Fixed Income Relative Value Analysis, + Website: A Practitioners Guide to the Theory, Tools, and Trades (Bloomberg Financial) Hardcover – 23 May 2013

Must read for FI PMs looking to extract systematic RV trades.

I have lots of books on this and similar topics and this is by far my favourite. The text is clear and gives thorough examples of how relative value techniques can be applied. While investment experience will certainly help while reading this book, detailed knowledge is not assumed or required.

Some very useful insights even if I am already a practitioner participating in the RV market

ok

Options chapter is not covered thoroughly, yet it is one of the best book I have ever read in terms of the relative value analysis in fixed income. Strongly recommed to all practitioners!

overall, the book is informative. But it is full of mistakes, especially the section about PCA. And by mistake, I mean wrong analysis or idea, not simple typo. For example, the authors don't seem to really understand the relationship between PCA and factor analysis, I believe statistical factor model is really the underlying framework for relative-value analysis, and PCA is only one tool to implement statistical factors (there are far more ways than just PCA, for example, CCA, etc). And the author seems to emphasis too much on PCA instead of the real meaning of statistical factor, which is very misleading.