PT - JOURNAL ARTICLE AU - Choong Tze Chua AU - Winston T.H. Koh AU - Krishna Ramaswamy TI - Profiting from Mean-Reverting Yield Curve Trading Strategies AID - 10.3905/jfi.2006.627836 DP - 2006 Mar 31 TA - The Journal of Fixed Income PG - 20--33 VI - 15 IP - 4 4099 - https://pm-research.com/content/15/4/20.short 4100 - https://pm-research.com/content/15/4/20.full AB - 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