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 Roundup: Performance Recap of Pair Trades in Asia-Pacific

Region (RGN AU) Vs. Waypoint REIT (WPR AU) - Trade Exit and Take Profit

Uco Bank Vs. Indian Overseas Bank: Quant-Driven Pair Trade with Fundamental Edge

Relative Value Opportunity: Region Group (RGN AU) Vs. Waypoint REIT (WPR AU)

Perseus Mining Vs. Capricorn Metals: Striking Gold with Statistical Arbitrage

Ampol (ALD AU) Vs. Woodside Energy (WDS AU): Fueling an Aussie Mean-Reversion Trade

Bajaj Finance (BAF IN) Vs. Kotak Mahindra Bank (KMB IN) - Trade Exit and Take Profit

Equity Bottom-Up

<ul>
<li>
Context: Statistical analysis of a relative value opportunity in the Australian Banking industry between <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> and <a href="https://www.smartkarma.com/entities/national-australia-bank-ltd" target="_blank" data-smartkarma-citation="entities:15:1" rel="noopener">National Australia Bank (NAB AU)</a>.</li>
<li>
Highlights: Going long ANZ and short NAB targets a 4.5% return to the statistical mean reversion level, with ANZ supported by cheaper valuations.</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: Statistical analysis of a relative value opportunity in the Australian Banking industry between ANZ Group Holdings (ANZ AU) and National Australia Bank (NAB AU).

Highlights: Going long ANZ and short NAB targets a 4.5% return to the statistical mean reversion level, with ANZ 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.


Long ANZ (ANZ AU), Short National Australia Bank (NAB AU): Banking on Statistical Arbitrage