Fig. 2

Returns on the strategies. Figure 2 presents the portfolio returns using the cointegrating strategy (solid line) as opposed to using the buy-and-hold strategy (dashed line) for various starting points. Starting period varies starting from February 2009, January 201, January 2013 and January 2015. Each portfolio starts with the assumptions that 1000 dollars are invested both in the buy-and-hold and the trading strategy portfolio. Thus, in all graphs the lines have a starting point of a 1000 basis points