Publication Type
Journal Article
Version
submittedVersion
Publication Date
3-2006
Abstract
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.
Discipline
Econometrics | Finance
Research Areas
Applied Microeconomics; Finance
Publication
Journal of Fixed Income
Volume
15
Issue
4
First Page
20
Last Page
33
ISSN
1059-8596
Identifier
10.3905/jfi.2006.627836
Citation
CHUA, Choong Tze; KOH, Winston T. H.; and Ramaswamy, Krishna.
Profiting from Mean-Reverting Yield Curve Trading Strategies. (2006). Journal of Fixed Income. 15, (4), 20-33.
Available at: https://ink.library.smu.edu.sg/soe_research/456
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.3905/jfi.2006.627836