1. SPLV (yellow) QQQ (green), SPHB (blue);Performane of ETF USMV (red)
2. The IDU has a P&L of 46.1%, a Sharpe ratio of 0.86 and a drawdown of 12.4%. So from the Sharpe ratio the IDU and the ITB are the same. One could boost up the IDU by investing a higher percentage in each pair. The IYE does not work at all. I tried several other industry sectors. But they perform either weak or as bad as the IYE. The IDU and the ITB are the only reasonable sectors I could identify. This is inline with the results in [4]. There is too much junk in most industrial ETFs. The utilities and homebuilder are relative stable sectors;The ITB performs best with a P&L of 152.6%, a Sharpe ratio of 0.86 and a drawdown of 15.1%
3. Pairs Trading: Performance of a Relative Value Arbitrage Rule