Key Takeaways
- • The primary source is a PLOS-hosted academic paper titled "Optimal statistical arbitrage trading of Berkshire Hathaway stock and its replicating portfolio," authored by AS Chen and dated 2021.
- • The paper models statistical arbitrage on Berkshire Hathaway Class A shares against a replicating asset pair built from a factor model.
- • Publisher excerpts state that the replicating-asset strategy produced average annual returns of at least 33%, with robustness examined in the paper.
- • The research extends Bertram (2010) optimal statistical arbitrage framework and reports that it is profitable using the replicating asset, with implications for hedge fund strategies.
Summary
The PLOS article, titled "Optimal statistical arbitrage trading of Berkshire Hathaway stock and its replicating portfolio," is an academic study by AS Chen, indexed in 2021 and cited by eight subsequent works at the time of the publisher's listing. The paper examines optimal statistical arbitrage trading of Berkshire Hathaway Class A shares, using a replicating asset constructed as a portfolio that mimics the target security through a factor model.
According to the publisher excerpts, average annual returns for the statistical arbitrage strategy using the replicating asset were at least 33%. The author reports that robustness of these results was examined. The study also addresses the relationship between expected return, the parameter a, and transaction costs, and includes analysis applying the same framework to the S&P 500 using a replicating portfolio.
The paper builds on the statistical arbitrage method proposed by Bertram (2010), which the author describes as profitable when implemented with the replicating asset and as capable of providing hedge fund-style returns. Related literature in the publisher's index covers pairs trading frameworks, relative value arbitrage between two or more securities, and the expected Sharpe ratio of optimal statistical arbitrage strategies.
The primary source text available for this summary consists largely of publisher navigation and metadata, so the figures above are drawn from publisher excerpts rather than the full paper. Readers should consult the original study for methodology, transaction cost assumptions, and the complete robustness analysis before drawing conclusions about implementability.
According to the publisher excerpts, average annual returns for the statistical arbitrage strategy using the replicating asset were at least 33%. The author reports that robustness of these results was examined. The study also addresses the relationship between expected return, the parameter a, and transaction costs, and includes analysis applying the same framework to the S&P 500 using a replicating portfolio.
The paper builds on the statistical arbitrage method proposed by Bertram (2010), which the author describes as profitable when implemented with the replicating asset and as capable of providing hedge fund-style returns. Related literature in the publisher's index covers pairs trading frameworks, relative value arbitrage between two or more securities, and the expected Sharpe ratio of optimal statistical arbitrage strategies.
The primary source text available for this summary consists largely of publisher navigation and metadata, so the figures above are drawn from publisher excerpts rather than the full paper. Readers should consult the original study for methodology, transaction cost assumptions, and the complete robustness analysis before drawing conclusions about implementability.
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