Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Bottom-Up

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.

<ul>
<li>
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>
<li>
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>
<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 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

Toyota Motor Corporation manufactures, sells, leases, and repairs passenger cars, trucks, buses, and their related parts worldwide. The Company also operates financing services through their subsidiaries. Toyota Motor builds homes, produces pleasure boats, and develops intelligent transportation systems including radar cruise control and electronic toll collection systems.

<ul>
<li>
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>
<li>
Highlights: Currently twelve pair trade opportunities across four markets and five 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 twelve pair trade opportunities across four markets and five 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 (1 Dec)

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/toyota-motor-corp" target="_blank" data-smartkarma-citation="entities:73:1" rel="noopener">Toyota Motor (7203 JP)</a> vs. <a href="https://www.smartkarma.com/entities/suzuki-motor-corp" target="_blank" data-smartkarma-citation="entities:732:1" rel="noopener">Suzuki Motor (7269 JP)</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 Toyota and short Suzuki targets a 7% 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 Toyota Motor (7203 JP) vs. Suzuki Motor (7269 JP) price-ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlights: Going long Toyota and short Suzuki targets a 7% 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.


Toyota (7203 JP) Vs. Suzuki (7269 JP): Statistical Arbitrage Pair Reignites with 7% Target Return

Event-Driven

Alibaba Group Holding Limited provides online sales services. The Company provides internet infrastructure, electronic commerce, online financial, and internet content services through its subsidiaries. Alibaba Group Holding offers its products and services worldwide.

<ul>
<li>
<a href="https://www.smartkarma.com/entities/alibaba-group-holding-ltd-d7b798e2-202d-4e01-9a1e-799e2ae8f0c7" target="_blank" data-smartkarma-citation="entities:28434:1" rel="noopener">Alibaba (9988 HK)</a> / <a href="https://www.smartkarma.com/entities/alibaba-group-holding-ltd" target="_blank" data-smartkarma-citation="entities:787:1" rel="noopener">Alibaba (BABA US)</a> will announce quarterly results on Tuesday, November 25, 8:30 p.m. HKT (7:30 a.m. U.S. Eastern Time)</li>
<li>Options markets anticipate an above average move with a bearish bias in traders' expectations. Implied volatility is expected to drop significantly after the event.</li>
<li>Get ready for <a href="https://www.smartkarma.com/entities/alibaba-group-holding-ltd-d7b798e2-202d-4e01-9a1e-799e2ae8f0c7" target="_blank" data-smartkarma-citation="entities:28434:1" rel="noopener">Alibaba</a>'s earnings announcement. Potential above-average volatility in Alibaba has the potential to impact the wider market and Chinese benchmark indices.</li>
</ul>



Alibaba (9988 HK) / Alibaba (BABA US) will announce quarterly results on Tuesday, November 25, 8:30 p.m. HKT (7:30 a.m. U.S. Eastern Time)
Options markets anticipate an above average move with a bearish bias in traders' expectations. Implied volatility is expected to drop significantly after the event.
Get ready for Alibaba's earnings announcement. Potential above-average volatility in Alibaba has the potential to impact the wider market and Chinese benchmark indices.


Alibaba (9988 HK / BABA US): Brace for a Big Earnings Move

BlueScope Steel Limited supplies steel products and solutions. The Company manufactures steel slabs, plates, hot and cold rolled coils, and coated and painted strip products for building and construction, automotive, whitegoods, and manufacturing applications. BlueScope Steel serves customers in Asia, Australia, New Zealand, and the United States.

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/bluescope-steel-ltd" target="_blank" data-smartkarma-citation="entities:207:1" rel="noopener">Bluescope Steel (BSL AU)</a> vs. <a href="https://www.smartkarma.com/entities/sims-metal-management-ltd" target="_blank" data-smartkarma-citation="entities:18184:1" rel="noopener">Sims Metal Management (SGM AU)</a> price-ratio has deviated two standard deviations from its one-year average, presenting a potential relative value opportunity.</li>
<li>
Highlights: Going long Bluescope (BSL AU) and short Sims (SGM 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 Bluescope Steel (BSL AU) vs. Sims Metal Management (SGM AU) price-ratio has deviated two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlights: Going long Bluescope (BSL AU) and short Sims (SGM 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.


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

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

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

Pair Trade: Stockland vs. The GPT Group price ratio signals a ~4% relative value trade to the one-standard-deviation line, ideal for quant traders...

Gaudenz Schneider

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (1 Dec)

Statistical methodology identifies twelve pair trade opportunities across four markets and five sectors, offering unique insights into relative...

Gaudenz Schneider

Toyota (7203 JP) Vs. Suzuki (7269 JP): Statistical Arbitrage Pair Reignites with 7% Target Return

Toyota and Suzuki’s price ratio has again breached key statistical thresholds, presenting a fresh arbitrage opportunity targeting 7% mean-reversion.

Gaudenz Schneider

Alibaba (9988 HK / BABA US): Brace for a Big Earnings Move

Alibaba (9988 HK // BABA US) to report today, Tuesday 25 Nov, after the HK market close and before the US market open. Option markets are pricing a...

Gaudenz Schneider

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

A 6% target return opportunity emerges as the successful Bluescope vs. Sims pair trade opens for a second time in a short period, signaling renewed...

Gaudenz Schneider

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

Pair Trade: Stockland vs. The GPT Group price ratio signals a ~4% relative value trade to the one-standard-deviation line, ideal for quant traders...

Gaudenz Schneider

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (1 Dec)

​Statistical methodology identifies twelve pair trade opportunities across four markets and five sectors, offering unique insights into relative...

Gaudenz Schneider

Toyota (7203 JP) Vs. Suzuki (7269 JP): Statistical Arbitrage Pair Reignites with 7% Target Return

Toyota and Suzuki’s price ratio has again breached key statistical thresholds, presenting a fresh arbitrage opportunity targeting 7% mean-reversion.

Gaudenz Schneider

Alibaba (9988 HK / BABA US): Brace for a Big Earnings Move

Alibaba (9988 HK // BABA US) to report today, Tuesday 25 Nov, after the HK market close and before the US market open. Option markets are pricing a...

Gaudenz Schneider

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

A 6% target return opportunity emerges as the successful Bluescope vs. Sims pair trade opens for a second time in a short period, signaling renewed...

Gaudenz Schneider

Statistical methodology identifies twelve pair trade opportunities across four markets and five sectors, offering unique insights into relative...