Design a strategy using futures to accomplish the switch

Reference no: EM13907679

Assume you are a bond portfolio manager with $100 million of 20-year corporates. Further assume you wish to hold one-year corporates. Assuming for the moment the availability of any future you wish, design a strategy using futures to accomplish this switch. How would this be accomplished using futures that are traded? What is the additional risk?

Reference no: EM13907679

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