Dual-class share spread

In plain terms

Some companies list two share classes with the same economic claim but different prices. That gap should be close to nothing — and when it widens, it tends to revert.

How it works

The spread between the two classes of a single issuer is traded directly — long the cheaper class against the richer — waiting for the two to converge.

What it’s tested against

The anchor is unusually clean: identical cashflows, and — rare for the firm — both legs are actually borrowable at retail. But the breadth is thin (few such pairs exist), the largest pair is capital-walled, and most of the convergence happens the same day, which holds a conservative estimate of the edge to about a 0.29 Sharpe.

Data

Dual-class equity price history.

Researched — real, and unusually retail-implementable, but too thin and same-day to stand on its own; a documented funding-grade result.