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Market Neutral Strategy
Market neutral strategies are
especially suitable for today’s highly volatile and uncertain market environment. In
the following, we introduce a market neutral relative value trading strategy that
consistently generates attractive returns with relatively small risks. According to our
extensive statistical analyses and historical tests, the strategy can produce a yearly
return of 60% +- 17%. A real time trading system has been developed that can provide
up-to-the-minute equity trading buy/sell signals. We call this system the Smart
Trader 60.
Historical
Test
Figure 26. Performance of model portfolio using the Smart Trader 60 System.
At AASTOCKS.com,we have run a portfolio by applying the Pairtrade strategies,
using actual market prices, along with a bid/ask spread of 1/8. Investment results
for a ten-year period extend from the pre-1987 crash to January 1999. Also
presented here (Figure 28) are two more-recent years from 9/2/96 to 9/2/98:
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