Can Large Pension Funds Use Derivatives to Effectively Manage Risk and Enhance Investment Performance

In this paper, you will learn:

  • Why U.S. Treasury yields are at or near all-time lows
  • Why continued low rates drive bond benchmark durations targets higher
  • Why higher durations imply higher levels of risk to changes in yield
  • How UST futures and options provide key rate duration (KRD) protection to adverse moves in US interest rates

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