EWJ - Latency Arbitrage Concepts Applied To APAC Market ETFs
Investment Thesis
Latency arbitrage is based on a lead-lag relationship between a "faster" market/instrument and a "slower" market/instrument. I will investigate whether such a relationship exists between some APAC markets, and their relevant ETFs in the US market.
It is possible to use the APAC market movement direction to create a trading strategy which trades the respective ETF, and that this strategy outperforms both a passive investment in SPY and a passive investment in the ETF. While individual strategies do not always outperform, diversification across multiple APAC index ETFs smooths out portfolio returns, reduces the