We conduct an analysis of the risk and return characteristics of a number of widely used fixed income arbitrage strategies. We find that the strategies requiring more “intellectual capital†to implement tend to produce significant alphas after controlling for bond and equity market...

We conduct an analysis of the risk and return characteristics of a number of widely used amp;#64257;xed income arbitrage strategies. We amp;#64257;nd that the strategies requiring more quot;intellectual capitalquot; to implement tend to produce signiamp;#64257;cant alphas after controlling for bond and equity...