Enhancing Pairs Trading with News Analytics - a Deutsche Bank study
Pairs Trading: Using Structured News to Reduce Divergence Risk
Deutsche Bank recent research shows how they improve pairs trading with RavenPack’s news analytics. Their enhanced signal significantly reduces divergence risk and also boosts the average return per pair.
Here are some of the highlights:
- The percentage of non-converged pairs dropped by about half from 15% to 7%
- Average profit per pair increased from 2.3% to 2.8% for the European strategy, and from 1.6% to 1.9% for the US Strategy
- Return distribution becomes more positively skewed
Access the white paper on http://bit.ly/1NCIzMr