In today’s briefing:
- Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (18 Aug)
- Krungthai Card (KTC TB): Still A Buy As Pledged Shares Further Decline
- Macquarie (MQG AU) Vs. ANZ (ANZ AU): Statistical Arbitrage in Aussie Bank Pair
- STOXX Europe50 September 2025 Forecast: BBVA & RHM Set to Join, BAS & MBG to Exit
- CBA (CBA AU) Vs. Bank of Queensland (BOQ AU): Quant Signal Flags Trading Opportunity
- Knowledge Realty Trust IPO Trading – Decent Demand; Leads Past REIT Listings
Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (18 Aug)
- 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: Currently seven pair trade opportunities across two markets and two 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.
Krungthai Card (KTC TB): Still A Buy As Pledged Shares Further Decline
- Back in May this year, shares in Krungthai Card (KTC TB), XSpring (XPG TB), BEC World Public (BEC TB), and The Practical Solution (TPS TB) all went limit down. Twice.
- This situation was discussed in Krungthai Card (KTC TB): Buying Opportunity After Margin Call. Reportedly Mongkol Prakitchaiwattana had pledged his shares in all four companies, leading to margin calls.
- On the 16th August, the SET released an updated list of securities pledged, with pledged shares in KTC now at 2.3% of shares outstanding, down from 16.3% in May.
Macquarie (MQG AU) Vs. ANZ (ANZ AU): Statistical Arbitrage in Aussie Bank Pair
- Context: The Macquarie (MQG AU) vs. ANZ (ANZ AU) price-ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.
- Highlights: Going long Macquarie (MQG AU) and short ANZ (ANZ AU) targets a 5% return to the statistical mean reversion level.
- 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.
STOXX Europe50 September 2025 Forecast: BBVA & RHM Set to Join, BAS & MBG to Exit
- The main forecasted additions are Banco Bilbao Vizcaya Argentari (BBVA SM) and Rheinmetall AG (RHM GR) as they are both surpassing the entry rank.
- The main forecasted deletions are Mercedes-Benz Group (MBG GR) and BASF (BAS GR) as they are both below the exit rank.
- The highest-ranked among Deutsche Bank (DBK GR), BAE Systems (BA/ LN) and Barclays (BARC LN) may replace Diageo Plc (DGE LN) if its price falls further.
CBA (CBA AU) Vs. Bank of Queensland (BOQ AU): Quant Signal Flags Trading Opportunity
- Context: The Commonwealth Bank (CBA AU) vs. Bank of Queensland (BOQ AU) price-ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.
- Highlights: After Commonwealth Bank’s sharp post-earnings drop last week, a mean-reversion model suggests long Commonwealth Bank of Australia (CBA AU) and short Bank Of Queensland (BOQ AU).
- 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.
Knowledge Realty Trust IPO Trading – Decent Demand; Leads Past REIT Listings
- Knowledge Realty Trust (258259D IN) raised around US$551m in its India IPO. The trust undertook a pre-IPO placement round of around INR14bn (US$160m) in June 2025 as well.
- Knowledge Realty Trust (KRT) owns and manages a high-quality office portfolio in India covering 87% of India’s office supply and gross absorption between CY16-1QCY25, as per the CBRE report.
- In this note, we will talk about the trading dynamics.
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