Strategy Catalog

5.11 PLUGIN

Carry Factor

Strategy 5.11: Long high-carry bonds (yield minus financing rate)

fixed income carry

5.12 PLUGIN

Rolling Down Yield Curve

Strategy 5.12: Buy bonds on steep parts of the curve for roll-down return

fixed income carry

7.3 PLUGIN

Volatility Carry

Strategy 7.3: Short VXX to capture contango decay / vol carry

volatility carry

8.2 PLUGIN

Carry Trade

Strategy 8.2: FX carry trade on forward premium / discount

fx carry

8.2.1 PLUGIN

High-Minus-Low Carry

Strategy 8.2.1: Cross-sectional HML carry trade

fx carry

8.3 PLUGIN

Dollar Carry Trade

Strategy 8.3: Dollar carry trade based on average forward discount

fx carry

9.1 PLUGIN

Roll Yields

Strategy 9.1: Roll yield long backwardation / short contango

commodities carry

11.2 PLUGIN

CDO Carry Equity Tranche

Strategy 11.2: Buy equity CDO tranche, delta-hedge with short CDS index

structured carry

11.3 PLUGIN

CDO Carry Senior/Mezzanine

Strategy 11.3: Sell senior/mezzanine CDO tranche, delta-hedge with long CDS index

structured carry

11.4 PLUGIN

CDO Carry Tranche Hedging

Strategy 11.4: Buy low-quality tranche, sell high-quality tranche, duration-hedged

structured carry

11.5 PLUGIN

CDO Carry CDS Hedging

Strategy 11.5: Buy low-quality tranche, sell single-name CDS to hedge

structured carry