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.
14.2Miscellaneous assetsReference
TIPS–Treasury arbitrage
Treasuries tend to be overpriced relative to TIPS. Short the Treasury and replicate its cash flows with TIPS plus inflation swaps.
Why there is no chart
TIPS, Treasury and inflation swap prices.
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
- 14.2 · Miscellaneous assets
- Asset class
- Miscellaneous
- In the lab
- Explained, not backtested
TIPS–Treasury arbitrage (14.2)
Treasuries tend to be overpriced relative to TIPS. Short the Treasury and replicate its cash flows with TIPS plus inflation swaps.
Data it needs
TIPS, Treasury and inflation swap prices.
More in Miscellaneous assets
- 14.1 Inflation hedging – inflation swaps
- 14.3 Weather risk – demand hedging
- 14.4 Energy – spark spread
Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.