RT Journal Article
SR Electronic
T1 Hedging and Replication of Fixed-Income Portfolios
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 43
OP 63
DO 10.3905/jfi.2002.319311
VO 11
IS 4
A1 Lev Dynkin
A1 Jay Hyman
A1 Peter Lindner
YR 2002
UL https://pm-research.com/content/11/4/43.abstract
AB 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.