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.

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (8 Dec)

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (15 Dec)

Long ARB Corp (ARB AU) Vs. Short Amotiv (AOV AU): Statistical Arbitrage Targeting a 6% Return

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (24 Nov)

Long Bluescope (BSL AU) Vs. Short Sims (SGM AU): Statistical Arbitrage in Aussie Steel

BHP (BHP AU) Vs. Rio Tinto (RIO AU): Stat Arb Pair Trade Opportunity in High Profile Aussie Miners

JB Hi-Fi (JBH AU) Vs. Wesfarmers (WES AU): Statistical Arbitrage as Spread Hits Three-Sigma

Equity Bottom-Up

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<li>
Context: The <a href="https://www.smartkarma.com/entities/bluescope-steel-ltd" target="_blank" data-smartkarma-citation="entities:207:1" rel="noopener">Bluescope Steel (BSL AU)</a> vs. <a href="https://www.smartkarma.com/entities/sims-metal-management-ltd" target="_blank" data-smartkarma-citation="entities:18184:1" rel="noopener">Sims Metal Management (SGM AU)</a> price-ratio has deviated two standard deviations from its one-year average, presenting a potential relative value opportunity.</li>
<li>
Highlights: Going long Bluescope (BSL AU) and short Sims (SGM AU) targets a 6% 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 Bluescope Steel (BSL AU) vs. Sims Metal Management (SGM AU) price-ratio has deviated two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlights: Going long Bluescope (BSL AU) and short Sims (SGM AU) 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.


Bluescope (BSL AU) Vs. Short Sims (SGM AU): Pair Trade Back in Play