HomeCFACFA Level 3CFA Level 3 | Fixed Income: Derivatives Overlay with Futures

CFA Level 3 | Fixed Income: Derivatives Overlay with Futures

  • May 29, 2020
  • Posted by: Fabian Moa, CFA, FRM, CTP, AFM, FMVA, FSA Credential
  • Categories: CFA, CFA Level 3
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CFA Level 3

Topic: Fixed Income Portfolio Management

Reading: Liability-Driven and Index-Based Strategies

The derivatives overlay strategy is part of the topic Fixed-Income Portfolio Management in the CFA Level 3 syllabus.

In this video, I will go through the derivatives overlay strategy using futures contracts to close the duration gap (Hedge ratio = 100%) between Assets and Liabilities. I also illustrate the calculation of Asset and Liability Basis Point Value (BPV) and the number of hedge contracts required if the hedge ratio is 80%.

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