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 18 pair trade opportunities persist across six markets and nine sectors.</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 18 pair trade opportunities persist across six markets and nine sectors.

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 (22 June 2026)

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 Jun 12th (reported today). The aggregated short interest was USD47.3bn.</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 Computershare, Stockland, ASX, Brambles, GPT.</li>
</ul>


We analyzed the changes in short interest of ASX Stocks as of Jun 12th (reported today). The aggregated short interest was USD47.3bn.
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 Computershare, Stockland, ASX, Brambles, GPT.


ASX Short Interest Weekly (Jun 12th): Computershare, Stockland, ASX, Brambles, GPT

Research and consultancy, Tabbush Report

Daniel Tabbush

Research and consultancy

Tabbush Report

We provide research and consultancy on Asian banks. Our focus is on what we call “Asian bank research, without the noise.” We are interested in the most critical swing-factors for banks, the NPL and credit cycle, and where we believe there is a gap between perception and reality. We often focus on the less studied components of bank financial statements.  Our research is highly thematic, sometimes examining unlisted banks and companies as a window on mainstream banks. 

Being independent allows us to look at smaller banks, often overlooked by others. Analysis of BIS bank guidelines in the context of Asia, is also a focal point, while we also analyze global banks operating in the region. We use what we believe is the most comprehensive, reliable financials database, SNL Financial. S&P Capital IQ augments our database, with corporate data and CEIC, with economics. 

Asian bank research, without the noise.

Thematic (Sector/Industry)

During 2020 there will be dramatically higher bad loans for global banks. This is despite less strict NPL recognition, interest payment holidays, and general forbearance. It is not operational that banks do not report major deterioration in credit metrics. The greatest risk in NPL delta is for banks with essentially no bad loans at present, holding all else equal. The delta can be exponential, and can be mirrored by credit costs as well as other impairment costs. This may be the only time where India’s banks stand out relatively well compared with Asian and global peers. Hong Kong is where we are most concerned, but also Korea, Australia and UK.

During 2020 there will be dramatically higher bad loans for global banks. This is despite less strict NPL recognition, interest payment holidays, and general forbearance. It is not operational that banks do not report major deterioration in credit metrics. The greatest risk in NPL delta is for banks with essentially no bad loans at present, holding all else equal. The delta can be exponential, and can be mirrored by credit costs as well as other impairment costs. This may be the only time where India’s banks stand out relatively well compared with Asian and global peers. Hong Kong is where we are most concerned, but also Korea, Australia and UK.  

There is risk that banks will have to cancel, suspend or cut dividends. During a period of low-cost or free loans from governments and regulators to banks, it is difficult to envisage that regulators would sanction these very same banks to provide most of their earnings to shareholders. There are varying degrees of risk depending on payout ratios. Several banks around the world have reported dividend payout ratios at 70% or higher. There is more to lose at these banks, than others and this could be another source of concern, other than credit and liquidity risk. Australia’s banks seem to have all of these risks, in spades.

There is risk that banks will have to cancel, suspend or cut dividends. During a period of low-cost or free loans from governments and regulators to banks, it is difficult to envisage that regulators would sanction these very same banks to provide most of their earnings to shareholders. There are varying degrees of risk depending on payout ratios. Several banks around the world have reported dividend payout ratios at 70% or higher. There is more to lose at these banks, than others and this could be another source of concern, other than credit and liquidity risk. Australia’s banks seem to have all of these risks, in spades.

After the closing of books for end of calendar year 2019, there is a material event: coronavirus. Most of Asia’s banks have not yet reported results for the period, including any in China, Hong Kong and Singapore. We would expect that auditors or banks themselves, force commentary and disclosure on pending risks. This should show up in loan loss reserve build, e.g. higher credit costs. It is possible to show up in higher loss given default (LGD) or probability of default (PD) for some loan buckets. It would be wrong to assume that the quarter that recently ended will be robust, as it does not include January and February. Besides, conditions were far from strong in the first place: HK protests is just one reason.

After the closing of books for end of calendar year 2019, there is a material event: coronavirus. Most of Asia’s banks have not yet reported results for the period, including any in China, Hong Kong and Singapore. We would expect that auditors or banks themselves, force commentary and disclosure on pending risks. This should show up in loan loss reserve build, e.g. higher credit costs. It is possible to show up in higher loss given default (LGD) or probability of default (PD) for some loan buckets. It would be wrong to assume that the quarter that recently ended will be robust, as it does not include January and February. Besides, conditions were far from strong in the first place: HK protests is just one reason.

Australia

Westpac Banking Corporation offers general and savings banking services.  The Company provides investment portfolio management and advice, insurance services,  consumer finance, and money market services among other services.  Westpac Banking Corp. serves individuals, businesses, and corporations worldwide.

Price Gauge
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Westpac Banking Corp Sp Adr (WBK US)

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (22 June 2026)

Discover 18 pair trade opportunities across six markets and nine sectors using statistical mean-reversion methodology for actionable insights.

Gaudenz Schneider

ASX Short Interest Weekly (Jun 12th): Computershare, Stockland, ASX, Brambles, GPT

We analyzed ASX short interest report for the past week and highlight short interest changes in Computershare, Stockland, ASX, Brambles, GPT.

Ke Yan, CFA, FRM

Banks – Bad Loan Delta

During 2020 there will be dramatically higher bad loans for global banks. This is despite less strict NPL recognition, interest payment holidays,...

Daniel Tabbush

Global Banks – Dividend Risk

There is risk that banks will have to cancel, suspend or cut dividends. During a period of low-cost or free loans from governments and regulators...

Daniel Tabbush

Asian Banks – Material Event

After the closing of books for end of calendar year 2019, there is a material event: coronavirus. Most of Asia’s banks have not yet reported...

Daniel Tabbush

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (22 June 2026)

​Discover 18 pair trade opportunities across six markets and nine sectors using statistical mean-reversion methodology for actionable insights.

Gaudenz Schneider

ASX Short Interest Weekly (Jun 12th): Computershare, Stockland, ASX, Brambles, GPT

We analyzed ASX short interest report for the past week and highlight short interest changes in Computershare, Stockland, ASX, Brambles, GPT.

Ke Yan, CFA, FRM

Banks – Bad Loan Delta

During 2020 there will be dramatically higher bad loans for global banks. This is despite less strict NPL recognition, interest payment holidays,...

Daniel Tabbush

Global Banks – Dividend Risk

There is risk that banks will have to cancel, suspend or cut dividends. During a period of low-cost or free loans from governments and regulators...

Daniel Tabbush

Asian Banks – Material Event

After the closing of books for end of calendar year 2019, there is a material event: coronavirus. Most of Asia’s banks have not yet reported...

Daniel Tabbush

Discover 18 pair trade opportunities across six markets and nine sectors using statistical mean-reversion methodology for actionable insights.