14. Futures Hedging (LO4, CFA2) You manage a $100 million bond portfolio with a duration of 9...
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14. Futures Hedging (LO4, CFA2) You manage a $100 million bond portfolio with a duration of 9 years. You wish to hedge this portfolio against interest rate risk using T-bond futures with a contract size of $100,000 and a duration of 12 years. How many contracts are required?
a. 750
b. 1,000
c. 133
d. 1,333
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Related Book For
Fundamentals Of Investments Valuation And Management
ISBN: 9781260013979
9th Edition
Authors: Bradford Jordan, Thomas Miller, Steve Dolvin
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