Pairs trading is a venerable trading strategy. There is agreement that it worked fine in the far past. But it is less clear if it still profitable today. In this working paper the universe of eligible pairs is defined by the holdings of a given ETF. It is shown that the stocks must be from ETFs...

Cover -- Title Page -- Copyright -- Contents -- Preface -- Acknowledgments -- Introduction -- Part 1 Introduction to the ETF Market Place -- Chapter 1 How Did We End Up Here? -- The History of Investment Products -- In the Beginning, There Were Closed-End Funds -- Mutual Funds -- The Creation of...

We document economically large momentum profits when sorting ETFs on returns over the past two to four years. A value-weighted, long-short strategy based on ETF momentum delivers Carhart (1997) four-factor alphas of up to 1.20% per month. Neither cross-sectional stock momentum nor co-variation...