NO.PZ2023010903000043
问题如下：
Aleksy Nowacki is a new portfolio manager at Heydon Investments. Vicky Knight, a junior analyst at Heydon, assists with managing the fund. Nowacki has been hired to start a second fund, the Heydon Quant Fund, which will use quantitative active equity strategies.
Because the Heydon Quant Fund occasionally performs pairs trading using statistical arbitrage, Nowacki creates three examples of pairs trading candidates, presented in Exhibit 1. Nowacki asks Knight to recommend a suitable pair trade.
选项：
A.Stock 1 and Stock 2
Stock 3 and Stock 4
Stock 5 and Stock 6
解释：
Knight should recommend the Stock 3 and Stock 4 pair trade. Two stocks make for an ideal pairs trade if (1) the current price ratio differs from its long-term average and shows historical mean reversion and (2) the two stocks’ returns are highly correlated. The relationship between Stock 3 and Stock 4 meets these conditions.
如题