Our review of hedge fund trading strategies continues with a discussion of yield-curve arbitrage (YCA), a form of fixed income arbitrage. I have previously written about the yield curve, convexity, and duration.
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Click here for reuse options! [icopyright horizontal toolbar] Fixed Income Arbitrage (FIA) is the name given to a family of trading strategies that, to various extents, use spread trades on debt instruments to take advantage of pricing inefficiencies independent of overall market direction. A spread trade is the simultaneous purchase and shorting of related securities (and their derivatives) in theRead more about Hedge Fund Strategies (6) – Fixed Income Arbitrage and Spread Trades[…]
Click here for reuse options! Recall that yield curves (also known as the term structure of interest rates) plot debt maturities (the independent variable) against interest rates (the dependent variable).
Click here for reuse options! Yield curves (also known as the term structure of interest rates) plot debt maturities (the independent variable) against interest rates (the dependent variable).
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