Strategies · Library · Fixed income
§5.4Carry
Ladders
Spread money evenly across bonds that mature at regular steps, say one to ten years. As the shortest matures, buy a new longest. This keeps duration steady and smooths reinvestment.
Open in the builderAs the book sets it out, long only.
- Asset class
- Fixed income
- Held for
- Years
- Data
- ARCANE has part of the data
- Symphony
- Builds in the symphony builder
The rule
- Signal
- Equal capital per maturity rung
- Entry and exit
- Replace the maturing rung with a new longest bond each period.
- Sizing
- Equal weights across rungs
How it fails
- Lower return than the best single point
- Needs many bonds
- Rate risk remains
Data it needs
- daily adjusted closes
- additional inputs ARCANE lacks
Treasury ETFs of different maturities approximate the rungs.
How ARCANE uses it
Little for Calls; useful as a baseline income comparison (paper only).
Builds in the symphony builder. Equal-weight mix across Treasury ETFs of several maturities.
Filed under the carry card
Own what pays more than it costs to finance (the return if prices stand still) and sell what pays less, across currencies, bonds, commodities and stock indexes.
A paper plan from this card holds 21 to 252 days, stops at 2× the expected move and uses at most 75% of your risk budget. The card
Source: Kakushadze and Serur (2018), 151 Trading Strategies, §5.4, p. 71 of the SSRN version. Described in our words. Carry is ARCANE’s filing, not the book’s.