Perspectives Blog

Fixed income strategies – The pros and cons of generating returns with negative duration

Columbia Management, Investment Team | July 14, 2014

…t(er) maturities or sell Treasury futures. The former is pretty straightforward, but the latter requires an explanation. Portfolio managers can achieve negative duration shorting Treasury futures, thereby giving the portfolio inverse exposure to Treasuries (when interest rates rise, futures contracts benefit from the decrease in prices). A fund selling enough Treasury futures would achieve a negative duration profile. Keep in mind that selling Tr…