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Strategies & Market Trends : Bonds, Currencies, Commodities and Index Futures
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To: Raymond Duray who wrote (338)11/30/2000 1:23:54 PM
From: fswep  Read Replies (2) of 12410
 
Hi Ray,

Actually they are two different strategies for trading bonds. Yield curve shift is when the Yield curve makes a parallel shift, the yield curve moves up or down with duration. I have a text book and handouts to go by, but without a program running realtime data, it would be hard to trade and not lose.

--------/----------/--------
0 short intermediate long
Maturity

The Twist is a strategy that uses duration also, but the curve stair steps up or down over the different durations of the bonds.

--------/
short -----------/
intermediate ----------/
long
Maturity

This is just a basic description, I don't know if it's very clear.

We got a trader in class last Tuesday night and he uses very simple strategies. Ginne Maes long and Strips to hedge for cash flow. He also thought laddering was good. In other words keep it simple. He does very well with what he does.

I went to the Professor and asked if he could maybe try to put together an excel example or something easier to use since he wants to use our data in in the a presentation in the future.

I'm trying to find some one who has used some of these in actual trading to get their assessment. Got to go, I'm late to class.

Thanks,
Ward
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