Examine an ex-post short hedging position for the portfolio you created.

a. Select a futures contract on a CBT T-bond or T-note contract to hedge your portfolio. Use the expiration date on the futures contract as the date of your hedge value.

b. Use the Chart screen (Chart ) to create multigraphs for the prices on the futures and the portfolio (.Ticker of Portfolio you created in CIXB). On the Chart Menu screen, select the Standard G chart; once you have loaded your securities, go to "Edit" to put your graphs in separate panels.

c. Select a beginning date that you would have implemented your hedge and a closing date near the futures expiration as the date for closing your hedge. Use the pricesensitivity model to determine the number of futures contracts needed to hedge the portfolio. Information on your portfolio characteristics can be found from your portfolio's PORT screen, "Characteristics" and "Summary" tabs. Information on the futures' cheapest-to-deliver bond can be found on the DES, YAS, and GP screens of the loaded bond (Bond Ticker < Corp >).

d. Calculate the profit or loss on the futures position from opening and closing at the futures prices at the beginning and ending dates, the value of your portfolio on the closing date, and the hedged value (portfolio value plus futures profit). Compare your hedged value to the unhedged value. In retrospect, was the hedge a good strategy?

e. Use Bloomberg's MARS screen to determine the number of futures contracts you would need to hedge your portfolio. See section: "MARS" in "Bloomberg: Bond and Interest Rate Futures and Related Screens."