Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Bottom-Up

BHP Group Ltd operates as an international resources company. The Company offers mineral exploration and production, including coal, iron ore, gold, titanium, ferroalloys, nickel, and copper concentrate, as well as petroleum exploration, production, and refining. BHP Group serves customers worldwide.

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Context: This Insight follows up on previously highlighted relative value opportunities, using a statistical methodology based on mean-reversion to identify opportunities in paired securities.</li>
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Highlights: Currently eleven pair trade opportunities across three markets and six sectors persist.</li>
<li>
Why read: Statistical analysis offers a unique perspective on relative value. Gain insights into actionable statistical pair trade opportunities and monitor performance of previously highlighted pairs.</li>
</ul>



Context: This Insight follows up on previously highlighted relative value opportunities, using a statistical methodology based on mean-reversion to identify opportunities in paired securities.

Highlights: Currently eleven pair trade opportunities across three markets and six sectors persist.

Why read: Statistical analysis offers a unique perspective on relative value. Gain insights into actionable statistical pair trade opportunities and monitor performance of previously highlighted pairs.


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

Stockland is a diversified Australian property group. The Group develops and manages Retail centers, Residential Communities and Retirement Living assets with a focus on regional centers and outer metropolitan. Stockland also owns a portfolio of Office and Industrial assets.

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Context: The <a href="https://www.smartkarma.com/entities/gpt-group" target="_blank" data-smartkarma-citation="entities:168:1" rel="noopener">GPT Group (GPT AU)</a> vs. <a href="https://www.smartkarma.com/entities/stockland" target="_blank" data-smartkarma-citation="entities:661:1" rel="noopener">Stockland (SGP AU)</a> price-ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.</li>
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Highlights: Going long Stockland (SGP AU) and short The GPT Group (GPT AU) targets a 4% return, with Stockland (SGP AU) supported by a lower P/E multiple.</li>
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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 GPT Group (GPT AU) vs. Stockland (SGP AU) price-ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlights: Going long Stockland (SGP AU) and short The GPT Group (GPT AU) targets a 4% return, with Stockland (SGP AU) supported by a lower P/E multiple.

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.


Stockland (SGP AU) Vs. The GPT Group (GPT AU): Valuation Supports Long/Short Stat Arb Opportunity

YES BANK Limited provides banking services. The Bank offers deposits, personal loans, e-banking, trade finance, corporate, and business banking services. YES BANK serves the food and agribusiness, life sciences, healthcare, biotechnology, telecommunications, media, information technology, and infrastructure development industries in India.

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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>
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Highlights: Going long Yes Bank (YES IN) and short IDFC First Bank (IDFCFB IN) targets a 6% return.</li>
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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.


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

Yancoal Australia Ltd. provides mining services. The Company mines, sells, exports, and markets clean and coking coal. Yancoal operates internationally.

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Context: The <a href="https://www.smartkarma.com/entities/yancoal-australia-ltd" target="_blank" data-smartkarma-citation="entities:4145:1" rel="noopener">Yancoal Australia (YAL AU)</a> vs. <a href="https://www.smartkarma.com/entities/woodside-energy-group-ltd" target="_blank" data-smartkarma-citation="entities:13190:1" rel="noopener">Woodside Energy (WDS AU)</a> price ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.</li>
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Highlights: Going long Yancoal Australia (YAL AU) and short Woodside Energy (WDS AU) 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 Yancoal Australia (YAL AU) vs. Woodside Energy (WDS AU) price ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlights: Going long Yancoal Australia (YAL AU) and short Woodside Energy (WDS AU) 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.


Long Yancoal (YAL AU) Vs. Short Woodside (WDS AU): Proven Pair Trade Back in Play, Targeting 6%

Woodside Energy Group Ltd / Equity Bottom-Up

Woodside Energy Group Ltd offers services to the underground coal mining industry, and builds oil, natural gas, and water pipelines.

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/woodside-energy-group-ltd" target="_blank" data-smartkarma-citation="entities:13190:1" rel="noopener">Woodside Energy Group (WDS AU)</a> vs. <a href="https://www.smartkarma.com/entities/ampol-ltd" target="_blank" data-smartkarma-citation="entities:345:1" rel="noopener">Ampol (ALD AU)</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 Woodside Energy Group (WDS AU) and short Ampol (ALD AU) targets a 8% 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 Woodside Energy Group (WDS AU) vs. Ampol (ALD AU) price ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlights: Going long Woodside Energy Group (WDS AU) and short Ampol (ALD AU) targets a 8% 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.


Long Woodside (WDS AU) Vs. Short Ampol (ALD AU): Repeat Pair Trade Opens with 8% Target Return

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.

Gaudenz Schneider
Derivatives and Quantitative Strategist

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

Statistical methodology identifies eleven pair trade opportunities across three markets and six sectors, offering unique insights into relative...

Gaudenz Schneider

Stockland (SGP AU) Vs. The GPT Group (GPT AU): Valuation Supports Long/Short Stat Arb Opportunity

A fresh trade entry signal: after moving between the two-Standard Deviation (open) and one-SD (close) bands, the price ratio has again crossed the...

Gaudenz Schneider

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

Pair trade with a 6% target-return amid significant deviation of the price ratio between Yes Bank vs. IDFC First Bank. Opportunity for quantitative...

Gaudenz Schneider

Long Yancoal (YAL AU) Vs. Short Woodside (WDS AU): Proven Pair Trade Back in Play, Targeting 6%

Potential statistical arbitrage opportunity with a 6% return by going long YAL AU and short WDS AU. Essential for quantitative traders seeking mean...

Gaudenz Schneider

Long Woodside (WDS AU) Vs. Short Ampol (ALD AU): Repeat Pair Trade Opens with 8% Target Return

Woodside Energy Group vs. Ampol price ratio signals a ~8% relative value trade to the one-standard-deviation line, ideal for quant traders...

Gaudenz Schneider

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

​Statistical methodology identifies eleven pair trade opportunities across three markets and six sectors, offering unique insights into relative...

Gaudenz Schneider

Stockland (SGP AU) Vs. The GPT Group (GPT AU): Valuation Supports Long/Short Stat Arb Opportunity

A fresh trade entry signal: after moving between the two-Standard Deviation (open) and one-SD (close) bands, the price ratio has again crossed the...

Gaudenz Schneider

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

Pair trade with a 6% target-return amid significant deviation of the price ratio between Yes Bank vs. IDFC First Bank. Opportunity for quantitative...

Gaudenz Schneider

Long Yancoal (YAL AU) Vs. Short Woodside (WDS AU): Proven Pair Trade Back in Play, Targeting 6%

Potential statistical arbitrage opportunity with a 6% return by going long YAL AU and short WDS AU. Essential for quantitative traders seeking mean...

Gaudenz Schneider

Long Woodside (WDS AU) Vs. Short Ampol (ALD AU): Repeat Pair Trade Opens with 8% Target Return

​Woodside Energy Group vs. Ampol price ratio signals a ~8% relative value trade to the one-standard-deviation line, ideal for quant traders...

Gaudenz Schneider

Statistical methodology identifies eleven pair trade opportunities across three markets and six sectors, offering unique insights into relative...

Woodside Energy Group vs. Ampol price ratio signals a ~8% relative value trade to the one-standard-deviation line, ideal for quant traders...