Derivatives and Quantitative Strategist

Gaudenz Schneider

Financial Economist with over 20 years of investment experience across all asset classes. He has worked as a sell-side derivatives researcher and trader on one of London’s largest trading floors, and as a structurer and portfolio manager for the buy-side in Switzerland. As head of Quantitative Strategy at an Asian WealthTech company, Gaudi and his team designed over 50 distinct investment strategies for institutional clients in Australasia.

Gaudi’s analysis follows a scientific approach based on empirical research and quantitative evidence.

CBA, ANZ, Westpac, NAB: Volatility Runs High Ahead of Imminent Catalysts

Australia’s Big Banks: Options Flash Mixed Signals Ahead of Earnings

Six Fresh Relative Value Opportunities in Australia Signal New Stat Arb Trades

Statistical Arbitrage in Focus as Westpac (WBC AU) Runs Ahead of Peers

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

Long Macquarie (MQG AU) Vs. Short ANZ (ANZ AU): Statistical Spread Hits Trigger Zone in Aussie Banks

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

ICICI Prudential Life (IPRU IN) Vs. ICICI Lombard General (ICICIGI IN): Stat Arb Targeting 5% Return

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.


VanEck Vectors Australian Banks ETF (MVB AU)

Australia & New Zealand Bankin (ANZBY US)

Commonwealth Bank of Australia (CMWAY US)

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