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 (1 Sep)

Long IGO (IGO AU) Vs. Short Iluka (ILU AU): Pair Trade Setup Amid Turnaround Potential

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

CBA (CBA AU) Vs. Bank of Queensland (BOQ AU): Quant Signal Flags Trading Opportunity

Macquarie (MQG AU) Vs. ANZ (ANZ AU): Statistical Arbitrage in Aussie Bank Pair

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

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (18 Aug)

Equity Bottom-Up

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/macquarie-group-ltd" target="_blank" data-smartkarma-citation="entities:310:1" rel="noopener">Macquarie Group (MQG AU)</a> over <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> price-ratio has deviated two standard deviations from its one-year average, presenting a potential relative value opportunity.</li>
<li>
Highlights: The pair is trading just at the border of the 2 standard deviation threshold which triggers the trade open signal. Monitor to find a good entry point.</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 Macquarie Group (MQG AU) over National Australia Bank (NAB AU) price-ratio has deviated two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlights: The pair is trading just at the border of the 2 standard deviation threshold which triggers the trade open signal. Monitor to find a good entry point.

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