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Pair trading indices: shorting the AEX

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ING stuwt AEX (Photo credit: Gerard Stolk (vers le Midi-Carême)) I am Dutch and I know from first hand experience that the Dutch economy is an open economy. When world trade slows down this immediately effects the Dutch stock exchange. Although this sounds like a bad thing, I figured this could also be used as a sort of counter balance in a pair trading strategy.

Below are some graphs of my exploration of this idea.
The idea is to sell short on the AEX index and buy different other indices.

Short: blue line
Long: green line
Difference: red line