The Long and the Short of Spread Bets; GAMBLING ON CITY TRENDS IS BOOMING AS INVESTORS LOOK TO PROFIT EVEN FROM LOSSES
比如,receive fixed,pay float的swap,就可以看成是long fixed rate bond,short float rate bond,所以,swap本身可以看成一个long/short的carry trade策略。 I spread的benchmark是swap rate,swap rate是swap合约的fixed rate,所以,可以用I spread来衡量long short carry trade的return。 老师说了,这里的优缺点了解...
Long 和 Short Credit Spread risk是什么意思,买CDS属于其中哪个?添加评论 0 0 1 个答案 品职答疑小助手雍 · 2021年03月24日 嗨,爱思考的PZer你好: 要结合具体语境哈。 不过单看这句话的话,买CDS相当于当前付出一个固定的钱来保护债券,以后债券credit spread增大的时候还是付这么多钱,但市场上再买CDS的...
Credit spread(using spread between treasury bond(3 year) yield and BBB- corporate bond yield) will be reduced in business expansion, but will be increased in business recession. after regression analysis, the coefficient of regression is (-) as expected and the effect of credit spread to ...
The term structure spread and future changes in long and short rates in the G7 countries: Is there a puzzle? According to the expectations hypothesis, when the spread between long and short rates widens, next quarter's long rate should rise. In the United States, ... GA Hardouvelis - ...
When it comes to interest rates, short-term and long-term are ambiguous phrases. Different financial experts and organizations define the terms differently. For example, the Securities Industry and Financial Markets Association considers bonds with maturities of up to five years to be short term, wh...
On the other hand, the “short” position profit from declines in the share price of stocks expected to underperform the market. Before an agreed-upon date, the short-seller must return the borrowed shares to the lender. For the short-sell to be profitable, the share must have been repurch...
我们讲的策略大部分都是Long/short策略,原因就是你没有额外资金或者不能卖出手握现金,所以都要一买一卖来实现对各种预期下的策略。 ---加油吧,让我们一起遇见更好的自己! 添加评论 0 0 pzqa015 · 2022年07月29日 嗨,努力学习的PZer你好: 因为你没有额外的资金去做long only的策略,只能通过卖出一部分...
buy CDS是为了规避风险,所以是short credit risk而不是long credit risk,我们没有long spread或者short spread这种说法,如果预期spread上升,那么buy CDS会获利。 sell CDS是为了主动承担风险,所以是long credit risk而不是short credit risk,如果预期spread下降,那么sell CDS会获利。 long short策略中,我们买spread会变...
Examples of Long/Short Funds Let's take a look at two examples to clarify how two funds in this category can still spread their assets very differently. AQR Long-Short Equity Fund (QLEIX) The AQR Long-Short Equity Fund has been one of the better long-term performers in the long-short ...