%0 Journal Article %A Lev Dynkin %A Jay Hyman %A Peter Lindner %T Hedging and Replication of Fixed-Income Portfolios %D 2002 %R 10.3905/jfi.2002.319311 %J The Journal of Fixed Income %P 43-63 %V 11 %N 4 %X This article discusses hedging and replication strategies based on Eurodollar futures, Treasury futures, and swaps for diversified fixed-income portfolios. Analytical and empirical hedge ratio approaches are empirically tested on a variety of fixed-income indexes. Tracking errors are found to have significantly increased since the middle of 1998. The optimal replication portfolios are generally found to be hybrid portfolios consisting of a combination of Treasury futures and Eurodollar futures and swaps at a long-term cost of between 4 and 12 basis points. %U https://jfi.pm-research.com/content/iijfixinc/11/4/43.full.pdf