Pelican Bay Pairs
Sector-matched pairs held to a near-zero benchmark beta; the deliberately boring one.
About these figures · Computed from the published daily record; Sharpe and Sortino use excess returns over a 2.1% annual bill rate; win rate, profit factor and holding period come from the round-trip log. Ratios are suppressed below one month of observations.
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How this strategy works
Pelican Bay trades cointegrated large-cap pairs within sectors — long the cheap leg, short the rich one — entered when the spread stretches past two standard deviations of its 60-day range and closed on convergence or a 10-session time stop. The book runs 8 to 14 pairs, beta-hedged daily to keep net market exposure inside ±5%. The reference book targets 4.5% annualized volatility. This strategy is designed to be dull: its value is diversification, not headline return, and subscribers should expect long flat stretches punctuated by small, steady convergence gains.