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

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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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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!

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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