Unlocking Treasury 2061: The Hidden Fortune That Could Rewrite Financial History—Are You Ready to Discover the Truth?
What he means, I think, is that such a fund would use futures contracts and lots of leverage to actually express your view that the yield to maturity on TG61 ought to converge to be roughly the same as its compadres. And these structures would be imperfect enough – especially given the very long timeframes – to make the trade unviable.
Still, it’s interesting to think about, since in my opinion the lower yield on TG61 is really odd.
I’m no expert, but it’s not even obvious to me that the secondary very high duration as a means to get more interest rate risk oomph argument adds up.
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