Strategy Catalog

5.13 PLUGIN

Yield Curve Spread

Strategy 5.13: Flattener/steepener trades based on yield curve spread z-score

fixed income relative value

5.6 PLUGIN

Dollar-Duration-Neutral Butterfly

Strategy 5.6: Dollar-duration-neutral butterfly (long wings, short body)

fixed income relative value

5.7 PLUGIN

Fifty-Fifty Butterfly

Strategy 5.7: 50/50 butterfly -- 50% each wing, -100% body

fixed income relative value

5.8 PLUGIN

Regression-Weighted Butterfly

Strategy 5.8: Regression-based butterfly weights

fixed income relative value

5.8.1 PLUGIN

Maturity-Weighted Butterfly

Strategy 5.8.1: Butterfly with maturity-ratio weights

fixed income relative value

10.2 PLUGIN

Calendar Spread

Strategy 10.2: Calendar spread mean-reversion on near vs deferred futures

futures relative value

11.6 PLUGIN

CDO Curve Trades

Strategy 11.6: CDO curve flattener/steepener based on spread curve slope vs historical

structured relative value

11.7 PLUGIN

MBS Trading

Strategy 11.7: Buy MBS passthroughs when OAS is above historical average, duration-hedge with swaps

structured relative value

12.2 PLUGIN

Convertible OAS

Strategy 12.2: Buy high-OAS convertible, sell low-OAS convertible from same issuer

convertibles relative value

19.4 PLUGIN

Global Fixed-Income Strategy

Strategy 19.4: Multi-factor cross-sectional bond ranking

global macro relative value