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Yield Profiles - Group By Instrument

Yield profiles grouped by instrument can show inefficiencies in pricing. Aggregating instruments stacks up all trades in the given symbol, if we are seeing poor aggregated yields it implies the underlying data is consistently displaying similar trends.

For example:

  • Consistently low $/M inception yields can indicate pricing is too tight:image.png

  • Negative spreads can be evidence of latency arbitrage and therefore latent rates:image.png

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Group By Overview

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