In today’s briefing:
- Long ANZ (ANZ AU), Short National Australia Bank (NAB AU): Banking on Statistical Arbitrage
- Two Asian Life Insurance Stocks (Both Up >30% YTD) Worth Closer Looks
- HK Connect SOUTHBOUND Flows (To 20 June 2025); Net Buying, Volumes Up, TECH Down, BANKS Bought
- Relative Value Roundup: Performance Recap of Pair Trades in Asia-Pacific
Long ANZ (ANZ AU), Short National Australia Bank (NAB AU): Banking on Statistical Arbitrage
- Context: Statistical analysis of a relative value opportunity in the Australian Banking industry between ANZ Group Holdings (ANZ AU) and National Australia Bank (NAB AU).
- Highlights: Going long ANZ and short NAB targets a 4.5% return to the statistical mean reversion level, with ANZ 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.
Two Asian Life Insurance Stocks (Both Up >30% YTD) Worth Closer Looks
- Share prices of China Life and Prudential plc have been up by 33% and 40% – 50% YTD, respectively.
- China Life’s agency restructuring is bearing fruit, as evidenced by increasing agency productivity, and is expected to continue driving new business growth and margin expansion.
- Our previous thesis for Prudential plc remains largely intact. Albeit the strong share price performance YTD, valuation upside remains as its new business multiple continues to re-rate.
HK Connect SOUTHBOUND Flows (To 20 June 2025); Net Buying, Volumes Up, TECH Down, BANKS Bought
- Gross SOUTHBOUND volumes up to US$15+bn a day this past 5-day week. Net buying still positive but still below US$500mm/day.
- Among the top buys as a percentage of volume, FINANCIALS stood out, dramatically. PROPERTIES too. Among top sells, INFO TECH again. 10 weeks in a row negative. Tencent bigly sold.
- The data tables below update on a daily basis in the Tools section of Smartkarma. The SOUTHBOUND Flow Monitor and AH Monitor are both there free for SK readers.
Relative Value Roundup: Performance Recap of Pair Trades in Asia-Pacific
- 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: Six pair trade opportunities across three markets and three sectors persist. Two
- 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.
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