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.

From Banks to Miners: Cheap Vs. Rich Volatility Across Australia

Cheap Vs. Rich Volatility: Diverging Signals Across Alibaba (9988 HK), Tencent (700 HK) & The HSI

Tariff Shock Sends HK Volatility Higher: Meituan (3690 HK) Looks Cheap, Alibaba (9988 HK) Stays Rich

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (22 Sep)

NAB (NAB AU) Dislocation Vs. Peers Highlights Mean-Reversion Setup

Australia Banks - Insolvencies Data to 30 June 2025 Suggest Weak and Worsening Credit Metrics.

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (15 Sep)

Equity Bottom-Up

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/westpac-banking-corp" target="_blank" data-smartkarma-citation="entities:444:1" rel="noopener">Westpac Banking (WBC AU)</a> vs. <a href="https://www.smartkarma.com/entities/vaneck-vectors-australian-ba" target="_blank" data-smartkarma-citation="entities:442:1" rel="noopener">VanEck Australian Banks (MVB AU) </a>price-ratio has deviated more than two standard deviations from its one-year average.</li>
<li>
Highlights: The dislocation highlights the recent outperformance of Westpac vs. some of its peers, pointing to a potential underweight in a portfolio context.</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 Westpac Banking (WBC AU) vs. VanEck Australian Banks (MVB AU) price-ratio has deviated more than two standard deviations from its one-year average.

Highlights: The dislocation highlights the recent outperformance of Westpac vs. some of its peers, pointing to a potential underweight in a portfolio context.

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.


VanEck Vectors Australian Banks ETF (MVB AU)

Statistical Arbitrage in Focus as Westpac (WBC AU) Runs Ahead of Peers