TY - JOUR T1 - Profiting from Mean-Reverting Yield Curve Trading Strategies JF - The Journal of Fixed Income SP - 20 LP - 33 DO - 10.3905/jfi.2006.627836 VL - 15 IS - 4 AU - Choong Tze Chua AU - Winston T.H. Koh AU - Krishna Ramaswamy Y1 - 2006/03/31 UR - https://pm-research.com/content/15/4/20.abstract N2 - 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 ER -