A research brief from Parametric discussing synthetic duration management via futures contracts. Futures-based duration adjustment may allow investors to adjust their rate duration only, without altering the alpha seeking and credit risk aspects of their fixed income portfolio.
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.
