Supercointegrated
Abstract
---- Pairs trading strategies exploit temporary deviations from long term equilibrium relationships. This article analyzes the performance of pair-trading strategies from
a portfolio perspective. We construct pairs trading portfolios with dynamic triggers. Our results exhibit a superior performance of pair-trading portfolio against standard pairs-trading strategies and simple buy-and-hold investments of the benchmark market index in terms of Sharpe ratio
Supercointegrated
Palabras Clave
Cointegration, Pairs Trading, Ratio de SharpeCointegration, Pairs Trading, Sharpe Ratio