Understanding Fixed Income Relative Value

quantie · Post by **quantie** » Wed Sep 16, 2020 1:18 am

I have not seen for OTR/OFF on bbg but all the others are there in some and it is doable. JPM has lots of data (OTR/OFF spreads etc) and if you are a client will let you have this sort of stuff. Even more important is things like market depth where you want to have a good handle on.

Ultimately these sort of strategies do well until they blow up due to exogenous shocks.

FrogUS · Post by **FrogUS** » Wed Sep 16, 2020 1:35 pm

thank you all for the insights. I'll check with JP market for the time series.

Likely will use some Lasso to explain returns.. will revert to the group if of interest

Strange · Post by **Strange** » Fri Sep 25, 2020 12:43 pm

While we are on the topic, what's the state of treasury bond basis trading in the post-COVID world?