Strategy lab
Every strategy from 151 Trading Strategies and all 101 Formulaic Alphas as formulas you can edit and backtest on ten years of daily stocks, ETFs, futures, forex and crypto data. Free, in your browser.
11.5Structured assetsReference
Carry – CDS hedging
Buy a low-quality tranche and hedge with single-name CDS that cost less than the tranche pays.
Why there is no chart
Tranche and single-name CDS spreads.
The lab runs on daily prices for stocks, ETFs, indexes, futures, currencies, crypto and Treasury yields. This strategy from 151 Trading Strategies depends on data outside that set, so it is explained and formalised here rather than backtested.
Hypothetical backtests on daily closes with no slippage unless you add costs. Survivorship bias applies: the stock list is today’s large caps. For learning, not investment advice. Data: Yahoo Finance via yfinance.
- Source
- 151 Trading Strategies
- Section
- 11.5 · Structured assets
- Asset class
- Structured credit
- In the lab
- Explained, not backtested
Carry – CDS hedging (11.5)
Buy a low-quality tranche and hedge with single-name CDS that cost less than the tranche pays.
Key equation
Data it needs
Tranche and single-name CDS spreads.
More in Structured assets
- 11.2 Carry, equity tranche – index hedging
- 11.3 Carry, senior/mezzanine – index hedging
- 11.4 Carry – tranche hedging
- 11.6 CDOs – curve trades
- 11.7 Mortgage-backed security trading
Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.