Strategy | Descriptions |
Pairs trading | Plays mean reversion in the spreads of two securities |
Term structure arbitrage | Takes long-short positions across the term structure |
Volatility arbitrage | Plays the spread of implied vs. realized volatility of the same security or implied vs. implied volatility of the same or different securities |
Swap spread arbitrage | Profits from the spread between a fix and a floating leg by entering a short (long) Treasury position and simultaneously buying (selling) an IRS |
Mortgage arbitrage | Buys MBS hedging the interest rates exposure |
Capital structure arbitrage | Takes long-short positions on different instruments of a company (credit arbitrage and convertible arbitrage) |