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by dumbo-octopus
930 days ago
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> A 2014 study found that conventional U.S. Treasury bonds were persistently mispriced relative to TIPS, creating arbitrage opportunities and posing "a major puzzle to classical asset pricing theory."[22] You seem to know things, is that arbitrage hustle still producing? |
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I don't have a good source of inflation swap prices, but I would assume it's persisted. It's not an easy trade to do leveraged, since your assets are marked to market. And there are natural buyers of vanilla Treasuries for collateral purposes.