Risk and return in fixed-income arbitrage¶
Duarte, J., Longstaff, F. A., & Yu, F. (2007). Risk and return in fixed-income arbitrage: Nickels in front of a steamroller?. Review of Financial Studies, 20(3), 769-811.
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Primes¶
- Arbitrage (Finance)
- Duarte, Longstaff, and Yu (2007) examine the risk-return profile of swap-spread, yield-curve, mortgage, volatility, and capital-structure arbitrage strategies, showing that the more "intellectual capital"-intensive strategies generate positive risk-adjusted alpha while exhibiting heavy left-tail exposure.
This sourceExamines swap-spread, yield-curve, mortgage, volatility, and capital-structure arbitrage; finds the more intellectual-capital-intensive strategies generate positive risk-adjusted alpha, and that many fixed-income arbitrage returns are in fact POSITIVELY skewed with high Sharpe ratios—arguing there is more substance than 'picking up nickels in front of a steamroller,' though returns suffer correlated losses when systematic factors move adversely.
- Duarte, Longstaff, and Yu (2007) examine the risk-return profile of swap-spread, yield-curve, mortgage, volatility, and capital-structure arbitrage strategies, showing that the more "intellectual capital"-intensive strategies generate positive risk-adjusted alpha while exhibiting heavy left-tail exposure.
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