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.

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

Yancoal (YAL AU) Vs. Woodside (WDS AU): Statistical Arb Opportunity in Aussie Energy

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

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (10 Nov)

Australia’s Big Banks: Options Flash Mixed Signals Ahead of Earnings

Long Macquarie (MQG AU) Vs. Short ANZ (ANZ AU): Statistical Spread Hits Trigger Zone in Aussie Banks

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

Equity Bottom-Up

<ul>
<li>Australian banks’ November earnings triggered sharp and divergent share-price reactions, widening performance dispersion across the sector.</li>
<li>Based on the most recent moves, ANZ (ANZ AU) and Westpac (WBC AU) appear overvalued versus peers and potentially overbought, while two other banks screen as comparatively oversold.</li>
<li>Statistical analysis identifies sixteen actionable opportunities for quantitative traders targeting mean reversion plays within the sector.</li>
</ul>


Australian banks’ November earnings triggered sharp and divergent share-price reactions, widening performance dispersion across the sector.
Based on the most recent moves, ANZ (ANZ AU) and Westpac (WBC AU) appear overvalued versus peers and potentially overbought, while two other banks screen as comparatively oversold.
Statistical analysis identifies sixteen actionable opportunities for quantitative traders targeting mean reversion plays within the sector.


VanEck Vectors Australian Banks ETF (MVB AU)

Australia & New Zealand Bankin (ANZBY US)

Commonwealth Bank of Australia (CMWAY US)

Relative Value in Australian Banks: ANZ/Westpac Overbought; Macquarie/Bendigo to Catch Up

Macquarie Group

Relative Value in Australian Banks: ANZ/Westpac Overbought; Macquarie/Bendigo to Catch Up