Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy

Дата: 
04/01/13
Аномалии: 
Авторы: 
João F. Caldeira Guilherme V. Moura
Аннотация: 
Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the construction of meanreverting spreads with a certain degree of predictability. This paper applies cointegration tests to identify stocks to be used in pairs trading strategies. In addition to estimating long-term equilibrium and to model the resulting residuals, we select stock pairs to compose a pairs trading portfolio based on an indicator of profitability evaluated in-sample. The profitability of the strategy is assessed with data from the São Paulo stock exchange ranging from January 2005 to October 2012. Empirical analysis shows that the proposed strategy exhibit excess returns of 16:38% per year, Sharpe Ratio of 1:34 and low correlation with the market.
Описание: 

Собственно, ничего принципиально нового. Тест стат. арбтитража на бразильском рынке, дневки. Из 50 наиболее ликвидных бумаг формировались пары, затем они прогонялись через Энгла и Йохансена. Отбирались 20 лучших, затем тестировалась торговля. Доходность 16.4% годовых и шарп 1.34.