Butterfly Trades
研究了投资者如何通过蝴蝶交易（使用三种不同期限的证券）来卖出高价或买入低价证券并保持组合久期，比较了现金中性、50/50和回归加权等不同结构方法，并评估了不同利差加权方法与实际收益的相关性。
Investors who want to sell rich securities or buy cheap securities and maintain their portfolio durations often employ butterfly trades. A butterfly trade typically uses three securities of different durations. The shortest and longest-duration instruments are the wings; the middle-duration instrument is the body. There are multiple ways to structure butterfly trades. For example: cash and duration-neutral weighting, fifty/fifty weighting, and regression weighting. The author notes that it is unfortunate that the term “weighting” appears in two entirely different contexts of butterfly trades. The first use is how to structure a trade. The second is how best to measure yield spreads. Despite the well-known shortcomings of yield to maturity as a predictor of total rate of return, the author uses yield spreads and changing yield spreads to try to predict total returns to butterfly trade positions. Different spread weighting methods can be evaluated on how well they correlate with realized returns.