Malte S. Kurz Profile picture
Quantitative Researcher @ScalableCapDACH @ScalableCapital | CEQURA Research Fellow @LMU_Muenchen | Blog https://t.co/npY7jqjD3s
31 Jan 20
1/ 🆕 at Quant's Perspective @ScalableCapDACH @ScalableCapital

Rolling Down the Yield Curve (by @ChrisAndData)

uk.scalable.capital/quants-perspec…

#quants #fintech

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2/ Upwards sloping yield curves can be explained by several yield curve theories, which imply different future yield curve trajectories. Rolling down the yield curve will maximize future returns when yield curves remain constant over time.
3/ We start of with an artificial scenario in terms of yield curve and forward rates (shown in the graphic). If we now want to invest money for 1 year, bonds of which maturity should we buy?
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8 Jan 20
1/ 🆕 at Quant's Perspective @ScalableCapDACH @ScalableCapital

Impacts of Yield Curve Changes on Fixed-Income Security Prices (by @ChrisAndData)

uk.scalable.capital/quants-perspec…

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2/ This is the third article in our fixed-income series on Quant's Perspective.

uk.scalable.capital/quants-perspec…
3/ Changes in yields result in price changes for fixed-income securities, i.e., securities that can be described via a series of future cash-flows. We demonstrate the relation between yield curves and bond prices using hypothetical and true yield curve developments.
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