Hidden Duration: Interest Rate Derivatives in Fixed Income Funds
Hidden Duration: The research uncovers significant hidden duration risk in fixed income funds due to their use of interest rate derivatives for speculation rather than hedging, leading to poor performance during interest rate increases.
Featured in No. 29 on 13 Dec 2023 · 1 day after release · 1 citation today
- Released
- 12 Dec 2023
- First featured
- No. 29 · 13 Dec 2023
- Citations (Semantic Scholar)
- 1
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4662054
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).