Relative value/mean reverting - Long SNAM / Short TERNA
MRPT(c) mean reverting pair trading strategies SRG IM: EUR 3.80; TRN IM: EUR 3.68 We recommend going long Snam SpA and short Terna SpA. While one is a gas utility and the other an electric one, they are very mean reverting. Snam recently underperformed Terna causing a price/value dislocation justifying the trade. The short-term objective is a relative gain of 3-5%. FULL REPORT ATTACHED