为什么共同基金投资国债期货？

FEDS Notes Pub Date : 2024-05-01 DOI:10.17016/2380-7172.3488

Benjamin Iorio, Dan Li, Lubomir Petrasek

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引用次数: 0

摘要

近几个月来，资产管理公司的国债期货净多头头寸达到了历史最高水平，部分原因是共同基金对短期和中期国债期货的需求。通过分析共同基金在美国证券交易委员会 N-PORT 表中的投资组合持仓报告，我们发现共同基金自 2020 年以来的期货持仓增加可归因于在高利率环境下对国债风险敞口的需求增加，以及共同基金更倾向于通过期货而不是证券来获取这些风险敞口。

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Why Do Mutual Funds Invest in Treasury Futures?

Asset managers’ net long positions in Treasury futures have reached their historical highs in recent months, driven in part by mutual funds’ demand for short- and medium-term Treasury futures. Analyzing mutual fund portfolio holdings reports on SEC Form N-PORT, we find that the increase in mutual funds’ futures holdings since 2020 can be attributed to both increased demand for Treasury exposures during a higher interest rate environment and mutual funds’ preference for sourcing these exposures through futures rather than securities.

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FEDS Notes

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