Thanks that makes sense.
So if you implemented this with a future, you’d end up with −3.5% + 2.9% + rerating return = −0.6% + rerating.
With a 2% p.a. re-rating return over 20 years, the expected return is +1.4%, minus any fees & trade management costs.
If it happens over only 5 years, then +7.4%.
I’m really confused where any of those numbers have come from for using futures? (But yes, the expected return with low leverage is not spectacular for 2% move in rates).
Thanks that makes sense.
So if you implemented this with a future, you’d end up with −3.5% + 2.9% + rerating return = −0.6% + rerating.
With a 2% p.a. re-rating return over 20 years, the expected return is +1.4%, minus any fees & trade management costs.
If it happens over only 5 years, then +7.4%.
I’m really confused where any of those numbers have come from for using futures? (But yes, the expected return with low leverage is not spectacular for 2% move in rates).