relative-value

Identify mispricings across related securities and implement hedged relative-value trades.

10|2|Updated Mar 14, 2026

Search Tags:#risk-management #relative-value #arbitrage #cross-asset #basis-trade #convertible-arb

Ready to run

npx skills add https://github.com/brainbytes-dev/everything-claude-trading --skill relative-value

💬 Prompt for ChatGPT / Claude Chat▼

Please help me install this Agent Skill.
Skill: relative-value
Source: https://github.com/brainbytes-dev/everything-claude-trading/tree/main/skills/strategies/relative-value
Command: npx skills add https://github.com/brainbytes-dev/everything-claude-trading --skill relative-value

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

Relative value strategies help traders capitalize on temporary mispricings across related securities to profit from convergence to fair value.

Core Features & Use Cases

RV signal construction: identify spreads, ratios, and cointegration-based mispricings.
Multi-discipline trades: capital-structure arbitrage, convertible arbitrage, basis trades, and cross-asset spreads (including cash vs derivatives, CDS vs equity).
Real-world use: exploit pricing gaps between related instruments (e.g., equity vs credit, CDS vs equity, or senior vs subordinated debt) and implement hedged, market-neutral strategies.

Quick Start

Backtest a simple relative-value trade by selecting two related instruments, calculating their spread, and testing mean-reversion entry and exit signals.

Frequently Asked Questions about relative-value

High-intent search queries and answers about installing and using this skill.

FAQPage Schema

How do I identify cross-asset relative value mispricings across related securities?▼

Cross-asset relative value mispricings are identified by constructing spreads, ratios, and cointegration-based relationships to detect when securities deviate from their theoretical fair value. The approach requires calibrating models to compute fair values and monitoring for mean-reversion entry signals.

What's the best way to set up a capital-structure arbitrage or convertible arbitrage trade?▼

Capital-structure arbitrage and convertible arbitrage trades are set up by selecting related instruments across a capital structure, calculating their spread, and testing mean-reversion entry and exit signals. You then implement hedged, market-neutral strategies to profit from convergence to fair value.

Can I use cointegration models to spot basis trade opportunities between cash and derivatives?▼

Cointegration models are used to spot basis trade opportunities by calibrating empirical relationships between cash instruments and their derivatives. The Skill computes fair values from these structural models to identify when bond vs derivative relationships diverge from historical norms.

When do I need relative value arbitrage strategies for equity vs credit spreads?▼

Relative value arbitrage strategies for equity vs credit spreads are needed when temporary mispricings occur across related securities. Traders use these strategies to exploit pricing gaps between instruments like CDS vs equity or senior vs subordinated debt before they converge.

Do I need to monitor liquidity to implement risk controls for cross-asset relative value trades?▼

Monitoring liquidity is required to implement risk controls for cross-asset relative value trades. The Skill explicitly includes monitoring liquidity and implementing risk controls as core requirements for identifying and exploiting mispricings across related securities.

What are the limitations of using relative value strategies for market-neutral trading?▼

Relative value strategies rely on convergence to fair value, which can be delayed or disrupted by liquidity constraints and structural market shifts. These hedged, market-neutral trades require continuous model calibration and active risk controls to manage mispricing persistence.