2-10 spread vs SPX
Yield CurveBoth
Inverted curve precedes recession; SPX peaks
Source: encyclopedia
3-month vs 10-year inversion
Yield CurveBoth
3m-10y inversion = high-conviction recession signal
Source: encyclopedia
5y5y forward breakeven
Inflation TradesBoth
5y5y breakeven as inflation expectation
Source: encyclopedia
60/40 portfolio rebalancing
Stock-BondMethodology
Annual rebalance to 60/40 for mean reversion
Source: encyclopedia
AQR style premia
Hedge FundsBoth
AQR multi-asset style premia
Source: encyclopedia
Banks-Tech spread (XLF/XLK)
Sector RVBoth
Banks vs tech for rate cycle
Source: encyclopedia
Bond vs equity carry
CarryBoth
Long higher-yielding asset class
Source: encyclopedia
Bond-equity dispersion
Stock-BondBoth
Trade dispersion when correlation breaks down
Source: gold.org
Brevan Howard global macro
Hedge FundsBoth
Brevan Howard discretionary global macro
Source: encyclopedia
Bridgewater All Weather
Hedge FundsLong
Bridgewater's All Weather risk parity
Source: encyclopedia
Bridgewater Pure Alpha
Hedge FundsBoth
Bridgewater systematic global macro
Source: encyclopedia
Bridgewater principles
ApplicationMethodology
Cross-asset portfolio construction principles
Source: encyclopedia
Carry vs vol filter
CarryFilter
Filter carry by inverse vol; Sharpe-maximize
Source: encyclopedia
China-EM spread (FXI/EEM)
Region RVBoth
China-specific vs broad EM
Source: encyclopedia
Coal-AUD positive
Coal-AUDBoth
AUD tied to coal exports
Source: encyclopedia
Commodity carry (roll yield)
CarryBoth
Long backwardated short contangoed commodities
Source: encyclopedia
Commodity index vs CPI
Inflation TradesBoth
Commodity prices vs realized CPI
Source: encyclopedia
Commodity index vs DXY
Commodity-CurrencyBoth
Commodity index inverse to USD
Source: encyclopedia
Copper-AUD divergence
Copper-AUDBoth
Trade divergences in copper-AUD
Source: encyclopedia
Copper-AUD positive correlation
Copper-AUDBoth
AUD tied to copper (Australian mining)
Source: globalinvesting
Copper-China impulse
Copper-StocksBoth
Copper tied to China credit impulse
Source: encyclopedia
Correlation regime monitoring
Risk MgmtRisk
Track correlation regime changes
Source: gold.org
Credit-equity divergence
Credit SpreadsBoth
Credit often leads equity in stress
Source: encyclopedia
Cross-asset stop-loss
Risk MgmtRisk
Stop based on cross-asset divergence
Source: encyclopedia
Crude-CAD divergence trade
Crude-CADBoth
Trade divergences in crude-CAD relationship
Source: encyclopedia
Crude-CAD inverse correlation
Crude-CADBoth
CAD strongly tied to crude prices (petro-currency)
Source: globalinvesting
Crude-MXN Mexican peso
Crude-MXNBoth
MXN partially tied to crude (Mexican oil)
Source: encyclopedia
Crude-NOK Norwegian krone
Crude-NOKBoth
NOK tied to crude (Norwegian petroleum)
Source: encyclopedia
Crude-RUB Russian ruble
Crude-RUBBoth
RUB tied to crude prices (Russian oil exporter)
Source: encyclopedia
Curve flattening trade
Yield CurveShort
Long 30y short 2y in flattening regime
Source: encyclopedia
Curve steepening trade
Yield CurveLong
Long 2y short 30y in steepening regime
Source: encyclopedia
Cyclical-Defensive ratio (XLY/XLP)
Sector RVBoth
Cyclical/Defensive as risk barometer
Source: encyclopedia
DEBUNKED 60/40 always works
DEBUNKEDN/A
2022 stocks-bonds both fell -10%+ challenged 60/40
Source: gold.org
DEBUNKED astrology cross-asset
DEBUNKEDN/A
No cosmic edge in cross-asset
Source: encyclopedia
DEBUNKED single correlation always
DEBUNKEDN/A
Correlations regime-dependent; not constant
Source: gold.org
DV01-equivalent sizing
Risk MgmtRisk
Size positions by DV01 equivalent dollar risk
Source: encyclopedia
Disinflation trade basket
Macro ThemesLong
Long bonds/growth/quality/USD
Source: encyclopedia
Doctor Copper macro
Copper-StocksLong
Copper as global growth indicator
Source: encyclopedia
EM-DM spread (EEM/EFA)
Region RVBoth
EM vs developed markets spread
Source: encyclopedia
Endowment model (Yale)
ApplicationLong
Yale model: alts/illiquids/equities/private
Source: encyclopedia
Europe-US spread (FEZ/SPY)
Region RVBoth
Europe vs US
Source: encyclopedia
Gold vs 10Y UST yield
Gold-USTBoth
Real yields vs gold inverse relationship
Source: gold.org
Gold vs TIPS
Gold-USTBoth
Real yields = TIPS yields; inverse with gold
Source: encyclopedia
Gold-CHF (Swiss franc safe haven)
Gold-USDBoth
Both safe-havens; trade divergence
Source: encyclopedia
Gold-DXY inverse
Gold-USDBoth
Gold inverse to USD index
Source: encyclopedia
Gold-EUR ratio (gold price in EUR)
Gold-USDBoth
Track gold in EUR for non-USD debasement
Source: encyclopedia
Gold-MOVE divergence
Gold-USTBias
High MOVE often supports gold (bond stress)
Source: globalinvesting
Gold-SPX ratio (Dow/Gold)
Gold-StocksBoth
Trade Dow/Gold ratio mean reversion
Source: ingoldwetrust.report
Gold-VIX correlation
Gold-USTBoth
Gold and VIX both safe-haven; sometimes diverge
Source: globalinvesting
Gold-yen safe-haven pair
Commodity-CurrencyBoth
Both safe-haven; trade divergence
Source: encyclopedia
Growth-Value spread (IWF/IWD)
Sector RVBoth
Growth-value style rotation
Source: encyclopedia
HY credit spread tracking
Credit SpreadsBias
HY OAS spread for risk appetite
Source: encyclopedia
IG credit spread tracking
Credit SpreadsBias
IG OAS spread for credit cycle
Source: encyclopedia
India-EM spread (INDA/EEM)
Region RVBoth
India vs broad EM
Source: encyclopedia
Iron ore-AUD positive
Iron Ore-AUDBoth
AUD also tied to iron ore prices
Source: encyclopedia
Japan-EM spread
Region RVBoth
Japan vs EM thematic
Source: encyclopedia
LQD-HYG ratio (credit quality)
Credit SpreadsBoth
Trade IG vs HY ETF ratio
Source: encyclopedia
Liquidity matching
Risk MgmtRisk
Match liquidity profiles across legs
Source: encyclopedia
MOVE leading VIX
VIX-MOVEBias
Bond vol often leads equity vol by days
Source: soa.org
Man AHL trend
Hedge FundsTrend
Man AHL diversified trend-following
Source: encyclopedia
Multi-asset CTA
ApplicationTrend
CTAs run trends across many asset classes
Source: encyclopedia
Multi-asset hedge fund
ApplicationBoth
Multi-strategy multi-asset hedge fund construction
Source: encyclopedia
Quality-Junk spread
Sector RVBoth
Trade quality vs junk for cycle
Source: encyclopedia
REIT-Banks spread
Sector RVBoth
REITs and banks both rate-sensitive
Source: encyclopedia
Real assets long-only
Inflation TradesLong
REITs/commodities/TIPS as inflation hedge
Source: encyclopedia
Reflation trade basket
Macro ThemesLong
Long cyclicals/commodities/value/EM
Source: encyclopedia
Renaissance Medallion stat arb
Hedge FundsBoth
Renaissance multi-asset systematic
Source: encyclopedia
Risk parity allocation
ApplicationMethodology
Equal-risk weighting across asset classes
Source: encyclopedia
Risk-off basket
Macro ThemesLong
Long bonds/USD/JPY/CHF/gold short stocks/EM
Source: encyclopedia
Risk-on basket
Macro ThemesLong
Long stocks/EM/HY/AUD short bonds/JPY
Source: encyclopedia
SKEW index extreme
VolatilityBias
Tail risk pricing extremes
Source: encyclopedia
SPX/Gold ratio
Gold-StocksBoth
Current ratio 1.69 vs historical 1.14 (gold undervalued)
Source: ingoldwetrust.report
Small-Large cap (IWM/SPY)
Sector RVBoth
Small-cap risk-on / large-cap risk-off
Source: encyclopedia
Stagflation basket
Macro ThemesLong
Long gold/commodities/inflation-linked
Source: encyclopedia
Stock-bond bond-safety days
Stock-BondBoth
Bond rallies when stocks fall on safety days
Source: en.saif.sjtu.edu.cn
Stock-bond correlation regime
Stock-BondBias
Pre-2000s positive correlation; 2000-2020 negative; 2022+ positive again
Source: gold.org
Stock-bond on FOMC days
Stock-BondBoth
Trade FOMC days for divergence/convergence
Source: en.saif.sjtu.edu.cn
Stock-bond ratio (SPX/UST)
Stock-BondBoth
Trade SPX vs 10Y Treasury for risk-on/off
Source: gold.org
Stock-bond risk parity
Stock-BondMethodology
Equal-risk weighting between stocks and bonds
Source: encyclopedia
Stress test scenarios
Risk MgmtRisk
Test 2008 / 2020 / 2022 scenarios
Source: encyclopedia
TIPS vs nominal Treasury
Inflation TradesBoth
Trade breakeven inflation expectations
Source: encyclopedia
Tactical asset allocation
ApplicationBoth
Active overlay on strategic allocation
Source: encyclopedia
Tail risk overlays
Risk MgmtHedge
Tail risk hedges via puts/VIX calls
Source: encyclopedia
Tech-Energy spread (XLK/XLE)
Sector RVBoth
Tech vs energy thematic spread
Source: encyclopedia
US-International (SPY/EFA)
Region RVBoth
US vs international developed
Source: encyclopedia
USDJPY-Nikkei positive
Yen-RiskBoth
Yen weakness drives Nikkei rally
Source: globalinvesting
Utilities-Tech (XLU/XLK)
Sector RVBoth
Utilities defensive vs tech risk
Source: encyclopedia
VIX vs realized vol (VRP)
VolatilityShort vol
Implied > realized = VRP harvesting
Source: encyclopedia
VIX-MOVE divergence
VIX-MOVEBoth
Bond vol and equity vol divergence signals
Source: soa.org
VIX-MOVE-DXY-Gold composite
VolatilityMethodology
Composite cross-asset risk dashboard
Source: globalinvesting
VIX-VVIX spread
VolatilityBoth
Vol of vol vs vol divergence
Source: encyclopedia
VIX/MOVE ratio mean reversion
VIX-MOVEBoth
Trade extremes in VIX/MOVE ratio
Source: soa.org
VIX/UST ratio
VIX-MOVEBoth
Trade VIX divided by 10Y yield
Source: fred.stlouisfed.org
Vol-equivalent sizing
Risk MgmtRisk
Size by realized vol contribution
Source: encyclopedia
Yen carry trade unwind
Yen-RiskShort risk
Yen strength = risk-off carry unwind
Source: globalinvesting
Yen-AUD inverse
Yen-RiskBoth
JPY safe-haven vs AUD risk
Source: globalinvesting
Yen-EM (carry)
Yen-RiskBoth
JPY funder vs EM high-yielders
Source: encyclopedia
Yen-VIX positive correlation
Yen-RiskLong
Yen rises with VIX (safe haven)
Source: globalinvesting
Yield curve butterfly
Yield CurveBoth
Long wings short belly for curvature change
Source: encyclopedia
Yield differential carry trade
CarryLong carry
Long high-yielding short low-yielding currencies
Source: encyclopedia
An encyclopedia of publicly documented strategies for education. YCAI does not recommend, endorse, or trade any of these. Not investment advice.