M of a Kind: A Multivariate Approach at Pairs Trading
Pairs trading and statistical arbitrage in equities over 2000–2006, studied by Perlin in 2006. The abstract mentions a Sharpe ratio, alpha, profits, t-statistics, transaction costs and the size of the universe but not a benchmark, an out-of-sample test or multiple testing.
“Considering realistic transaction costs, the analysis of performance was conducted with the calculation of raw and excessive returns, beta and alpha calculation, and the use of bootstrap methods for comparing performance indicators against portfolios build with random trading signals.”
AssetEquities
StrategyPairs trading
FrequencyDaily
Sample window2000–2006
Also stated: Sharpe ratio, Alpha, Profit, t-statistic, Long-short, costs, universe of 57 assets
Missing from abstract: benchmark, out-of-sample test, multiple testing
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The paper's neighbourhoodPairs trading and statistical arbitrage by year
FamilyPairs trading and statistical arbitrage93Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 909
AssetEquities51
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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