Dual Listed Arbitrage Strategy that works on paper, not in code by Mrlee

Mrlee INVESTOR

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I thought I would share a strategy I've been interested in recently, and that's dual listed arbitrage.

Theory is that dual listed stocks with greater voting rights (ie UA vs UAA) should track each other very closely and the spread between UAA and UA should reflect the premium one gets for getting greater voting rights.

When that spread increases to a level that is out of the ordinary, it is time to buy the cheaper stock and short the expensive stock. I just implemented the long strategy, but feel free to add a short component as well.

Also and suggestions and comments are more than welcome!

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Mrlee

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Jack Simonson

Hi Mrlee,

This is a great theory for a Framework Algorithm, and we actually implemented our own version of this strategy as an open-source, free-to-use Alpha a while ago that you can view here. Hopefully this will provide some inspiration for you to make improvement upon!

Mrlee INVESTOR

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