RT Journal Article SR Electronic T1 Trading in the Presence of Cointegration JF The Journal of Alternative Investments FD Institutional Investor Journals SP 85 OP 97 DO 10.3905/jai.2012.15.1.085 VO 15 IS 1 A1 Alexander Galenko A1 Elmira Popova A1 Ivilina Popova YR 2012 UL https://pm-research.com/content/15/1/85.abstract AB In this article, the authors design a new trading strategy by using cointegration as a measure of long-term dependencies. They show that the theoretical expected return of this strategy is always positive and illustrate it with four exchange traded funds that track world stock market indexes. The empirical results show that the proposed strategy not only outperforms a buy-and-hold strategy for the individual exchange traded funds but produces positive returns for the worst period of the subprime mortgage crisis (September 2008 through March 2009).TOPICS: Exchange-traded funds and applications, exchange-traded funds and applications, statistical methods, performance measurement