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The focus of this chapter is on bond portfolio hedging with U.S. Treasury futures, highlighting interest rate risk management. A hypothetical bond portfolio demonstrates how portfolio managers use futures to adjust the portfolio’s duration and mitigate exposure to adverse yield curve shifts. By examining hedging strategies with 2-year, 5-year, and 10-year Treasury futures, the case illustrates the benefits of using a tailored basket of futures contracts to optimize the portfolio’s key-rate duration profile, effectively neutralizing the impact of rate changes while preserving positive carry.

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Bond Portfolio Hedging with U.S. Treasury Futures

  • 章节

  • 发表日期：

    2025年

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  • Adam Kobor

摘要

The focus of this chapter is on bond portfolio hedging with U.S. Treasury futures, highlighting interest rate risk management. A hypothetical bond portfolio demonstrates how portfolio managers use futures to adjust the portfolio’s duration and mitigate exposure to adverse yield curve shifts. By examining hedging strategies with 2-year, 5-year, and 10-year Treasury futures, the case illustrates the benefits of using a tailored basket of futures contracts to optimize the portfolio’s key-rate duration profile, effectively neutralizing the impact of rate changes while preserving positive carry.