Question: Suppose that a manager is managing a portfolio whose benchmark is the Barclays Capital Intermediate Aggregate Index, which has duration of 4.68. Suppose the market

Suppose that a manager is managing a portfolio whose benchmark is the Barclays Capital Intermediate Aggregate Index, which has duration of 4.68. Suppose the market value of the portfolio on March 31, 2018 was $48,559,815. The portfolio duration is 2.97. Suppose the portfolio manager seeks to follow a duration matched strategy and therefore the portfolios target duration is the benchmark duration. Explain how this can be done with the buying or selling of a $100,000 5-year Treasury note futures contract at price $112.79, and dollar duration of $6022. Show all calculations.

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