Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Bottom-Up

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/anz-group-holdings-ltd" target="_blank" data-smartkarma-citation="entities:40898:1" rel="noopener">ANZ Group Holdings (ANZ AU)</a> vs. <a href="https://www.smartkarma.com/entities/vaneck-vectors-australian-ba" target="_blank" data-smartkarma-citation="entities:442:1" rel="noopener">VanEck Australian Banks ETF (MVB AU)</a> price-ratio has deviated more than two standard deviations from its one-year average.</li>
<li>
Highlights: The dislocation highlights the recent outperformance of ANZ vs. the rest of the sector, pointing to a potential underweight in a portfolio context.</li>
<li>
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.</li>
</ul>



Context: The ANZ Group Holdings (ANZ AU) vs. VanEck Australian Banks ETF (MVB AU) price-ratio has deviated more than two standard deviations from its one-year average.

Highlights: The dislocation highlights the recent outperformance of ANZ vs. the rest of the sector, pointing to a potential underweight in a portfolio context.

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.


ANZ (ANZ AU) Has Outrun the Sector — Time to Underweight

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/bank-of-queensland-ltd" target="_blank" data-smartkarma-citation="entities:16606:1" rel="noopener">Bank Of Queensland (BOQ AU)</a> vs. <a href="https://www.smartkarma.com/entities/commonwealth-bank-of-australia" target="_blank" data-smartkarma-citation="entities:14:1" rel="noopener">Commonwealth Bank (CBA AU)</a> price-ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.</li>
<li>
Highlights: Long Bank Of Queensland (BOQ AU) vs. short CBA (CBA AU) targets a 4% return.</li>
<li>
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.</li>
</ul>



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: Long Bank Of Queensland (BOQ AU) vs. short CBA (CBA AU) targets a 4% 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.


Long Bank Of Queensland (BOQ AU) Vs. Short CBA (CBA AU): Proven Stat Arb Pair Trade Returns

Woodside Energy Group Ltd / Equity Bottom-Up

<ul>
<li>
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.</li>
<li>
Highlights: Currently elevenpair trade opportunities across three markets and seven sectors persist.</li>
<li>
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.</li>
</ul>



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 elevenpair trade opportunities across three markets and seven 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.


Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (20 Oct)

<ul>
<li>
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.</li>
<li>
Highlights: Currently 14 pair trade opportunities across four markets and six sectors persist.</li>
<li>
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.</li>
</ul>



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 14 pair trade opportunities across four markets and six 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.


Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (13 Oct)

<ul>
<li>
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.</li>
<li>
Highlights: Currently nine pair trade opportunities across four markets and five sectors persist.</li>
<li>
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.</li>
</ul>



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 nine pair trade opportunities across four markets and five 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.


Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (6 Oct)

Australia

VanEck Vectors Australian Banks ETF is an exchange-traded fund incorporated in Australia. The Fund aims to provide investment returns (before fees and expenses) that closely track the returns of the MVIS Australia Banks Index.

VanEck Vectors Australian Banks ETF (MVB AU)

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
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Dividend (Yield)	0.00

VanEck Vectors Australian Banks ETF (MVB AU)

ANZ (ANZ AU) Has Outrun the Sector — Time to Underweight

Short ANZ vs. long the VanEck Australian Banks ETF in a mean-reversion trade targeting a 4% return — a tactical setup for quantitative and relative...

Gaudenz Schneider

Long Bank Of Queensland (BOQ AU) Vs. Short CBA (CBA AU): Proven Stat Arb Pair Trade Returns

A recurring divergence between Bank of Queensland and Commonwealth Bank offers another 4% pair trade opportunity for quant traders targeting mean...

Gaudenz Schneider

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (20 Oct)

Statistical methodology identifies eleven pair trade opportunities across three markets and seven sectors, offering unique insights into relative...

Gaudenz Schneider

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (13 Oct)

Statistical methodology identifies 14 pair trade opportunities across four markets and six sectors, offering unique insights into relative value.

Gaudenz Schneider

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (6 Oct)

Statistical methodology identifies nine pair trade opportunities across four markets and five sectors, offering unique insights into relative value.

Gaudenz Schneider

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

ANZ (ANZ AU) Has Outrun the Sector — Time to Underweight

Short ANZ vs. long the VanEck Australian Banks ETF in a mean-reversion trade targeting a 4% return — a tactical setup for quantitative and relative...

Gaudenz Schneider

Long Bank Of Queensland (BOQ AU) Vs. Short CBA (CBA AU): Proven Stat Arb Pair Trade Returns

A recurring divergence between Bank of Queensland and Commonwealth Bank offers another 4% pair trade opportunity for quant traders targeting mean...

Gaudenz Schneider

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (20 Oct)

​Statistical methodology identifies eleven pair trade opportunities across three markets and seven sectors, offering unique insights into relative...

Gaudenz Schneider

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (13 Oct)

​Statistical methodology identifies 14 pair trade opportunities across four markets and six sectors, offering unique insights into relative value.

Gaudenz Schneider

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (6 Oct)

​Statistical methodology identifies nine pair trade opportunities across four markets and five sectors, offering unique insights into relative value.

Gaudenz Schneider

Statistical methodology identifies eleven pair trade opportunities across three markets and seven sectors, offering unique insights into relative...

Statistical methodology identifies 14 pair trade opportunities across four markets and six sectors, offering unique insights into relative value.

Statistical methodology identifies nine pair trade opportunities across four markets and five sectors, offering unique insights into relative value.