Laura, a bond portfolio manager, administers a $10 million portfolio. The portfolio currently has a duration of

Question:

Laura, a bond manager, administers a $10 million The currently has a duration of 8.5 years. Laura wants to shorten the duration to 6 years using T-bill futures. T-bill futures have a duration of 0.25 years and are trading at $975 (face value = $1,000). How is this accomplished?

Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...