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Today's edition of the Saxo Morning Call features the SaxoStrats team discussing the continuing weakness of the US dollar as commodity prices recover ground and in the wake of key US equity indices hitting all-time highs Thursday.
Article / 13 May 2014 at 6:53 GMT

Saxo equity pair trades: Telenor/TeliaSonera spread jumps

By Mads Koefoed

Though we did see a bit of mean reversion in the top pair of JPMorgan and US Bancorp, the top-ranked pairs in the banking sector did not move much yesterday. The real action was to be found further down the list. Norwegian Telenor and Swedish TeliaSonera saw their spread rise to 2.9 from 1.8 in a single day as the former climbed 2.3 percent vs. 0.3 percent for the latter. The pair has quite solid pair trading characteristics, including high correlation, no less than 21 returns to the mean in the in-sample period, and a half-life of just four.

Telenor vs. TeliaSonera


























-- Edited by Martin O'Rourke

Mads Koefoed is head of macro strategy at Saxo Bank. Find more of Mads' analysis here

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