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德意志银行金融模型培训 Macro-Awareness in Relative Value Trading.pdf

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Fixed Income Liquid Markets Research October 2003 Macro-Awareness in Relative Value Trading Bruce Tuckman Lehman Brothers | LMR Quarterly LMR Quarterly, vol. 2003-Q3 Macro-Awareness in Relative Value Trading1 Bruce Tuckman Relative value trading assumes a stable macroeconomic environment. While this 212-526-2252 trading style may work well within macroeconomic regimes, it is dangerous across btuckman@ regimes. Focusing on 2s-5s-10s for concreteness, this paper 1) shows the empirical connection between the level of 2s-5s-10s and macroeconomic regimes; 2) uses term structure models to describe what goes wrong with relative value trades during a regime shift; 3) describes recent changes in the levels of 2s-5s-10s in terms of changing macroeconomic views; and 4) suggests ways in which to make relative value trading more macro-aware. 1. A RELATIVE VALUE DREAM TRADE TURNS INTO A NIGHTMARE While certainly an oversimplification, relative value trades are often analyzed and undertaken along the lines of the following case study. In mid-1999 there is talk that 5-year swaps are trading cheap on the curve. To check this claim, a trader might run a regression of changes in the 5-year swap rate on changes in th