Does Pairs Trading Still Work? What the Classic Study Found
The standard test of pairs trading covered US stocks 1962–2002: up to 11% a year, a third of that after 1989. What it assumed and what it left out.
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The standard test of pairs trading covered US stocks 1962–2002: up to 11% a year, a third of that after 1989. What it assumed and what it left out.