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The Journal of Fixed Income

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Primary Article

Profiting from Mean-Reverting Yield Curve Trading Strategies

Choong Tze Chua, Winston T.H. Koh and Krishna Ramaswamy
The Journal of Fixed Income Spring 2006, 15 (4) 20-33; DOI: https://doi.org/10.3905/jfi.2006.627836
Choong Tze Chua
An Assistant Professor of Finance at Singapore Management University, Singapore.
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  • For correspondence: ctchua@smu.edu.sg
Winston T.H. Koh
An Associate Professor of Economics and the Associate Dean at School of Economics and Social Sciences in Singapore Management University, Singapore.
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  • For correspondence: winstonkoh@smu.edu.sg
Krishna Ramaswamy
Edward Hopkinson, Jr Professor of Finance at The Wharton School of the University of Pennsylvania, Philadelphia, PA.
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  • For correspondence: krishna@wharton.upenn.edu
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Abstract

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.

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Vol. 15, Issue 4
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Profiting from Mean-Reverting Yield Curve Trading Strategies
Choong Tze Chua, Winston T.H. Koh, Krishna Ramaswamy
The Journal of Fixed Income Mar 2006, 15 (4) 20-33; DOI: 10.3905/jfi.2006.627836

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Profiting from Mean-Reverting Yield Curve Trading Strategies
Choong Tze Chua, Winston T.H. Koh, Krishna Ramaswamy
The Journal of Fixed Income Mar 2006, 15 (4) 20-33; DOI: 10.3905/jfi.2006.627836
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