CCY Bond Roll Enhancement| Weekly Release 9/9/22

Enhancement

[RV Analysis] Added the Mean Reversion Return divided by the Daily Vol, with the ability to sort by this measure


To access RV Analysis, traders can click “Analysis” – “RV Analysis”.


Added “MR Ret/Stdev_d” column to the default layout in RV Analysis. This measure has also been added to the “Sort By” dropdown so traders can sort the results in descending order based on this measure.

After setting filters, click “Generate Strategies”. RiskVal will populate top performing outright, spread, & butterfly strategies.