Несколько лет назад один немецкий миллиардер начал парный Trading с двумя классами акций Volkswagen. Ended up, that he threw himself under the train.
The strategy of pair trading – buying one stock against selling another within one sector – looks attractive in theory., but can be a real killer of your portfolio.
This is how it works: when you trade a stock in a pair, you buy the laggard and sell the overtaker. You bet on reverting to mean. In other words, you think, what stock, which performs relatively poorly, over the next period will straighten and overtake that, what worked well.
In the oil sector, this could be, for example, Exxon Mobil (XOM) against Royal Dutch (RDS), in the healthcare sector something like GlaxoSmithKline (GSK) against Pfizer (PFE).
This is a popular strategy, and opportunities can be easily spotted on the chart, where the ratio of one stock to another is displayed, ie. on a relative chart.
Здесь вы видите schedule компании потребительских товаров Unilever (AND) against his competitor Procter & Gamble (PG). This is a three-year chart, and when the line goes up, this means, that UN is ahead of PG, а когда вниз – PG обгоняет UN.
They change in a narrow range. They are two well-run companies in a very stable sector., so when one share lags behind, the other must sooner or later follow her. Вроде бы все просто!
Unfortunately, the reality is, that I saw a lot of people, trading pairs trading latest 20 years, but haven't met a single private trader, who would make significant money, trading it. Maybe this is not the case for computer programs., who sell intraday, but for people without such computer power, this is a money-draining strategy, насколько я понимаю.
Why i think so? Firstly, there is usually a good reason for one share to outperform its competitors over a period of time. This could be a fundamental change in business, or new leadership, or maybe the two stocks were not so comparable, as at first it seemed.
Let me give you an example of pair trading, which ended very badly.
Here you can see the relative graph between General Motors (GM) и Ford (F) between 2002 And 2012. You can bet, что между 2002 And 2008 was trading in the range, and if you had enough patience, strategy would make money.
but, you would stay in 2008 long lagging GM versus short F, with a coefficient between 2.5 And 3.0. This position would lose all your money., since the ratio went to zero when GM went bankrupt in 2009. Therefore, a lagging betting strategy is a bad strategy for investing your money..
Other questions about pair trading are, that you pay a lot of commission to your broker, and that the time period for the return to mean may be significantly longer, than you originally hoped. Besides, with the spread widening wider and wider, more and more traders will enter this trade, just like you did, creating a huge consensus position, where all traders will be on the same side of the trade and everyone is losing money and everyone is nervous.
Great chances for that, that the spread will expand further and all these traders will start to cut their positions.
If pairs trading drove a billionaire to suicide, I think that means you should stay away from him too. My recommendation: keep it simple - don't trade pairs.
Transfer:
author: Lex van Dam
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