Dylan, bonds portfolio manager, currently adopting a duration-matched strategy in his managed funds. His portfolio has a

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Dylan, bonds portfolio manager, currently adopting a duration-matched strategy in his managed funds. His portfolio has a duration of 4.3 years, with a market value $60,000,000. He plans to adjust the duration of his portfolio to 3.7 years based on his forecast of market. Assume that he can use 5-year T-note futures contracts to hedge the risk, with one-tick changes in interest rates, this futures contract value will change by $25. Should he long or short? and calculate the number of futures contracts he should long or short?

Posted Date: May 13, 2024 06:36 AM

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Dylan, bonds portfolio manager, currently adopting a duration-matched strategy in his managed funds. His portfolio has a

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Step 1 Calculate the Duration Change The current duration of the portfolio is 43 years and ... View the full answer

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