Bond Curve Analysis

Bond Curve Analysis is an innovative approach to trading government bonds curve spreads, and allows investors the possibility to generate alpha through views that are not market directional. It uses advanced analytical suite of tools for pricing, hedging and analysing several weighting types of curve spread strategies.

In addition to PCA framework, Bond Curve Analysis includes a statistical arbitrage strategy designed to identify the presence of cointegration between different points in the yield curve, and to exploit short and medium-term curve spreads deviations from their long run equilibrium while staying market neutral.

Bond Curve Analysis helps traders neutralising their exposure when taking both long and short positions, while adding value by choosing the strategy that offers the best opportunity at any given moment.

Build, analyse and confidently design trades that can generate alpha in both volatile and range-bound government bond markets.