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
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
