Pair Strategy Buy HLL Short ITC

PAIR STRATEGY
What Pair Strategy is all about?
  • Pair Strategy is taking a long short position within a sector on a market neutral basis based on the price ratio movement of the stocks.
  • This strategy takes on advantage when there is dispersion in the current ratio of the two correlated stocks.
  • The positions are squared off when the relative prices return to their averages mean.
  • The Strategy is purely based on quantitative analysis.

1. Long HLL and Short ITC (CMP & M Cap taken on Apr02, 09):

HLL (LONG) ITC (SHORT)

NSE Code HINDUNILVR ITC
Spot Rs 231 Rs 185.3
Future Price Rs 232.75 Rs 186.85
M-Cap Rs cr 50355 Rs cr 69940
3Months High Rs 271.9 Rs 190.90
3 Months Low Rs 210.85 Rs 155.60


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