In today’s briefing:
- Kotak Mahindra Bank (KMB IN) Vs. Bajaj Finserv (BJFIN IN): Stat-Arb Pair Trade in Indian Financials
Kotak Mahindra Bank (KMB IN) Vs. Bajaj Finserv (BJFIN IN): Stat-Arb Pair Trade in Indian Financials
- Context: The Kotak Mahindra Bank (KMB IN) vs. Bajaj Finserv (BJFIN 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 and short Bajaj Finserv targets a 6% return.
- 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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