using pairs from the same industry and similar fundamentals should yield higher returns if matching firms
exhibit higher volatility.
Strategy details
Interpretation of results in relation to existing literature
Collect data
• Record return on the Daily (120 days)
• Select top 15 pairs from 50 pairs (100 companies)
Explanation on data collection
- Top 15 pairs were selected based on the co-efficiency of 50 pairs
- Record the return of 15 pairs
- If both sides exceed 30% of Normal, you can trade/B. If both sides exceed 30% of Normal
Conclusion
Sample Solution
