✦ LIBER ✦

Mean reversion of interest-rate term premiums and profits from trading strategies with treasury futures spreads

✍ Scribed by Park, Tae H.; Switzer, Lorne N.

Publisher: John Wiley and Sons
Year: 1996
Tongue: English
Weight: 1022 KB
Volume: 16
Category: Article
ISSN: 0270-7314
DOI: 10.1002/(sici)1096-9934(199605)16:3<331::aid-fut5>3.0.co;2-k

No coin nor oath required. For personal study only.

✦ Synopsis

Financial futures contracts offer investors a wide variety of spread positions. This article studies two of the most popular types of intercommodity spread strategies on Treasury futures contracts: the note over bond (NOB) spread and the 5-year note over bond (FOB) spread. The NOB and the FOB spread strategies attempt to isolate the amount of the spread between Treasury instruments of different maturities due to the different ways their price movements respond to similar changes in yield. In addition, the spreads offer a good vehicle for taking a position on a view of the shape of the yield curve.