Does simple pairs trading still work

B Do, Robert Faff

Research output: Contribution to journalArticlepeer-review

121 Citations (Scopus)


Despite confirming the continuing downward trend in profitability of pairs trading, this study found that the strategy performs strongly during periods of prolonged turbulence, including the recent global financial crisis. Moreover, alternative algorithms combined with other measures enhance trading profits considerably, by 22 bps a month for bank stocks.
Original languageEnglish
Pages (from-to)83-95
Number of pages13
JournalFinancial Analysts Journal
Issue number4
Publication statusPublished - Aug 2010


  • pairs trading
  • bank stocks
  • trading
  • financial crisis


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