Profiting from Mean-Reverting Yield Curve Trading Strategies

• Main Authors: CHUA, Choong Tze, KOH, Winston T. H., Ramaswamy, Krishna
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2005
• Subjects: Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/2489; https://ink.library.smu.edu.sg/context/lkcsb_research/article/3488/viewcontent/ChuaKokESAM04_142.pdf
• Institution: Singapore Management University

A large class of fixed income trading strategies focuses on opportunities offered by the interest rate term structure. This paper studies a set of yield curve trading strategies that are based on the view that the yield curve mean-reverts to an unconditional curve. These mean-reverting trading strat...