jezzag replied to the thread Buy and hold Treasury exposure using futures.
This is analysis showing costs to replicate Bloomberg Treasury Index with futures was 45bps above SOFR for the period 2018-2023...
May 15, 2025 at 3:41 PMThis is analysis showing costs to replicate Bloomberg Treasury Index with futures was 45bps above SOFR for the period 2018-2023...
May 15, 2025 at 3:41 PMThis is a question on implementation, the rate view is not relevant Initial quick analysis suggests continuously rolling long exposure...
May 15, 2025 at 2:04 PMjezzag posted a new thread.
I am trying to understand the all in cost of implementing continuous, buy and hold Treasury exposure with futures My initial thinking...