Would it be feasible to buy cash T-bonds (say CTD for instance) at whatever leverage ratio, say 10:1, and hedge it with short futures contracts and just collect the carry on the bonds while being delta hedged? This assumes borrowing at repo/libor rates. Am I missing something? This seems too obvious and too easy.....
Yes I realize CTD can change which could throw off the hedge, but there must be something else I'm missing.
Yes I realize CTD can change which could throw off the hedge, but there must be something else I'm missing.