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 (15 Dec)

Yes Bank (YES IN) Vs. IDFC First Bank (IDFCBK IN): Quant Divergence Opens Statistical Arb Window

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

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

Equity Bottom-Up

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/yes-bank-ltd" target="_blank" data-smartkarma-citation="entities:767:1" rel="noopener">Yes Bank (YES IN)</a> vs. <a href="https://www.smartkarma.com/entities/idfc-first-bank-limited" target="_blank" data-smartkarma-citation="entities:26934:1" rel="noopener">IDFC First Bank (IDFCFB 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 Yes Bank (YES IN) and short IDFC First Bank (IDFCFB IN) 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 Yes Bank (YES IN) vs. IDFC First Bank (IDFCFB IN) price ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlights: Going long Yes Bank (YES IN) and short IDFC First Bank (IDFCFB IN) 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.


NSE Nifty Bank Index (NSEBANK INDEX EQUITY)

NSE Nifty Financial Services I (NSEFIN INDEX EQUITY)

Long Yes Bank (YES IN) Vs. Short IDFC First Bank (IDFCFB IN): Quant-Driven Pair Trade Targeting 6%