. There are float changes and capping changes too.</li>
<li>Estimated one-way turnover is 4.3% and will result in a round-trip trade of A$49m. There are 3 stocks with over 0.5x ADV to trade from passive trackers.</li>
<li>We had <a href="https://www.smartkarma.com/entities/waypoint-reit" target="_blank" data-smartkarma-citation="entities:22851:1" rel="noopener">Waypoint REIT (WPR AU)</a> as a delete in December, but the stock was not deleted from the index. We had it as a close delete this time.</li>
</ul>



Waypoint REIT (WPR AU) will be deleted from the Vaneck Vectors Australian Property ETF (MVA AU) next week. There are float changes and capping changes too.
Estimated one-way turnover is 4.3% and will result in a round-trip trade of A$49m. There are 3 stocks with over 0.5x ADV to trade from passive trackers.
We had Waypoint REIT (WPR AU) as a delete in December, but the stock was not deleted from the index. We had it as a close delete this time.


MV Australia A-REITs Index Rebalance: Waypoint REIT (WPR AU) Deleted

<ul>
<li>The upcoming rebalance of the MVIS Australia A-REIT Index will be implemented at the close on 20 December. There are no constituent changes, but there are float and capping changes.</li>
<li>Estimated one-way turnover at the rebalance is 2.9% resulting in a one-way trade of A$17m. There is limited impact on the index constituents.</li>
<li>The largest inflows are in <a href="https://www.smartkarma.com/entities/charter-hall-group" target="_blank" data-smartkarma-citation="entities:5593:1" rel="noopener">Charter Hall</a>, <a href="https://www.smartkarma.com/entities/gpt-group" target="_blank" data-smartkarma-citation="entities:168:1" rel="noopener">Gpt Group</a>, <a href="https://www.smartkarma.com/entities/dexus" target="_blank" data-smartkarma-citation="entities:403:1" rel="noopener">Dexus Property</a> and <a href="https://www.smartkarma.com/entities/region-re-ltd" target="_blank" data-smartkarma-citation="entities:20100:1" rel="noopener">Region RE</a> while the largest outflows will be from <a href="https://www.smartkarma.com/entities/goodman-group" target="_blank" data-smartkarma-citation="entities:959:1" rel="noopener">Goodman Group</a>, <a href="https://www.smartkarma.com/entities/scentre-group" target="_blank" data-smartkarma-citation="entities:9538:1" rel="noopener">Scentre Group</a> and <a href="https://www.smartkarma.com/entities/federation-centres" target="_blank" data-smartkarma-citation="entities:335:1" rel="noopener">Vicinity Centres</a>.</li>
</ul>


The upcoming rebalance of the MVIS Australia A-REIT Index will be implemented at the close on 20 December. There are no constituent changes, but there are float and capping changes.
Estimated one-way turnover at the rebalance is 2.9% resulting in a one-way trade of A$17m. There is limited impact on the index constituents.
The largest inflows are in Charter Hall, Gpt Group, Dexus Property and Region RE while the largest outflows will be from Goodman Group, Scentre Group and Vicinity Centres.


MV Australia A-REITs Index Rebalance: Only Float & Capping Changes

Australia

Region RE Limited operates as a real estate investment trust. The Company focuses on investments in shopping centre, liquor retailers, and discount department stores. Region RE serves customers in Australia.

Price Gauge
52-week Range	0.00 - 0.00
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Region RE (RGN AU)

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

Relative Value Opportunity: Region Group (RGN AU) Vs. Waypoint REIT (WPR AU)

The Region Group vs. Waypoint REIT price ratio presents a potential relative value opportunity for investors to explore through pair trades or...

Gaudenz Schneider

ASX Short Interest Weekly (May 30th): Sigma Pharmaceuticals, Evolution Mining, Westpac, Goodman

We analyzed ASX short interest report for the past week and highlight short interest changes in Sigma Pharmaceuticals (SIG AU), Evolution Mining...

Ke Yan, CFA, FRM

MV Australia A-REITs Index Rebalance: Waypoint REIT (WPR AU) Deleted

Waypoint REIT will be deleted from the MVA ETF next Friday and passives need to sell over 3.5x ADV in the stock. Estimated one-way turnover is 4.3%...

Brian Freitas

MV Australia A-REITs Index Rebalance: Only Float & Capping Changes

No constituent changes, but a few float and capping changes. Estimated one-way turnover at the rebalance is 2.9% resulting in a one-way trade of...

Brian Freitas

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

Relative Value Opportunity: Region Group (RGN AU) Vs. Waypoint REIT (WPR AU)

​The Region Group vs. Waypoint REIT price ratio presents a potential relative value opportunity for investors to explore through pair trades or...

Gaudenz Schneider

ASX Short Interest Weekly (May 30th): Sigma Pharmaceuticals, Evolution Mining, Westpac, Goodman

We analyzed ASX short interest report for the past week and highlight short interest changes in Sigma Pharmaceuticals (SIG AU), Evolution Mining...

Ke Yan, CFA, FRM

MV Australia A-REITs Index Rebalance: Waypoint REIT (WPR AU) Deleted

Waypoint REIT will be deleted from the MVA ETF next Friday and passives need to sell over 3.5x ADV in the stock. Estimated one-way turnover is 4.3%...

Brian Freitas

MV Australia A-REITs Index Rebalance: Only Float & Capping Changes

No constituent changes, but a few float and capping changes. Estimated one-way turnover at the rebalance is 2.9% resulting in a one-way trade of...

Brian Freitas

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

The Region Group vs. Waypoint REIT price ratio presents a potential relative value opportunity for investors to explore through pair trades or...