10-Year Treasury Constant Maturity Minus 3-Month Treasury Constant Maturity

Re:10-Year Treasury Constant Maturity Minus 3-Month Treasury... by panarky on Sunday June 02, 2019 @02:46PM (#20077210)

Short-term trading signals are frequently arb'ed away.

But long-term structural patterns take far more capital to arbitrage and your position can be deep under water for years at a time.

There just isn't that much patient capital.

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Re:10-Year Treasury Constant Maturity Minus 3-Month Treasury... by nickles on Sunday June 02, 2019 @02:53PM (#20077247)

> Short-term trading signals are systematically arb'ed away

This isn't necessarily true. There are demonstrable, persistent calendar effects that can be reliably traded. Such trading can be thought of as a service being provided to market participants for a fee (e.g. balance sheet as a service).

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Re:10-Year Treasury Constant Maturity Minus 3-Month Treasury... by lbotos on Sunday June 02, 2019 @03:43PM (#20077581)

Examples? I believe you, just wanna think about this more.

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Re:10-Year Treasury Constant Maturity Minus 3-Month Treasury... by nickles on Sunday June 02, 2019 @03:47PM (#20077619)

I apologize for not being more specific, but that was deliberate. Please trust that there are very real phenomena that can be monetized.

One example of a calendar effect that is likely not easily monetized is the 'Christmas effect' for VIX [0] due to decreases in trading activity.

[0] https://jai.iijournals.com/content/20/2/65

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