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onsider a $100 million bond portfolio with duration of 4.0 years in 3 months. The portfolio manager wants to hedge the portfolio over the next 3 months with a bond futures contract. The futures price is 122 and each futures contract is on $0.1 million of bonds. The cheapest to deliver bond is expected to have duration of 9.0 years at futures contract maturity. The manager should: (a) buy 1,844 bond futures (b) buy 364 bond futures (c) short 27 bond futures (d) short 364 bond futures (e) short 1,844 bond future

onsider a $100 million bond portfolio with duration of 4.0 years in 3 months. The portfolio manager wants to hedge the portfolio over the next 3 months with a bond futures contract. The futures price is 122 and each futures contract is on $0.1 million of bonds. The cheapest to deliver bond is expected to have duration of 9.0 years at futures contract maturity. The manager should: (a) buy 1,844 bond futures (b) buy 364 bond futures (c) short 27 bond futures (d) short 364 bond futures (e) short 1,844 bond future

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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Consider a $100 million bond portfolio with duration of 4.0 years in 3 months. The portfolio manager wants to hedge the portfolio over the next 3 months with a bond futures contract. The futures price is 122 and each futures contract is on $0.1 million of bonds. The cheapest to deliver bond is expected to have duration of 9.0 years at futures contract maturity. The manager should:

(a) buy 1,844 bond futures (b) buy 364 bond futures (c) short 27 bond futures 

(d) short 364 bond futures (e) short 1,844 bond futures

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