Fixed-Income Arbitrage


Also found in: Acronyms.

Fixed-Income Arbitrage

An arbitrage strategy in which one seeks to profit from small differences in interest rates between two bonds or other fixed-income securities that are otherwise essentially the same. One conducts this by taking opposite positions in the two securities. Fixed-income arbitrage rarely results in a large profit and can be quite risky. As a result, many analysts advise against using it.
References in periodicals archive ?
For example, in Figure 3 we plot the estimated probabilities of being in state 2, the high-volatility state, for the fixed-income arbitrage index for each month from January 1994 to August 2004.
Coast provides investment advisory services to clients in connection with various alternative investment strategies, including multi-advisor funds, fixed-income arbitrage, convertible-bond arbitrage, and collateralized debt obligations.
The Ferro Absolute Return Index is expected to comprise 20-30 individual hedge funds representing multiple hedge fund strategies, including equity arbitrage, convertible bond arbitrage, fixed-income arbitrage, event-driven strategies and systematic futures strategies.
hedge fund, which specializes in fixed-income arbitrage, only recently collapsed and was resuscitated by an unprecedented bailout by 14 private sector banks.
fixed-income arbitrage unit and taken steps to substantially reduce the risk of their other arbitrage activities.