Quant Bust 2020
Pairs trading and statistical arbitrage in equities, studied by Kakushadze in 2020. The abstract mentions drawdowns but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“We discuss: (i) why these strategies work during "normal" times; (ii) the market regimes when they work best; and (iii) their limitations and the reasons for why they "break" during extreme market events.”
AssetEquities
StrategyPairs trading
ClaimDrawdown
Long/shortLong-short
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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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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