RT Journal Article SR Electronic T1 Profiting from Mean-Reverting Yield Curve Trading Strategies JF The Journal of Fixed Income FD Institutional Investor Journals SP 20 OP 33 DO 10.3905/jfi.2006.627836 VO 15 IS 4 A1 Choong Tze Chua A1 Winston T.H. Koh A1 Krishna Ramaswamy YR 2006 UL https://pm-research.com/content/15/4/20.abstract 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