Yield Curve Strategies

Free CFA Level III: Portfolio Management lesson in Yield Curve Strategies. 21 min read, ~3,104 words.

Forward rates are the market's break-even. Profit only if your realized rate path diverges from forwards, not from spot. Total return decomposes into yield income, rolldown, duration, convexity, reinvestment, and FX; each component signs independently. Level, slope, and curvature are the three independent curve risks; duration handles level, 2s10s handles...