Chapter 5: Fixed Income

5.10 PLUGIN

Value Factor

Strategy 5.10: Long high-spread (cheap) bonds, short low-spread (expensive)

fixed income factor

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

5.13 PLUGIN

Yield Curve Spread

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

fixed income relative value

5.14 PLUGIN

CDS Basis Arbitrage

Strategy 5.14: Trade CDS-bond basis when it deviates from zero

fixed income arbitrage

5.15 PLUGIN

Swap-Spread Arbitrage

Strategy 5.15: Trade swap spread vs treasury spread deviations

fixed income arbitrage

5.2 PLUGIN

Bullets

Strategy 5.2: Concentrate portfolio at single maturity point on yield curve

fixed income portfolio

5.3 PLUGIN

Barbells

Strategy 5.3: Barbell -- invest at short and long ends of yield curve

fixed income portfolio

5.4 PLUGIN

Ladders

Strategy 5.4: Equal allocation across maturities (ladder)

fixed income portfolio

5.5 PLUGIN

Bond Immunization

Strategy 5.5: Match portfolio duration to liability duration

fixed income hedging

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

5.9 PLUGIN

Low-Risk Factor

Strategy 5.9: Long low-duration bonds, short high-duration bonds

fixed income factor