The MacroTourist

The MacroTourist

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The MacroTourist
The MacroTourist
EQUAL-WEIGHT INDEXES
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EQUAL-WEIGHT INDEXES

The 'tourist explains why this edge exists and the difficulties in exploiting it

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Kevin Muir
Jul 14, 2023
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The MacroTourist
The MacroTourist
EQUAL-WEIGHT INDEXES
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There are few investing edges that last. If it is an arbitrage, eventually others figure it out and drive returns down. Back in the 1990s, I figured out how to automate the inter-listed arb between stocks that were listed both on the Toronto Stock Exchange and the New York Stocks Exchange or Nasdaq. According to efficient market finance theory, our SUN …

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