In today’s briefing:
- S&P/ASX Index Rebalance (Sep 2025): New Methodology & The Many Changes
- Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (8 Sep)
- Bank of Queensland (BOQ AU) Vs. CBA (CBA AU): Quant-Driven Pair Trade Following Potential Overshoot
- Iron Ore At 105 USD/Ton: Sweet Spot for Fenix Resources (FEX AU)
S&P/ASX Index Rebalance (Sep 2025): New Methodology & The Many Changes
- There is 1 change for the S&P/ASX50 Index, 3 changes for the S&P/ASX100 Index, 9 changes for the S&P/ASX200 (AS51 INDEX) and 17 adds/ 12 deletes for the S&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&P/ASX100 Index and S&P/ASX300 Index changes.
Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (8 Sep)
- 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.
Bank of Queensland (BOQ AU) Vs. CBA (CBA AU): Quant-Driven Pair Trade Following Potential Overshoot
- Context: The Bank Of Queensland (BOQ AU) vs. Commonwealth Bank (CBA AU) price-ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.
- Highlights: Going long Bank Of Queensland (BOQ AU) and short Commonwealth Bank of Australia (CBA AU) targets a 4% return, with Bank Of Queensland (BOQ AU) supported by cheaper valuations.
- 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.
Iron Ore At 105 USD/Ton: Sweet Spot for Fenix Resources (FEX AU)
- We are now set for a decline in the benchmark grade from 62% to 61% effective January 2nd, 2026, for Platts, aligning the benchmark with more commonly traded fines.
- Alot of exchanges have begun to adopt this change, and we will update our FY26 numbers for it as well. Iron ore remains elevated at 105 USD/ton, climbing 2.3% WoW.
- We continue to advocate strongly for Fenix Resources (FEX AU). Read Fenix Resources (FEX AU): Exciting Value-Adding Catalyst Can Triple Production Again for a detailed outline of our thesis.
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