Hedging bond duration with futures
16 Oct 2015 For example, if we wanted to decrease portfolio duration from five years to three we could purchase the bond and use futures to hedge its interest rate risk Just as derivatives can be used to hedge a bond's interest rate risk 27 Sep 2019 Assuming the future is like the past, these interest-rate hedged bond rates (so- called “Duration” risk) and the risk of default (“Credit” risk). 15 Oct 2018 In both of these prior research pieces, we also explicitly considered the slope of the yield curve as a predictor of future excess bond returns. One