Main features by strategy | Pairs trading | Term structure arbitrage | Volatility arbitrage | Swap spread arbitrage | Mortgage arbitrage | Capital structure arbitrage |
Relative value | Yes | Yes | Yes | Yes | Yes | Yes |
Mean reversion | Yes | Yes | - | No | No | - |
Market neutral | - | - | - | - | - | - |
Zero cost | - | - | - | Yes | No | - |
Expected positive excess return | Yes | Yes | Yes | Yes | Yes | Yes |
Acceptably small potential loss | Yes | Yes | Yes | Yes | Yes | Yes |
Take profit | Yes | Yes | Yes | Yes | Yes | Yes |
Stop loss | Yes | Yes | Yes | Yes | Yes | Yes |