AVGO*300-MCHP*800. Asset Correlations 0.78, p-value 0.03
BRX*241-KIM*264. Asset Correlations 0.93, p-value 0.01
Pairs for September 2020
DISCA*100-DISCK*100. Asset Correlations 0.99, p-value 0.08
PRU*500-LNC*600. Asset Correlations 0.94, p-value 0.15
Pairs for August 2020
BRX*241-KIM*264. Asset Correlations 0.87, p-value 0.09.
CMS*300-AEP*200. Asset Correlations 0.89, p-value 0.10.
Pairs for Jul 2020
HPP*200-KRC*100. Correlations 0.89. p-value 0.02.
DHI*100-KBH*100. Correlations 0.84. p-value 0.03.
Pairs for June 2020
DHI*100-KBH*100. Correlations 0.85, p-value 0.04.
To calculate the correlation and cointegration of the pair, I used the portfolioiovisualizer.com service with the following parameters:
Pairs for May 2020
AVGO*300-MCHP*800. Correlation 0.79, p-value 0.01.
Pairs for April 2020
V*200-MA*100. Correlation 0.94, p-value 0.01. Cointegrated.
Pair trading in crisis
The financial crisis has become a good test for the correlation and cointegration of pairs. For example, pairs like V*200-MA*100, AMLP*300-XOM*200, retained their character behavior and did not fall apart.
V*200-MA*100
Pairs for March 2020
XEL*300-AEP*200. Correlation 0.87, p-value 0.03. Cointegrated.
Pairs for february 2020
SPY*100-XLK*200. Correlation 92, p-value 0.63. Not cointegrated.
FAS*300-SPY*200. Correlation 93, p-value 0.28. Not cointegrated.