Title

Profiting from Mean-Reverting Yield Curve Trading Strategies

Publication Type

Journal Article

Publication Date

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

Research Areas

Econometrics

Publication

Journal of Fixed Income

Volume

4

Issue

4

First Page

20

Last Page

33

ISSN

1059-8596

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

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