Profiting from Mean-Reverting Yield Curve Trading Strategies
This article 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 strategies exploit deviations in the level, slope, and curvature of the yield curve from historical norms. Some mean-rever...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2006
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/456 https://ink.library.smu.edu.sg/context/soe_research/article/1455/viewcontent/Profiting_from_Mean_Reverting_Yield_Curve_Trading_Strategies.pdf |
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| Institution: | Singapore Management University |
| Language: | English |
| Summary: | This article 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 strategies exploit deviations in the level, slope, and curvature of the yield curve from historical norms. Some mean-reverting strategies were found to have significant positive profits. Furthermore, the profitability of one of these strategies significantly outperforms, on a risk-adjusted basis, alternative strategies of an investment bond or equity index. |
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