Does Simple Pairs Trading Still Work?

Financial Analysts Journal
July/August 2010 | Vol. 66 | No. 4 | 13 pages
Source: CFA Institute
Binh Do Robert Faff

US$0.00 Member | US$0.00 Candidate | US$15.00 Nonmember



Despite confirming the continuing downward trend in profitability of pairs trading, this study found that the strategy performs strongly during periods of prolonged turbulence, including the recent global financial crisis. Moreover, alternative algorithms combined with other measures enhance trading profits considerably, by 22 bps a month for bank stocks.

View more information

Credits · About the CE Program
1 CE (including 0 SER) Manage CE Credits

People who viewed this page also viewed:

Online Course
Updating Portfolio Management Skills
CFA Institute
Trading Strategies Series: Pair Trading
Singapore Exchange
Chapter 14: Factor Investing
CFA Institute: CFA Digest

Loading ...