Article / 29 May 2014 at 6:09 GMT

Saxo equity pair trades: Danone starting to outperform Casino

Head of Macro Strategy / Saxo Bank
Denmark
By Mads Koefoed

This week's top pair trade candidate, which consists of a long position in Danone and a short position in Casino Guichard Perrachon, was featured on Monday. Since then the spread first widened a bit, but is now starting to revert back towards the zero mean with Danone up 0.3 percent so far this week while Casino is down 0.9 percent. There is, however, still plenty to go as the spread is still nearly two standard deviations away from the mean at minus 1.9, and, with a half-life of 13 trading days (in-sample) the spread has one of the lowest mean reversion speeds this week. 

Danone vs. Casino


























-- Edited by Martin O'Rourke

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