In today’s briefing:
- Long Kotak Mahindra (KMB IN) Vs. Short Bajaj Finance (BAF IN): Statistical Arbitrage in Indian Banks
Long Kotak Mahindra (KMB IN) Vs. Short Bajaj Finance (BAF IN): Statistical Arbitrage in Indian Banks
- Context: The Kotak Mahindra Bank (KMB IN) vs. Bajaj Finance (BAF IN) price-ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.
- Highlights: Going long Kotak Mahindra Bank (KMB IN) and short Bajaj Finance (BAF IN) targets a 9% return, with the long position 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.
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