March 15th, 2020

Pairs Trading - Performance Tracker

By Umang Koul

Following screenshots show the updated performance(12 March) of Pairs Trading portfolios in Indian and US markets. These portfolios were created by ALPHABETA on 31 December. You can find our last week’s pairs trading blog on US markets here and Indian markets here.

Pic: Pairs Trading Portfolio Performance (US markets - DOW) as on 12 March

Pic: Pairs Trading Portfolio Performance (India - NIFTY50) as on 12 March

As you can see from the screenshots, even after the markets being highly volatile, both the portfolios are on the positive side in terms of cumulative returns. Sharpe ratio or the risk adjusted returns continues to be higher than the benchmark (DJI for US and NIFTY50 for India).
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