Department of Finance, National Chung Cheng University, Chia-Yi, Taiwan, R.O.C.
School of Accounting and Finance, Xiamen University Tan Kah Kee College, Fujian, P.R.C.
PLoS One. 2021 Jan 15;16(1):e0244541. doi: 10.1371/journal.pone.0244541. eCollection 2021.
In this paper, we make use of the replicating asset for statistical arbitrage trading, where the replicating asset is constructed by a portfolio that mimics the returns from a factor model. Using the replicating asset in the context of statistical arbitrage has never been done before in the literature. A novel optimal statistical arbitrage trading model is applied, and we derive the average transaction length and return for the Berkshire A stock and its replicating asset. The results show that the statistical arbitrage method proposed by Bertram (2010) is profitable by using the replicating asset. We also compute the average returns under different transaction costs. For the statistical arbitrage using the replicating asset of the factor model, average annual returns were at least 33%. Robustness is examined with the S&P500. Our results can provide hedge fund managers with a new technique for conducting statistical arbitrage.
在本文中，我们利用复制资产进行统计套利交易，其中复制资产是通过构建一个投资组合来构建的，该投资组合模拟了因子模型的收益。在文献中，以前从未在统计套利的背景下使用复制资产。我们应用了一种新颖的最优统计套利交易模型，并推导出了伯克希尔 A 股票及其复制资产的平均交易长度和收益。结果表明，使用复制资产的 Bertram（2010）提出的统计套利方法是有利可图的。我们还计算了不同交易成本下的平均收益。对于使用因子模型的复制资产的统计套利，平均年回报率至少为 33%。我们还使用 S&P500 进行了稳健性检验。我们的研究结果可为对冲基金经理提供一种进行统计套利的新技术。
