July 14, 2020
Profiting from Mean-Reverting Yield Curve Trading Strategies* - CORE
Read More

Profiting from Mean-Reverting Yield Curve Trading (2006)

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. These mean-reverting trading strategies exploit deviations in the level, slope and curvature of the yield curve from historical norms. We consider cash-neutral trades with one-month holding periods. Some mean-reverting strategies were found to be highly profitable, and outperform, on a risk-adjusted basis before transaction costs, alternative. Chua, Choong Tze; Koh, Winston T. H.; and Ramaswamy, Krishna, Profiting from Mean-Reverting Yield Curve Trading Strategies ().Research Collection Lee Kong Chian School of Business. Paper ink. library. smu. edu. sg/lkcsb_research/ Profiting from Mean-Reverting Yield Curve Trading Strategies.

Read More

Profiting from Mean-Reverting Yield Curve Trading Strategies (Digest Summary) The authors investigate the returns generated by strategies that aim to profit from mean reversion in the level, slope, and curvature of the yield curve. Chua, Choong Tze; Koh, Winston T. H.; and Ramaswamy, Krishna, Profiting from Mean-Reverting Yield Curve Trading Strategies ().Research Collection Lee Kong Chian School of Business. Paper ink. library. smu. edu. sg/lkcsb_research/ Profiting from Mean-Reverting Yield Curve Trading Strategies. Profiting from Mean-Reverting Yield Curve Trading Strategies ABSTRACT 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 strategies exploit deviations in the level, slope and curvature of the yield curve from historical.

Profiting from mean-reverting yield curve trading strategies » Online Forex Trading South Africa
Read More

Profiting from Mean-Reverting Yield Curve Trading Strategies*

Profiting from Mean-Reverting Yield Curve Trading Strategies. Krishna Ramaswamy (), Choong-Tze Chua and Winston Koh. No , Econometric Society Australasian Meetings from Econometric Society Abstract: 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. Profiting from Mean-Reverting Yield Curve Trading Strategies* Choong Tze Chuaa, Winston T.H. Koh,b Krishna Ramaswamyc February ABSTRACT 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 strategiesCited by: Profiting from Mean-Reverting Yield Curve Trading Strategies (Digest Summary) The authors investigate the returns generated by strategies that aim to profit from mean reversion in the level, slope, and curvature of the yield curve.

EconPapers: Profiting from Mean-Reverting Yield Curve Trading Strategies
Read More

These mean-reverting trading strategies exploit deviations in the level, slope and curvature of the yield curve from historical norms. We consider cash-neutral trades with one-month holding periods. These mean-reverting trading strategies exploit deviations in the level, slope and curvature of the yield curve from historical norms. We consider cash-neutral trades with one-month holding periods. Some mean-reverting strategies were found to be highly profitable, and outperform, on a risk-adjusted basis before transaction costs, alternative strategies of an investment in the Lehman Brothers Bond index . These mean-reverting trading strategies exploit deviations in the level, slope and curvature of the yield curve from historical norms. We consider cash-neutral trades with one-month holding periods. Some mean-reverting strategies were found to be highly profitable, and outperform, on a risk-adjusted basis before transaction costs, alternative.

Read More

Profiting From Mean Reverting Yield Curve Trading Strategies that I know, I would be aware of making the right investment in the right portal at the right time. I always like reading Michael’s articles as these are highly informative and are based on facts rather than assumptions. Profiting from Mean-Reverting Yield Curve Trading Strategies* Choong Tze Chuaa, Winston T.H. Koh,b Krishna Ramaswamyc February ABSTRACT 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 strategiesCited by: Profiting from Mean-Reverting Yield Curve Trading Strategies (Digest Summary) The authors investigate the returns generated by strategies that aim to profit from mean reversion in the level, slope, and curvature of the yield curve.