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Bond Portfolio Hedging with U.S. Treasury Futures

In: Derivatives Applications in Asset Management

Author

Listed:
  • Adam Kobor

    (New York University)

Abstract

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.

Suggested Citation

  • Adam Kobor, 2025. "Bond Portfolio Hedging with U.S. Treasury Futures," Springer Books, in: Frank J. Fabozzi & Marielle de Jong (ed.), Derivatives Applications in Asset Management, chapter 0, pages 241-249, Springer.
    • Handle: RePEc:spr:sprchp:978-3-031-86354-7_14
    DOI: 10.1007/978-3-031-86354-7_14
    as

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