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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Fundamentals Of Investments Valuation And Management

ISBN: 9781260013979

9th Edition

Authors: Bradford Jordan, Thomas Miller, Steve Dolvin

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