ABBV / JNJ
Excluded- CointegrationAdjusted q-value
- 0.960Fail · threshold 0.1
- Spread stationarityAdjusted q-value
- 0.755Fail · threshold 0.1
Why it did not qualify
- Corporate-action review is incomplete
- Returns are not sufficiently correlated
- Hedge ratio is unstable
- Current gap is too small
- Recent observations do not confirm the signal
- Long-term relationship is not supported
- Spread does not show sufficient mean reversion