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Fixed-Income Relative-Value Investing (FI-RV) is a hedge fund investment strategy made popular by the failed hedge fund Long-Term Capital Management. FI-RV Investors most commonly exploit interest-rate anomalies in the large, liquid markets of North America, Europe and the Pacific Rim. The financial instruments traded include government bonds, interest rate swaps and futures contracts. == Investment Strategy == Most FI-RV Investors focus on large, long-term mispricings in the global fixed-income markets, capturing relative-value anomalies via multi-product trades. Trades of interest include: Yield Curve Trade LIBOR yield curve using combinations of futures and swaps of varying maturities. Bond vs Bond Identify and trade bonds that are mispriced compared to other very similar bonds. LIBOR vs Bond Take advantage of anomalies in the spread between Bond and Libor Curves. Frequently, these above described anomalies occur when market participants are forced to make non-economic decisions due to accounting regulations, book clean-up, public furor or exuberance over a certain product, or sheer panic. The FI-RV Investor aims to capitalize on these and other inefficiencies. When a mispricing is identified between products, FI-RV Investors have the freedom to wait until the anomaly corrects. In contrast, other market participants, such as bank proprietary desks, are often limited by balance sheet considerations and accounting standards which influence the size and timing of their trades. However, the irony of Long-Term Capital Management's failure is that they were correct on all of their trades and hedges. They just did not have the excess collateral to meet the margin calls after the Russian financial crisis hit in 1998. In an (Opalesque.TV ) interview, fund manager Bob Treue, who started a hedge fund specifically to capitalize on the opportunities left over by LTCM's failure, says that excess collateral is the key to the survival of a fixed-income relative-value strategy, and that this is the primary reason LTCM failed. He also says that LTCM's failure has had an enormous impact on the public perception of the fixed-income relative-value space, possibly an irreversible impact, with investors fearing the strategy is too risky. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Fixed-income relative-value investing」の詳細全文を読む スポンサード リンク
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