I am attempting to construct an ETF pair portfolio. The portfolio will comprise of non leveraged ETF's that have a daily volume of over 1 million. An ETF pair will have a correlation of over 0.80, is this correlation reasonable? Will 15-20 ETF pairs be a sufficient number to provide reasonable portfolio diversification? Is short term ETF pair trading a potentially profitable strategy over the long term? Successful pair traders, please provide this forum with your insight. Thanks.
Good evening professional traders, please provide your thoughts on successful ETF pair trading, if this is even possible. Thanks.
Good evening, this ETF pair that may be a promising pair trade, the correlation is 0.80. PowerShares QQQ Russell 2000 Value Index Fund IWN Any professional traders successfully trading Nasdaq 100 vs. Russell 2000 on a daily basis?
If you are limiting your thread to professional traders, I will respectfully bow out. Why ETF's ? ...... Just wondering. I tried to look at your index ETF's for charts, but my cloud charting software wasn't available. Maybe servers are down for mtx this time of night. 20 pairs seem very limiting, But maybe one must consider the nature of the beast. Maybe ETFs will work just fine with 5.
With all due respect, I think your muddling correlation and cointegration ⦠See http://gekkoquant.com/2012/10/21/statistical-arbitrage-correlation-vs-cointegration/