Pairs Trading in Swedish Investment Companies

Sammanfattning: The purpose of this paper is to examine if it is possible to profitably implement a market neutral trading strategy, so-called "pairs trading", on three different Swedish investment companies. It can be concluded that applying a pairs trading strategy on [these three] Swedish investment companies and their underlying listed assets has the potential to beat the market Sharpe ratio. However, the profitability varies and depends on the parameter settings, and on which company the trading strategy is applied to.