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Pairs trading using exchange-traded funds: a profitability analysis of the strategy under minimum volatility constraints.

Hals, Charles
(2017)

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Hals_45071000_2017.pdf
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Details

Supervisors
Henrard, Luc
Faculty
Louvain School of Management
Degree label
Master [120] en sciences de gestion
Abstract
Exchange-traded funds, ETFs, are one of the biggest financial innovation of this last decade and have seen a huge growth these last years. In this thesis, I made empirical analyses about the profitability of the pairs trading strategy, a well-known strategy used by many hedge funds. While they usually apply this strategy with stocks, this thesis focuses on the profitability when using exchange-traded funds. Indeed, these securities seem to have the characteristics that increase the profitability of the strategy, while not having those that decrease it.