Display the total number of bonds considered in the Analysis
Added the number of bonds to the “Bond” tab in the RV Analysis to have a better overview.
Added Yld C+R ZS and ASW YY C+R ZS
Displaying the Z-Score on both the Yld and ASW Carry and Roll for the traders to have a better idea on where the strategy is relative to the last 3 months historical data.
In the example above, see how each column shows the distance between the live and the three-month historical mean in terms of the standard deviation of the strategy.
Run RV Analysis on Spreads and Butterflies using either the equal weight, regression (COD) weight, or Maturity weighted.
In the examples below see how to apply the regression weighting and Maturity weighting to the analysis. The results will show the strategies with the appropriate weightings.
Note: Maturity weight only applies to Butterflies.
Expected Return and Mean Reversion will have historical data
Traders can now <Double Click> the Expected Return and Mean Reversion cells to view the strategy’s historical data.
Allow traders to select any combination of length(s) to control the maturity distance between each of the leg(s) when generating top-performing spread and butterfly strategies
Traders can select multiple distances between the maturities of the bonds for each of the constructed strategy’s legs. This way there is a broader range of strategies on which to perform the analysis.
See in the screenshot above, the top strategies have either 6 months, 3 months, 2 years, or 5 years difference in the maturity of each leg.
[EUR] Ability to select several countries at a time
EUR traders can select multiple countries to perform the analysis to create the top long or short cross-country spreads.
In the above screenshot, see the cross-country strategies created by selecting several countries at a time.
Send the strategy “To trade Blotter”
Streamlining further the process of integrating the strategies created in the RVAnalysis to the trader’s portfolio, the “to Trade Blotter” function has been added. This way traders can see how the strategies impact their overall portfolio.
To send the Strategy to the Trade Blotter:
<right click> and select "To Trade Blotter"
Select the tab to send it to
Trades will show up in the Trade Blotter under the selected tab