Search results

Just google and you'll find a lot of stuff...

Assuming the actual cash flow whose sensitivity needs hedging occurs in the future, spot wouldn't be the right instrument.

Firstly, people very often talk about unlevered returns, which are different from the numbers you describe as possible with leverage. Secondly, who cares if you made 300% on a small account once, say? That's obviously not impossible, but also not particularly interesting. It's consistent...

The instrument which is used in the institutional context for these purposes is known as a cross-currency basis swap. It's likely not available in your context, so you will need to do something else. As mentioned by the previous poster, you can choose to trade FX forwards (or its...

While you don't need the specific rates, but rather just GC, history of LIBOR is still easier to obtain. However, I don't think it's the right approximation, especially in this day and age. In fact, at the moment, there's a LOT of action occurring, which makes things even more dicey. And...

Nah, that's not really what I am trying to say... My point is you should forget that the underlying is a bond, if all you're trying to compute is the total return on the futures. For all intents and purposes, it's a widget which you buy at price A and sell at price B and which doesn't produce...

Nah, if you buy the CTD, you repo it... Why would you borrow unsecured (LIBOR), if you've got UST collateral? The point is moot, regardless. The OP doesn't need to do this, IMHO (it would have been a pain, given it's ZB and there is no ONTR 20y).

Why? Futures, regardless of the underlying, are simple instruments. I mean think of it in trivial economic terms: you buy one ZB futures contract today and you sell it a week later. What is your total return determined by?

Sorry, I don't really understand... Why do you need to know anything about the CTD?

Well, the CTD doesn't have to change every 3 months, really. However, you do have a point. You just need to approximate. Going back to your original post, why are not able to do the futures total return? Surely, this should be the simplest thing to do, by far.

Flat... I don't bet on things where I perceive no edge.

With all due respect, I am pretty sure this is incorrect...

Through what event?

I am not familiar with the details of VUSTX. It appears that they can hold mtges, as well as treasuries, which can be a source of out/underperformance, however small. The main thing for you to do is just to check what the average duration of VUSTX is and see if it's not too different to ZB...

Just fit a normal distribution around the fwd, et voila... You will just need the sigma (volatility) and the actual fwd.

He's absolutely right... His tweets are spot on most of the time.

Well, I am not sure at all that this extrapolation makes sense... IMHO, the Fed is on a gentle glide path, with occasional pauses to reassess the landscape, especially if things get wobbly. To me, whether it's Sep or Dec, there appears to be absolutely no drama in the proceedings, at least for...

I do have long-term stuff... In fact, all my stuff is long-term, really, which means that I ignore the day-to-day noise. The difficulty lies primarily in finding decent long-term trades, which will not blow you up. So, for instance, I try not to care about the timing of the Fed moves ahead of...

This UBS thing (and a similar one RBS built across the street) was retarded in the first place, so good riddance. It's just one of the things that Fred the Shred (and his UBS equivalent) has to answer for.

Ha, be my guest... To be fair, I haven't actually heard of any risk parity flows either Thirsday or Friday. However, when things of this nature used to happen previously, the typical RP flows didn't take long to materialise. It also makes sense, given the construction of most of those portfolios.