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.
11.3Structured assetsReference
Carry, senior/mezzanine – index hedging
Sell a high-quality tranche and delta-hedge by buying the index.
Why there is no chart
CDO tranche and credit index 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
- 11.3 · Structured assets
- Asset class
- Structured credit
- In the lab
- Explained, not backtested
Carry, senior/mezzanine – index hedging (11.3)
Sell a high-quality tranche and delta-hedge by buying the index.
Data it needs
CDO tranche and credit index spreads.
More in Structured assets
- 11.2 Carry, equity tranche – index hedging
- 11.4 Carry – tranche hedging
- 11.5 Carry – CDS 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.