Jacobs and Levy (1993) categorize long/short equity strategies as market neutral, equitized, and hedge strategies. The market neutral strategy holds both long and short positions with equal market risk exposures at all times. Takashi Kanamura, Svetlozar T. Rachev and Frank J. Fabozzi 9 (1997) examined the usefulness of a hedge fund trading strategy (“pairs trading”) as applied to energy futures markets, focusing on the characteristics of energy futures. The comparative statics of the expected return using the model indicated that both strong mean reversion and high volatility of price spreads give rise to high expected returns from pairs trading.

Alexander, C., Dimitriu, A 10 (2000) in the paper ‘The Cointegration Alpha: Enhanced Index Tracking and Long-Short Market Strategies’ has shown that, when applied to constructing trading strategies, the co-integration technique produces encouraging results.

Vidyamurthy 12004), in his paper on pair trading strategies, enlighten about the details of the algorithms. The paper emphasized on the normalized prices of the assets rather than absolute prices.

Chris Brooks, Apostolos Katsaris and Gita Persand 12 (2005) employed the omega ratio, an approach that considers the entire distribution of returns and not just the mean and variance, the timing strategy based on speculative bubbles is the second best and all approaches outperform a buy-and-hold equities rule.

Steven Skiena 13 (2005) in his research has shown empirically, how to generate excess return through the effective use of the pair trading algorithm in NYSE.

Representative APR 391%

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