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.
5.9Fixed incomeReference
Low-risk factor
As in stocks, safer bonds (high rating, short maturity) earn better risk-adjusted returns. Select the shortest-maturity bonds within a rating band.
Why there is no chart
Corporate bond prices, ratings and maturities.
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
- 5.9 · Fixed income
- Asset class
- Fixed income
- In the lab
- Explained, not backtested
Low-risk factor (5.9)
As in stocks, safer bonds (high rating, short maturity) earn better risk-adjusted returns. Select the shortest-maturity bonds within a rating band.
Data it needs
Corporate bond prices, ratings and maturities.
More in Fixed income
- 5.2 Bullets
- 5.3 Barbells
- 5.4 Ladders
- 5.5 Bond immunisation
- 5.6 Dollar-duration-neutral butterfly
- 5.7 Fifty-fifty butterfly
Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.