{"id":472,"date":"2011-09-07T19:48:23","date_gmt":"2011-09-07T19:48:23","guid":{"rendered":"http:\/\/quantpedia.com\/?p=472"},"modified":"2019-08-22T05:47:10","modified_gmt":"2019-08-22T05:47:10","slug":"sample-strategy-4-soccer-clubs-stocks-arbitrage","status":"publish","type":"post","link":"https:\/\/vvv.quantpedia.com\/es\/sample-strategy-4-soccer-clubs-stocks-arbitrage\/","title":{"rendered":"Sample strategy #4 &#8211; Soccer Clubs&#8217; Stocks Arbitrage"},"content":{"rendered":"<p>\n\t&nbsp;&nbsp; One remarkable academic study from <strong>Bernile<\/strong> and <strong>Lyandres<\/strong> shows <strong>there are inefficiencies in publicly listed soccer clubs&#39; stocks<\/strong> which can be exploited. Investors systematically overvalue stocks before important matches as they believe in positive outcomes. Teams often draw or lose a game and stocks incur negative returns. Aimple trading strategy could be created by shorting soccer clubs&#39; stocks before important matches. A complicated variant of this strategy (not stated in this version, but theoretically feasible) could be created by using booking shops to hedge equity market transactions.<\/p>\n<p>\n\t<strong>&nbsp;&nbsp; Performance and risk characteristics<\/strong> of this unconventional strategy looks interesting &#8211; backtest indicates <strong>more then 40% p.a. performance.<\/strong> Although the estimated <strong>50% volatility<\/strong> isn&#39;t low, this strategy still offers a compelling <strong>Sharpe ratio of 0.76<\/strong>.<\/p>\n<p>\n\t&nbsp;&nbsp; The ource paper can be found on the following web page: <a href=\"http:\/\/www.fma.org\/Denver\/Papers\/pairetf.pdf\">http:\/\/69.175.2.130\/~finman\/Turin\/Papers\/soccer_nov30_2008.pdf<\/a><\/p>\n<p>\n\t&nbsp;&nbsp; Our strategy overview with <strong>extracted trading rules<\/strong> and hypothetical <strong>performance chart with probability bands<\/strong> can be accessed here: <a href=\"http:\/\/www.quantpedia.local\/Screener\/Details\/108\">www.quantpedia.local\/Screener\/Details\/108<\/a><\/p>","protected":false},"excerpt":{"rendered":"<p>\n\t&nbsp;&nbsp; Let&#39;s view one totally <strong>unconventional trading strategy. <\/strong><\/p>\n<p>\n\t<strong>&nbsp;&nbsp; Sport betting<\/strong> is the favorite entertainment of many people.. However bookmakers are reportedly more skilled at predicting game outcomes than bettors and betting markets are therefore extraordinarily efficient. Betting shops&#39; wide spreads are an additional obstacle. This means that it is exceptionally hard to beat the house in this game. Luckily, betting shops are not the only place where we can place bets on match results as several <strong>soccer teams<\/strong> are publicly <strong>traded on equity markets<\/strong>. Shares of those clubs are sensitive to teams&#39; game results, so are there any inefficiencies?<\/p>","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[],"tags":[],"class_list":["post-472","post","type-post","status-publish","format-standard","hentry"],"_links":{"self":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/472","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/comments?post=472"}],"version-history":[{"count":0,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/472\/revisions"}],"wp:attachment":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/media?parent=472"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/categories?post=472"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/tags?post=472"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}