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 Sep)

Bendigo (BEN AU) Vs. NAB (NAB AU): Price-Ratio Signals 5% Pair Trade Potential In Aussie Banks

Stat-Arb Pair Trade: Long Central Bank Of India (CBOI IN) Vs. Short Indian Overseas Bank (IOB IN)

Bajaj Finance (BAF IN) Vs. Kotak Mahindra Bank (KMB IN): A Relative Value Play

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (1 Sep)

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

Long Macquarie (MQG AU) Vs. Short NAB (NAB AU): A Quant-Driven Pair Trade

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (25 Aug)

Equity Bottom-Up

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/kotak-mahindra-bank-ltd" target="_blank" data-smartkarma-citation="entities:126:1" rel="noopener">Kotak Mahindra Bank (KMB IN)</a> vs. <a href="https://www.smartkarma.com/entities/bajaj-finance-ltd" target="_blank" data-smartkarma-citation="entities:8950:1" rel="noopener">Bajaj Finance (BAF IN)</a> price-ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.</li>
<li>
Highlights: Going long <a href="https://www.smartkarma.com/entities/kotak-mahindra-bank-ltd" target="_blank" data-smartkarma-citation="entities:126:1" rel="noopener">Kotak Mahindra Bank (KMB IN)</a> and short <a href="https://www.smartkarma.com/entities/bajaj-finance-ltd" target="_blank" data-smartkarma-citation="entities:8950:1" rel="noopener">Bajaj Finance (BAF IN)</a> targets a 9% return, with the long position 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: The Kotak Mahindra Bank (KMB IN) vs. Bajaj Finance (BAF 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 (KMB IN) and short Bajaj Finance (BAF IN) targets a 9% return, with the long position 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.


NSE Nifty Bank Index (NSEBANK INDEX EQUITY)

Long Kotak Mahindra (KMB IN) Vs. Short Bajaj Finance (BAF IN): Statistical Arbitrage in Indian Banks