%0 Journal Article %A Choong Tze Chua %A Winston T.H. Koh %A Krishna Ramaswamy %T Profiting from Mean-Reverting Yield Curve Trading Strategies %D 2006 %R 10.3905/jfi.2006.627836 %J The Journal of Fixed Income %P 20-33 %V 15 %N 4 %X 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.TOPICS: Fixed income and structured finance, credit risk management %U https://jfi.pm-research.com/content/iijfixinc/15/4/20.full.pdf